Philipp Koziol
Lecturer at Georg-August-Universität Göttingen
Links
Biography
Research Interests
- Risk Management especially Credit Risk Modelling
- Banking Regulation
- Stress Testing
- Dependence Modelling
Refereed Publications
- Arnold, E. A., I. Größl and P. Koziol (2016), Market Discipline Across Bank Governance Models: Empirical Evidence from German Depositors, Quarterly Review of Economics and Finance, Vol. 61, pp. 126-138.
- Koziol, C., P. Koziol and T. Schön (2015), Do correlated defaults matter for CDS premia? An empirical analysis, Review of Derivatives Research, Vol. 18(3), 191-224.
- Duellmann, K. and P. Koziol (2014), Are SME Loans Less Risky than Regulatory Capital Requirements Suggest?, Journal of Fixed Income, Vol. 23(4), 89-103.
- Koziol, P. (2014), Inflation and Interest Rate Derivatives for FX Risk Management: Implications for Exporting Firms under Real Wealth, Quarterly Review of Economics and Finance, Vol. 54(4), 459-472.
- Wagner, S.M., C. Bode and P. Koziol (2011), Negative Default Dependencies: Do Automotive Suppliers Benefit from their Competitors’ Default?, International Journal of Production Economics, Vol. 134, 398-406.
- Korn, O. and P. Koziol (2011), The Term Structure of Currency Hedge Ratios, International Journal of Theoretical and Applied Finance, Vol. 14(4), 525-557.
- Wagner, S.M., C. Bode and P. Koziol (2009), Supplier Default Dependencies: Empirical Evidence from the Automotive Industry, European Journal of Operational Research, Vol. 199(1), 150-161.
- Koziol, P. (2006), Auswahl von Copulas zur Bewertung von Basketkreditderivaten, Blätter der DGVFM, XXVII, 665-680.
Refereeing
- Emerging Markets Review
- International Journal of Production Economics
- Journal of Banking and Finance
- Journal of Credit Risk
- Small Business Economics
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