Prof. Dr. Oliver Entrop
► Capital Markets
► Financial Engineering and Structured Products
► Bank Management
► Interest Rate and Credit Risk
► Risk Management
since 9/2010: Professor of Finance and Banking, Chair of Finance and Banking, University of Passau
- 2019: Visiting Scholar, Auckland University of Technology, New Zealand
- 2010: Habilitation in Business Administration (Dr. rer. pol. habil.), Catholic University of Eichstätt-Ingolstadt
- 2006: Doctorate in Finance (Dr. rer. pol.), Catholic University of Eichstätt-Ingolstadt
- 2006: Visiting Research Fellow, School of Banking and Finance, University of New South Wales, Sydney
- 2001-2010: Research Associate, doctoral candidate and postdoctoral fellow (wissenschaftlicher Mitarbeiter, akademischer Rat a.Z.), Chair of Finance and Banking, Ingolstadt School of Management, Catholic University of Eichstätt-Ingolstadt
- 1999-2001: Research Associate, Institute of Finance and Banking, University of Göttingen
- Dipl.-Math. (MSc in Mathematics), University of Göttingen
- Studies of Mathematics and Business Administration, University of Göttingen
- 10/2017-present: Member faculty council
- 10/2017-9/2019: Member senate
- 10/2017-present: Member of Working Group ProDok Faculty of VHB (German Academic Association for Business Research / Verband der Hochschullehrer für Betriebswirtschaft)
- 10/2017-9/2019: Section Chair Banking and Finance (BA-FI) of VHB (German Academic Association for Business Research / Verband der Hochschullehrer für Betriebswirtschaft); Member of Advisory Council of VHB
- 9/2015-9/2017: Vice Section Chair Banking and Finance (BA-FI) of VHB (German Academic Association for Business Research / Verband der Hochschullehrer für Betriebswirtschaft)
- 10/2013-9/2016: Dean of studies
- 10/2013-9/2016: Head of examination boards: BSc in Business Administration and Economics, BSc in Business Computing, MSc in Business Administration
- 10/2013-9/2016: Head of selection committee MSc in Business Administration
- 10/2013-9/2016: Board of directors Center for Key Skills
- 10/2011-9/2016: Member faculty council
- 10/2011-9/2013: Member permanent doctoral examination board
- since 10/2011: Students mentor and member of selection committees, Max Weber-Program of the State of Bavaria (according to "Bavarian Elite Aid Act")
- since 10/2010: Member selection committee MA International Economics and Business
since 08/2014: Member Editorial Board of Review of Managerial Science
BuR (Business Research) Reviewer of the Year 2013 in Finance
Best Paper Award German Finance Association Annual Meeting 2007
"Förderpreis" 2007 of BayernLB for dissertation
Performance Measurement for Option Portfolios in a Stochastic Volatility Framework.Working Paper, 2018 (with Rainer Baule and Sebastian Wessels)
Abstract and Download
accepted for presentation:
►Southern Finance Association (SFA) Annual Meeting, , Asheville, NC, November 14-17, 2018.
►Financial Management Association (FMA) Annual Meeting, San Diego, CA, October 10-12, 2018.
►German Academic Association for Business Research (VHB) Annual Meeting, Magdeburg, May 23-25, 2018.
“Exchange Rate Risk” within the European Monetary Union? Analyzing the Exchange Rate Exposure of German Firms.
Working Paper, 2017 (with Matthias Merkel)
Abstract and Download
accepted for presentation:
►Southern Finance Association (SFA) Annual Meeting, Key West, November 15-18, 2017.
What drives Performance in the Speculative Market of Short-term Exchange-traded Retail Products?
Working Paper, 2016 (with Stefanie Baller, Alexander Schober and Marco Wilkens)
An earlier version of this paper circulated under the title “The Impact of Greed and Experience on Investors’ Returns and Banks’ Margins: Evidence from Short-term Exchange-traded Retail Products”.
Abstract and Download
accepted for presentation:
►Southern Finance Association (SFA) Annual Meeting, Key West, November 15-18, 2017.
►Eastern Finance Association Annual Meeting, St. Pete Beach (FL), April 10-13, 2013.
►German Finance Association (DGF) Annual Meeting, Hannover, October 5-6, 2012.
What do Loan Characteristics Reveal about the Prepayment Behavior of Mortgagors?
Working Paper, 2015 (with Henning Jürgens and Marco Wilkens)
Open-end Knock-outs on Bond Futures: Valuation, Properties and Estimation of Hidden Profit Drivers.
Working Paper, 2014 (with Christian Peters and Marco Wilkens)
Abstract and Download
accepted for presentation:
►International Finance and Banking Society (IFABS) Conference 2014, Lisbon, June 18-20, 2014.
►Swiss Society for Financial Markets Research Conference 2014, Zurich, April 11, 2014.
Market Timing, Maturity Mismatch, and Risk Management: Evidence from the Banking Industry.
Working Paper, 2013 (with Thomas Kick, Benedikt Ruprecht, and Marco Wilkens)
Deutsche Bundesbank Discussion Paper No 56/2013
Abstract and Download
Individual Investors and Suboptimal Early Exercises in the Fixed-income Market.
Working Paper, 2014 (with Mathias Eickholt and Marco Wilkens)
Abstract and Download
accepted for presentation:
►Southern Finance Association Annual Meetings, Key West, November 19-22, 2014.
►University of Göttingen Research Seminar, July 14, 2014. (invited)
►Swiss Society for Financial Markets Research Conference 2014, Zurich, April 11, 2014.
The Pricing Policy of Banks for Exchange-traded Leverage Certificates: Interday and Intraday Effects.
Working Paper, 2013 (with Alexander Schober and Marco Wilkens)
Abstract and Download
accepted for presentation:
►Eastern Finance Association Annual Meeting, St. Pete Beach (FL), April 10-13, 2013.
►Quantitative Methods in Finance 2011 Conference, Sydney, December 14-17, 2011.
►German Finance Association (DGF) Annual Meeting, Regensburg, September 30 - October 1, 2011.
►European Retail Investment Conference 2011, Stuttgart, February 24-25, 2011.
Non-maturing Assets and Liabilities of Banks: Valuation and Risk Measurement.
Working Paper. (with Arne Krombach, Christoph Memmel, and Marco Wilkens)
Abstract and Download
accepted for presentation:
►Banking Workshop Münster 2009, May 8-9, 2009.
►German Finance Association Annual Meetings 2009, Frankfurt, October 9-10, 2009.
►Southern Finance Association Annual Meetings, Captiva Island FL, November 18-21, 2009.
►Quantitative Methods in Finance (QMF) 2009, Sydney, December 16-19, 2009.
►Annual Australasian Finance and Banking Conference (AFBC) 2009, Sydney, December 16-19, 2009.
Estimating the Interest Rate Risk of Banks Using Time Series of Accounting-Based Data.
(Former title/similiar version: Analyzing the Interest Rate Risk of Banks Using Time Series of Accounting-Based Data: Evidence From Germany, Deutsche Bundesbank Discussion Paper Series 2, no. 01/2008).
Working Paper. (with Christoph Memmel, Marco Wilkens, and Alexander Zeisler)
Abstract and Download
accepted for presentation:
► 6. Workshop der GOR-Arbeitsgruppe "Finanzwirtschaft und Finanzinstitutionen", Ingolstadt, 05. Mai 06.
►Operations Research 2006, Karlsruhe, September 6-8, 2006.
►European Financial Management Association Annual Meeting 2007, Vienna, June 27-30, 2007.
►14th Annual Meeting of the German Finance Association, Dresden, September 28-29, 2007.
►FMA Annual Meeting, Orlando, October 17-20, 2007.
►Southern Finance Association Annual Meetings, Captiva Island FL, November 18-21, 2009.
The Valuation of Deposit Insurance in an Arbitrage-free Basel II Consistent Framework.
Working Paper. (with Marco Wilkens)
accepted for presentation:
►Operations Research 2006, Karlsruhe, September 6-8, 2006.
►19th Australasian Finance and Banking Conference, Sydney, December 13-15, 2006.
►FMA European Conference, Barcelona, May 30-June 1, 2007.
►European Financial Management Association Annual Meeting 2007 , Vienna, June 27-30, 2007.
►2007 FMA Annual Meeting, Orlando, October 17-20, 2007.
Publications
- Effect of Mandatory Sustainability Performance Disclosures on Firm Value: Evidence from Listed European Firms.
Corporate Social Responsibility and Environmental Management, forthcoming (with Madhavan Vishnu Nampoothiri and Thillai Rajan Annamalai)
https://doi.org/10.1002/csr.2860 - Performance Measurement for Option Portfolios in a Stochastic Volatility Framework.
Quantitative Finance, 22, 2022, 519-539 (with Rainer Bauer and Sebastian Wessels)
https://doi.org/10.1080/14697688.2021.1985163 - The Determinants of Price Discovery on Bitcoin Markets.
Journal of Futures Markets, 40, 2020, 816-837 (with Bart Frijns and Marco Seruset)
https://doi.org/10.1002/fut.22101 - Managers’ Research Education, the Use of FX Derivatives and Corporate Speculation.
Review of Managerial Science, forthcoming (with Matthias Merkel)
Abstract and Download - What Makes Individual Investors Exercise Early? Empirical Evidence from Non-Tradable Fixed-Income Products.
Journal of Banking and Finance, 97, 2018, 318-334 (with Mathias Eickholt and Marco Wilkens)
Abstract and Download - Looking beyond Average Interest Rate Risk: Determinants of High Exposures.
Quarterly Review of Economics and Finance, 63, 2017, 204-218 (with Ludwig von la Hausse and Marco Wilkens)
Abstract and Download - Market Makers’ Optimal Price-Setting Policy for Exchange-Traded Certificates.
Journal of Banking and Finance, 71, 2016, 206-226. (with Stefanie Baller, Michael McKenzie, and Marco Wilkens)
Abstract and Download - How Does Pricing Affect Investors’ Product Choice? Evidence from the Market for Discount Certificates.
Journal of Banking and Finance, 68, 2016, 195-215. (with Georg Fischer, Michael McKenzie, Marco Wilkens, and Christoph Winkler)
Abstract and Download - The Performance of Individual Investors in Structured Financial Products.
Review of Quantitative Finance and Accounting, 46(3), 2016, 569-604. (with Michael McKenzie, Marco Wilkens, and Christoph Winkler)
Abstract and Download - Determinants of Bank Interest Margins: Impact of Maturity Transformation.
Journal of Banking and Finance, 54, 2015, 1-19. (with Christoph Memmel, Benedikt Ruprecht, and Marco Wilkens)
Abstract and Download - Spread Risk Premia in Corporate Credit Default Swap Markets.
Credit and Capital Markets, 47(4), 2014, 571-610. (with Richard Schiemert and Marco Wilkens)
Abstract and Download - Valuation Differences between Credit Default Swap and Corporate Bond Markets.
Journal of Credit Risk, 9(4), 2013, 3-46. (with Richard Schiemert and Marco Wilkens)
Link; Abstract - Quantifiying the Interest Rate Risk of Banks: Assumptions Do Matter.
European Financial Management, 15(5), 2009, 1001-1018. (with Marco Wilkens and Alexander Zeisler)
Abstract and Download - The Price-setting Behavior of Banks: An Analysis of Open-end Leverage Certificates on the German Market.
Journal of Banking and Finance, 33(5), 2009, 874-882. (with Hendrik Scholz and Marco Wilkens)
Abstract and Download - The Performance of Investment Grade Corporate Bond Funds: Evidence from the European Market.
European Journal of Finance, 15(2), 2009, 191-209. (with Leif Holger Dietze and Marco Wilkens)
Abstract and Download
Reprinted in: Wolfgang Bessler, Wolfgang Drobetz and Chris Adcock (eds.): Asset Management and International Capital Markets. London and New York, 215-234. - Non-maturing Deposits, Convexity and Timing Adjustments .
Operations Research Proceedings 2007. Ed. by Jörg Kalcsics and Stefan Nickel, Berlin 2008, 263-268. (with Marco Wilkens) - Credit Risk and Bank Margins in Structured Financial Products: Evidence from the German Secondary Market for Discount Certificates.
Journal of Futures Markets, 28(4), 2008, 376-397. (with Rainer Baule and Marco Wilkens)
Abstract and Download - A New Methodology to Derive a Bank's Maturity Structure Using Accounting-Based Time Series Information.
Operations Research Proceedings 2006. Ed. by Karl-Heinz Waldmann and Ulrike M. Stocker, Berlin 2007, 299-304. (with Christoph Memmel, Marco Wilkens, Alexander Zeisler) - Turbo-Zertifikate - Vier Generationen.
Die Betriebswirtschaft, 65(5), 521-525. (with Hendrik Scholz and Marco Wilkens) - Bundesschatzbriefe - Bewertung und empirische Analyse der Attraktivität für Anleger und Bund.
Zeitschrift für Betriebswirtschaft, 74(9), 905-931. (with Marco Wilkens and Rainer Baule) - Outperformance-Zertifikate auf Aktienindizes in Fremdwährungsräumen.
Kredit und Kapital, 4/2001, 473-504. (with Marco Wilkens and Hendrik Scholz) - Bewertung und Konstruktion von attraktiven strukturierten Produkten am Beispiel von Cheapest-to-Deliver-Aktienzertifikaten.
Österreichisches Bankarchiv, 12/2001, 931-940. (with Marco Wilkens and Hendrik Scholz)
- IRB-Ansatz in Basel II - die Behandlung erwarteter Verluste.
Zeitschrift für das gesamte Kreditwesen, 14/2004, 734-737. (with Marco Wilkens and Rainer Baule) - Basel II - Die neuen Eigenmittelanforderungen im IRB-Ansatz nach QIS3.
Zeitschrift für das gesamte Kreditwesen, 22/2002, 1198-1201. (with Marco Wilkens and Rainer Baule) - Quanto-Zertfikate auf den Nikkei.
Die Bank, 09/2002, 611-615. (with Marco Wilkens and Rainer Baule) - Zum Einfluss der Fristentransformation auf den Wert einer Bank.
Sparkasse, 08/2002, 360-364. (with Marco Wilkens and Hendrik Scholz) - Eigenkapitalanforderungen für Kreditrisiken - Analyse des modifizierten IRB-Ansatzes.
Zeitschrift für das gesamte Kreditwesen, 3-4/2002, 141-146. (with Marco Wilkens and Hendrik Scholz) - Vergleichende Buchbesprechung: Informationssysteme in der Bankwirtschaft.
Wirtschaftsinformatik, 43(6), 641-645. (with Marco Wilkens) - Basel II - Berücksichtigung von Diversifikationseffekten im Kreditportfolio durch das Granularity Adjustment.
Zeitschrift für das gesamte Kreditwesen, 12/2001, 670-676. (with Marco Wilkens and Rainer Baule) - Strukturen und Methoden von Basel II - Grundlegende Veränderungen der Bankenaufsicht.
Zeitschrift für das gesamte Kreditwesen, 4/2001, 187-193. (with Marco Wilkens and Jörg Völker) - Multi Callable Step-up Bonds - attraktive Fixed Income Produkte.
Sparkasse, 02/2001, 75-77. (with Marco Wilkens and Rainer Baule) - Bull-Anleihen auf internationale Aktienindizes: Hohe Partizipation ohne Währungsrisiko.
Die Bank, 11/2000, 754-759. (with Marco Wilkens and Hendrik Scholz) - Innovative Passivprodukte am Beispiel von KickStart-Zertifikaten.
Sparkasse, 10/2000, 462-466. (with Marco Wilkens and Hendrik Scholz)
- Retail-Zertifikate im deutschen Markt.
in: Anlegerschutz und Stabilit der Finanzmärkte. Ed. by Hartmut Koschyk, Stefan Leible und Klaus Schäfer, Bayreuther Studien zum Wirtschafts- und Medienrecht, Bd. 7, Jena 2012, 111-129. - Erfassung des Kreditrisikos nach Basel II - Eine Reflexion aus wissenschaftlicher Sicht.
in: Basel II und MaRisk - Regulatorische Vorgaben, bankinterne Verfahren, Bewertungen. Ed. by Gerhard Hofmann, Frankfurt/M. 2007, 69-100. (with Marco Wilkens and Rainer Baule) - Ertragspotenziale für Banken durch verdeckte Fristentransformation.
in: Börsen, Banken und Kapitalmärkte. Ed. by Wolfgang Bessler, Berlin 2006, 381-401. (with Marco Wilkens and Robert Sünderhauf). - Performancemessung und Kapitalallokation im Handelsbereich einer Bank – Zur Marktphasenabhängigkeit von RORAC und RAROC.
in: Kapitalmarkt, Unternehmensfinanzierung und rationale Entscheidungen. Ed. by Wolfgang Kürsten and Bernhard Nietert, Berlin 2006, 129-148. (with Marco Wilkens and Hendrik Scholz) - Risikoprämien in Optionspreisen - Reale und risikoneutrale Welten und die Beurteilung von Derivaten.
in: Banken, Finanzierung und Unternehmensführung. Ed. by Thomas Burkhardt, Jan Körnert, and Ursula Walther, Berlin 2004, 471-500. (with Marco Wilkens and Rainer Baule) - Erfassung des Kreditrisikos nach Basel II - Eine Reflexion aus wissenschaftlicher Sicht.
in: Basel II und MaK - Regulatorische Vorgaben, bankinterne Verfahren, Bewertungen. Ed. by Gerhard Hofmann, 2. vollst. überarb. Aufl., Frankfurt/M. 2004, 61-92. (with Marco Wilkens and Rainer Baule) - Fristentransformation als Lösungsansatz für das Ertragsproblem von Banken?
in: Wege aus der Banken- und Börsenkrise. Ed. by Leo Schuster and Alex W. Widmer, Berlin u. a. 2004, 427-443. (with Marco Wilkens and Hendrik Scholz) - Bankaufsichtsrechtliche Regulierung von Unternehmen der Energiewirtschaft vor dem Hintergrund von Basel II.
in:Handel mit Energiederivaten. Ed. by Ines Zenke and Niels Ellwanger, München 2003, 278-306. (with Marco Wilkens and Hendrik Scholz) - Erfassung des Kreditrisikos nach Basel II - Eine Reflexion aus wissenschaftlicher Sicht.
in: Basel II und MaK: Vorgaben, bankinterne Verfahren, Bewertungen. Ed. by Gerhard Hofmann, Frankfurt/M. 2002, 47-76. (with Marco Wilkens and Rainer Baule) - Erfassung des Kreditrisikos aus wissenschaftlicher Sicht.
in: Auf dem Weg zu Basel II: Konzepte, Modelle, Meinungen. Ed. by Gerhard Hofmann, Frankfurt/M. 2001, 39-64. (with Marco Wilkens and Rainer Baule) - Credit-Value-at-Risk unter besonderer Berücksichtigung des Zusammenhangs von Markt- und Kreditrisiken.
in: Finanzielle Märkte und Banken - Innovative Entwicklungen am Beginn des 21. Jahrhunderts. Ed. by Jonny Holst and Marco Wilkens, Berlin 2000, 257-285.
German Finance Association (DGF) Annual Meeting, Augsburg, 2005 (1 paper) , Dresden, 2007 (1+1* paper), Frankfurt, 2009 (1* paper), Regensburg, 2011 (1 paper), Hanover, 2012 (1* Paper), Wuppertal, 2013 (1* paper), Karlsruhe, 2014 (1 paper)
European Economic Association (EEA) Annual Congress, Malaga, 2012 (1* paper)
Symposium on Finance, Banking, and Insurance, Karlsruhe, 2011 (1* paper), Lisbon, 2014 (1 paper)
Financial Management Association (FMA) Annual Meeting, Orlando, 2007 (1+2* paper), Nashville, 2014 (1 paper)
Financial Management Association (FMA) European Conference, Stockholm, 2006 (1 paper), Barcelona, 2007 (1 paper)
Financial Management Association (FMA) Asian Conference, Tokyo, 2014 (2* paper)
Southern Finance Association (SFA) Annual Meeting, Charleston, 2007 (1 paper), Key West, 2008 (1 paper), Captiva Island FL, 2009 (1* paper)
International Finance and Banking Society (IFABS) conference, Valencia, 2012 (1* paper), Lisbon, 2014 (1 paper)
Verein für Socialpolitik Annual Congress, Munich, 2007 (1* paper)
Eastern Finance Association Annual Meeting, New Orleans, 2007 (1* paper)
Southwestern Finance Association Annual Meeting, San Diego, 2007 (1* paper)
Midwest Finance Association Annual Meeting, Minneapolis, 2007 (1* paper)
European Financial Management Association Annual Conference, Madrid, 2006 (1* paper) , Vienna, 2007 (2+1* paper) , Athens, 2008 (1* paper) , Barcelona, 2012 (1 paper), Rome, 2014 (1* paper)
Derivative Markets Conference 2019, Queenstown, NZ, August 8-9, 2019 (1* paper)
Australasian Banking and Finance Conference, Sydney, 2005 (2* paper), 2006 (2 paper), 2009 (1 paper)
Quantitative Methods in Finance (QMF), Sydney, 2009 (1 paper), Sydney, 2011 (1* paper)
French Finance Association International Meeting, Paris, 2005 (1 paper), Lyon, 2013 (1* paper)
Swiss Society for Financial Market Research, Annual Conference, Zürich, 2005 (1* paper), 2007 (1 paper)
Pfingsttagung des Verbandes der Hochschullehrer für Betriebswirtschaft, Zürich, 2003 (1* paper), Kiel, 2005 (1* paper), Paderborn, 2007 (1* paper)
Asian Finance Association Annual Conference, Kuala Lumpur, 2005 (1 paper), Nanchang, 2013 (1* paper)
European Retail Investment Conference, Stuttgart, 2011 (1* paper), Stuttgart, 2013 (1* paper)
German Classification Society (GfKl) Annual Conference, Dortmund, 2004 (1 paper)
Portuguese Finance Network International Conference, Porto, 2006 (1*paper)
Operations Research, Karlsruhe, 2006 (1+1* paper), Saarbrücken 2007 (1 paper)
Deutsche Bundesbank Workshop on “Research on financial stability using Bundesbank banking data, Frankfurt/M., 2006 (1* paper)
Banking Workshop Münster, 2008 (1 paper), 2009 (1* paper)
Workshop of the GOR-comittee "Corporate Finance and Financial Institutions", Ingolstadt, 2006 (1* paper) , Augsburg, 2007 (1 paper)
Tagung "Mathematik bei Banken und Versicherungen - Mathematische Konzepte für finanzielle Risiken", Freiberg, 2003 (1+2* paper)
* presented by a co-author
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