• A space-time random field model for electricity forward prices (Best Energy Paper Award, ECOMFIN 2016, Paris) 

      Benth, Fred Espen; Paraschiv, Florentina (Journal article; Peer reviewed, 2017)
      Stochastic models for forward electricity prices are of great relevance nowadays, given the major structural changes in the market due to the increase of renewable energy in the production mix. In this study, we derive a ...
    • Back to the roots of internal credit risk models: Does risk explain why banks' risk-weighted asset levels converge over time? 

      Böhnke, Victoria; Ongena, Steven Roger Godelieve; Paraschiv, Florentina; Reite, Endre Jo (Journal article; Peer reviewed, 2023)
      The internal ratings-based (IRB) approach maps bank risk profiles more adequately than the standardized approach. After switching to IRB, banks' risk-weighted asset (RWA) densities are thus expected to diverge, especially ...
    • Bank systemic risk exposure and office market interconnectedness 

      Füss, Roland August; Ruf, Daniel (Peer reviewed; Journal article, 2021)
      We empirically examine how systemic risk in the banking sector leads to correlated risk in office markets of global financial centers. In so doing, we compute an aggregated measure of systemic risk in financial centers as ...
    • Banks, non-banks, and the incorporation of local information in CMBS loan pricing 

      Eichholtz, Piet; Ongena, Steven Roger Godelieve; Simeth, Nagihan; Yönder, Erkan (Peer reviewed; Journal article, 2023)
      Comparing banks to non-bank lenders, we investigate whether the geographical distance between lenders, borrowers, and their properties is reflected in the pricing of US mortgages that were included in US commercial ...
    • CEO incentives and bank risk over the business cycle 

      Ongena, Steven Roger G.; Savaser, Tanseli; Ciamarra, Elif Sisli (Peer reviewed; Journal article, 2022)
      We examine whether the relationship between managerial risk-taking incentives and bank risk is sensitive to the underlying macroeconomic conditions. We find that risk-taking incentives provided to bank executives are ...
    • The demise of branch banking – Technology, consolidation, bank fragility 

      Keil, Jan; Ongena, Steven Roger Godelieve (Peer reviewed; Journal article, 2023)
      We study bank branching dynamics across 3,143 US counties and 26 years. During the last decade, banks closed their branches at an unprecedented rate. At its peak in 2009, there were 90,783 branches. By 2020, this number ...
    • Forecasting volatility of the U.S. oil market 

      Haugom, Erik; Langeland, Henrik Søyland; Molnar, Peter; Westgaard, Sjur (Journal article; Peer reviewed, 2014)
      We examine the information content of the CBOE Crude Oil Volatility Index (OVX) when forecasting realized volatility in the WTI futures market. Additionally, we study whether other market variables, such as volume, open ...