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Steffen Sorensen

Personal Details

First Name:Steffen
Middle Name:
Last Name:Sorensen
Suffix:
RePEc Short-ID:pso117

Affiliation

Moody's Investor Service

http://www.moodys.com/cust/default.asp
USA, New York

Research output

as
Jump to: Working papers Articles

Working papers

  1. Joyce, Michael & Lildholdt, Peter & Sorensen, Steffen, 2009. "Extracting inflation expectations and inflation risk premia from the term structure: a joint model of the UK nominal and real yield curves," Bank of England working papers 360, Bank of England.
  2. Wickens, Michael R. & Smith, Peter N & Sorensen, Steffen, 2009. "The Equity Premium and the Business Cycle: the Role of Demand and Supply Shocks," CEPR Discussion Papers 7227, C.E.P.R. Discussion Papers.
  3. Joyce, Michael & Relleen, Jonathan & Sorensen, Steffen, 2008. "Measuring monetary policy expectations from financial market instruments," Bank of England working papers 356, Bank of England.
  4. Mathias Drehmann & Steffen Sorensen & Marco Stringa, 2008. "The integrated impact of credit and interest rate risk on banks: an economic value and capital adequacy perspective," Bank of England working papers 339, Bank of England.
  5. Peter N Smith & Steffen Sorensen & Mike Wickens, 2007. "The Asymmetric Effect of the Business Cycle on the Equity Premium (This is an extensively revised version of earlier paper No. 06/04)," Discussion Papers 07/11, Department of Economics, University of York.
  6. Mathias Drehmann & Steffen Sorensen & Marco Stringa, 2007. "Integrating credit and interest rate risk: A theoretical framework and an application to banks' balance sheets," Money Macro and Finance (MMF) Research Group Conference 2006 151, Money Macro and Finance Research Group.
  7. P N Smith & S Sorensen & M R Wickens, 2006. "The Asymmetric Effect of the Business Cycle on the Realtion between Stock Market Returns and their Volatility," Discussion Papers 06/04, Department of Economics, University of York.
  8. Glenn Hoggarth & Steffen Sorensen & Lea Zicchino, 2005. "Stress tests of UK banks using a VAR approach," Bank of England working papers 282, Bank of England.
  9. Peter Smith & Steffen Sorensen & Michael R. Wickens, 2004. "Business Cycle Variability, Stock Market Variability, Asymmetries and the Risk Premium," Money Macro and Finance (MMF) Research Group Conference 2004 76, Money Macro and Finance Research Group.
  10. P N Smith & S Sorensen & M R Wickens, "undated". "An Asset Market Integration Test Based on Observable Macroeconomic Stochastic Discount Factors," Discussion Papers 03/14, Department of Economics, University of York.
  11. P N Smith & S Sorensen & M R Wickens, "undated". "Macroeconomic Sources of Equity Risk," Discussion Papers 03/13, Department of Economics, University of York.

Articles

  1. Joyce, Michael A.S. & Lildholdt, Peter & Sorensen, Steffen, 2010. "Extracting inflation expectations and inflation risk premia from the term structure: A joint model of the UK nominal and real yield curves," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 281-294, February.
  2. Drehmann, Mathias & Sorensen, Steffen & Stringa, Marco, 2010. "The integrated impact of credit and interest rate risk on banks: A dynamic framework and stress testing application," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 713-729, April.
  3. Peter N. Smith & Steffen Sorensen & Michael Wickens, 2010. "The equity premium and the business cycle: the role of demand and supply shocks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(2), pages 134-152.
  4. Mathias Drehmann & Steffen Sorensen & Marco Stringa, 2009. "El impacto integrado del riesgo de crédito y de tasa de interés bancarios: una perspectiva del valor económico y suficiencia de capital," Monetaria, CEMLA, vol. 0(1), pages 63-115, enero-mar.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 10 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MAC: Macroeconomics (9) 2003-10-28 2003-10-28 2006-01-29 2006-03-05 2006-09-30 2007-04-09 2009-01-03 2009-02-28 2009-03-28. Author is listed
  2. NEP-RMG: Risk Management (4) 2003-10-28 2006-01-29 2006-09-30 2007-04-09
  3. NEP-CBA: Central Banking (3) 2009-01-03 2009-02-28 2009-03-28
  4. NEP-FIN: Finance (3) 2003-10-28 2004-09-30 2006-01-29
  5. NEP-FMK: Financial Markets (3) 2006-01-29 2006-03-05 2006-09-30
  6. NEP-BAN: Banking (2) 2006-09-30 2007-04-09
  7. NEP-MON: Monetary Economics (2) 2009-01-03 2009-02-28
  8. NEP-ACC: Accounting and Auditing (1) 2007-04-09
  9. NEP-CFN: Corporate Finance (1) 2003-10-28
  10. NEP-CMP: Computational Economics (1) 2004-09-30
  11. NEP-FOR: Forecasting (1) 2009-01-03

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