Steffen Sørensen

Finance · 2005–2010

A researcher in the Science corpus: 3 papers; trusts 3 researchers and is trusted by 0 researchers here, as inferred from the citation graph.

Subfields

• Finance — 13 citations into it
• Economics and Econometrics — 6 citations into it

Whom Steffen Sørensen trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. M. Sorge

Who trusts Steffen Sørensen overall

1. D. Cucinelli
2. A. Alhassan

Papers from Steffen Sørensen's perspective

Ordered by how strongly the researchers Steffen Sørensen trusts endorse each paper. Same corpus, a different order for every researcher.

1. The intersection of market and credit risk
2. Term premia and interest rate forecasts in affine models
3. A Theory for the Term Structure of Interest Rates
4. Time Series Analysis by State Space Methods
5. A comparative analysis of macro stress-testing methodologies with application to Finland
6. Options, Futures, and Other Derivatives
7. Federal Reserve Board's semiannual monetary policy report to the Congress: testimony before the Committee on Banking, Housing, and Urban Affairs, U.S. Senate, February 16, 2005
8. Do Credit Spreads Reflect Stationary Leverage Ratios
9. A Multivariate GARCH Model with Time-Varying Correlations
10. Bank Regulation and Supervision: What Works Best?

Their papers

• The integrated impact of credit and interest rate risk on banks: A dynamic framework and stress testing application (2010) — 140 citations
• Extracting inflation expectations and inflation risk premia from the term structure: a joint model of the UK nominal and real yield curves (2010) — 137 citations
• Stress Tests of UK Banks Using a VAR Approach (2005) — 164 citations