Prof. Dr. Marco Wilkens

Research Areas:

Risk Management, Bank Management, Valuation of Financial Instruments, Financial Engineering, Performance Measurement, Credit Risk, Interest Rate Risk

Short Biography:

• Since 2010: Professor of Finance and Banking, University of Augsburg
• Dec 2011-Feb 2012: Visiting Professor, Business School, University of Sydney, Sydney 
• Jan 2012: Visiting Professor, School of Economics and Finance, University of Tasmania, Hobart  
• 2005-2006: Visiting Professor, Australian Graduate School of Management (AGSM), University of New South Wales, Sydney
• 2001-2010: Professor of Finance and Banking, Catholic University of Eichstätt-Ingolstadt
• Habilitation in Business Administration, University of Göttingen  
• Doctorate in Finance, University of Hamburg
• Studies in Business Administration, University for Economics and Politics (HWP), Hamburg and University of Hamburg
• Apprenticeship in banking, Hamburger Sparkasse

Miscellaneous:

• Boardmember and Treasurer, German Finance Association (Deutsche Gesellschaft für Finanzwirtschaft, DGF)
• Member of Board of Directors, European Financial Management Association (EFMA)
• Coordinator and Chair, HVB Doctoral Seminar Southern Germany

Publications:

The complete and most recent list of publications is available as download (PDF).

Articles in refereed journals (excerpt):

• Survivorship Bias and Mutual Fund Performance: Relevance, Significance, and Methodical Differences.
  with Martin Rohleder and Hendrik Scholz.
  Review of Finance, 15(2), 2011, 441-474.
  Abstract and Download
• Quantifying the Interest Rate Risk of Banks: Assumptions Do Matter.
  with Oliver Entrop and Alexander Zeisler.
  European Financial Management, 15(5), 2009, 1001-1018.
  Abstract and Download
• Interest Rate Risk of German Financial Institutions: The Impact of Level, Slope, and Curvature of the Term Structure.
  with Marc-Gregor Czaja and Hendrik Scholz.
  Review of Quantitative Finance and Accounting, 33(1), 2009, 1-26.
• The Performance of Investment Grade Corporate Bond Funds: Evidence from the European Market.
  with Leif Holger Dietze and Oliver Entrop.
  European Journal of Finance, 15(2), 2009, 191-209.
  Abstract and Download
• The Price-setting Behavior of Banks: An Analysis of Open-end Leverage Certificates on the German Market.
  with Oliver Entrop and Hendrik Scholz.
  Journal of Banking and Finance, 33(5), 2009, 874-882.
  Abstract and Download (pdf)
• Interest Rate Risk Rewards in Stock Returns of Financial Corporations: Evidence from Germany.
  with Marc-Gregor Czaja and Hendrik Scholz.
  European Financial Management, 16(1), 2010, 124-154.
  Abstract and Download (pdf)
• Credit Risk and Bank Margins in Structured Financial Products: Evidence from the German Secondary Market for Discount Certificates.
  with Rainer Baule and Oliver Entrop.
  Journal of Futures Markets, 28(4), 2008, 376-397.
  Download and Abstract
  Download preprint (pdf)
• Lean Trees - A General Approach for Improving Performance of Lattice Models for Option Pricing.
  with Rainer Baule.
  Review of Derivatives Research, 7(1), 2004, 53-72.