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Robert Ferstl

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First Name:Robert
Middle Name:
Last Name:Ferstl
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RePEc Short-ID:pfe208
[This author has chosen not to make the email address public]
http://www-finanzierung.uni-r.de/team/rferstl/
Universität Regensburg Wirtschaftswissenschaftliche Fakultät Universitätsstraße 31 93053 Regensburg Germany
+49 941 943 2693

Affiliation

Wirtschaftswissenschaftliche Fakultät
Universität Regensburg

Regensburg, Germany
http://www.wiwi.uni-regensburg.de/
RePEc:edi:wfregde (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Ferstl, Robert & Weissensteiner, Alex, 2009. "Asset-Liability Management under time-varying Investment Opportunities," MPRA Paper 15068, University Library of Munich, Germany.
  2. Stefan Bühler & Anton Burger & Robert Ferstl, 2008. "The Investment Effects of Price Caps under Imperfect Competition: A Note," University of St. Gallen Department of Economics working paper series 2008 2008-17, Department of Economics, University of St. Gallen.

Articles

  1. Robert Ferstl & Bernhard Graf & Claudia Kwapil, 2024. "The pass-through of policy interest rates to bank retail rates in Austria," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue Q4/23, pages 41-59.
  2. Christian Beer & Robert Ferstl & Bernhard Graf & Fabio Rumler, 2023. "Grocery price setting in times of high inflation: what webscraped data tell us," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue Q4/22-Q1/, pages 43-54.
  3. Sigmund, Michael & Ferstl, Robert, 2021. "Panel vector autoregression in R with the package panelvar," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 693-720.
  4. Maximilian Fandl & Robert Ferstl, 2014. "Austrian Banks in the Comprehensive Assessment," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 28, pages 54-58.
  5. Martin Feldkircher & Gerhard Fenz & Robert Ferstl & Gerald Krenn & Benjamin Neudorfer & Claus Puhr & Thomas Reininger & Stefan W. Schmitz & Martin Schneider & Christoph Siebenbrunner & Michael Sigmund, 2013. "ARNIE in Action: The 2013 FSAP Stress Tests for the Austrian Banking System," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 26, pages 100-118.
  6. Robert Ferstl & David Seres, 2012. "Clustering Austrian Banks’ Business Models and Peer Groups in the European Banking Sector," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 24, pages 79-95.
  7. Ferstl, Robert & Weissensteiner, Alex, 2011. "Asset-liability management under time-varying investment opportunities," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 182-192, January.
  8. Buehler, Stefan & Burger, Anton & Ferstl, Robert, 2010. "The investment effects of price caps under imperfect competition: A note," Economics Letters, Elsevier, vol. 106(2), pages 92-94, February.
  9. Robert Ferstl & Alex Weissensteiner, 2010. "Backtesting short-term treasury management strategies based on multi-stage stochastic programming," Journal of Asset Management, Palgrave Macmillan, vol. 11(2), pages 94-112, June.
  10. Ferstl, Robert & Hayden, Josef, 2010. "Zero-Coupon Yield Curve Estimation with the Package termstrc," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 36(i01).
  11. Robert Ferstl & Alex Weissensteiner, 2010. "Cash management using multi-stage stochastic programming," Quantitative Finance, Taylor & Francis Journals, vol. 10(2), pages 209-219.

Chapters

  1. Robert Ferstl & Alexander Weissensteiner, 2011. "Backtesting Short-Term Treasury Management Strategies Based on Multi-Stage Stochastic Programming," Palgrave Macmillan Books, in: Gautam Mitra & Katharina Schwaiger (ed.), Asset and Liability Management Handbook, chapter 19, pages 469-494, Palgrave Macmillan.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Ferstl, Robert & Weissensteiner, Alex, 2009. "Asset-Liability Management under time-varying Investment Opportunities," MPRA Paper 15068, University Library of Munich, Germany.

    Cited by:

    1. Owadally, Iqbal & Jang, Chul & Clare, Andrew, 2021. "Optimal investment for a retirement plan with deferred annuities," Insurance: Mathematics and Economics, Elsevier, vol. 98(C), pages 51-62.
    2. Libo Yin & Liyan Han, 2013. "Options strategies for international portfolios with overall risk management via multi-stage stochastic programming," Annals of Operations Research, Springer, vol. 206(1), pages 557-576, July.
    3. Maria Cristina Arcuri & Gino Gandolfi & Fabrizio Laurini, 2023. "Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 31(2), pages 557-581, June.
    4. Yan, Tingjin & Han, Jinhui & Ma, Guiyuan & Siu, Chi Chung, 2023. "Dynamic asset-liability management with frictions," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 57-83.
    5. Duarte, Thiago B. & Valladão, Davi M. & Veiga, Álvaro, 2017. "Asset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraints," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 177-188.
    6. Agnieszka Konicz & David Pisinger & Alex Weissensteiner, 2015. "Optimal annuity portfolio under inflation risk," Computational Management Science, Springer, vol. 12(3), pages 461-488, July.
    7. Grzegorz Halaj & Sofia Priazhkina, 2021. "Stressed but not Helpless: Strategic Behaviour of Banks Under Adverse Market Conditions," Staff Working Papers 21-35, Bank of Canada.
    8. Owadally, Iqbal & Jang, Chul & Clare, Andrew, 2021. "Optimal investment for a retirement plan with deferred annuities allowing for inflation and labour income risk," European Journal of Operational Research, Elsevier, vol. 295(3), pages 1132-1146.
    9. Kourosh Rasmussen & Claus Madsen & Rolf Poulsen, 2014. "Can home-owners benefit from stochastic programming models? A study of mortgage choice in Denmark," Computational Management Science, Springer, vol. 11(1), pages 5-23, January.
    10. Schuhmacher, Frank & Eling, Martin, 2011. "Sufficient conditions for expected utility to imply drawdown-based performance rankings," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2311-2318, September.
    11. Ioan Trenca & Daniela Zapodeanu & Mihail Ioan Cociuba, 2017. "Assets Liabilities Models - A Literature Review," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 335-345, July.
    12. Gülpinar, Nalan & Pachamanova, Dessislava, 2013. "A robust optimization approach to asset-liability management under time-varying investment opportunities," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 2031-2041.
    13. Libo Yin & Liyan Han, 2020. "International Assets Allocation with Risk Management via Multi-Stage Stochastic Programming," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 383-405, February.
    14. Emmanouil Platanakis & Charles Sutcliffe, 2015. "Pension Scheme Redesign and Wealth Redistribution Between the Members and Sponsor: The USS Rule Change in October 2011," ICMA Centre Discussion Papers in Finance icma-dp2015-05, Henley Business School, University of Reading.
    15. Bakker, Hannah & Dunke, Fabian & Nickel, Stefan, 2020. "A structuring review on multi-stage optimization under uncertainty: Aligning concepts from theory and practice," Omega, Elsevier, vol. 96(C).
    16. Nalan Gülpınar & Dessislava Pachamanova & Ethem Çanakoğlu, 2016. "A robust asset–liability management framework for investment products with guarantees," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 38(4), pages 1007-1041, October.
    17. Agnieszka Karolina Konicz & David Pisinger & Alex Weissensteiner, 2016. "Optimal retirement planning with a focus on single and joint life annuities," Quantitative Finance, Taylor & Francis Journals, vol. 16(2), pages 275-295, February.
    18. Anne Pedersen & Alex Weissensteiner & Rolf Poulsen, 2013. "Financial planning for young households," Annals of Operations Research, Springer, vol. 205(1), pages 55-76, May.
    19. Hałaj, Grzegorz, 2016. "Dynamic balance sheet model with liquidity risk," Working Paper Series 1896, European Central Bank.
    20. Christopher Bayliss & Marti Serra & Armando Nieto & Angel A. Juan, 2020. "Combining a Matheuristic with Simulation for Risk Management of Stochastic Assets and Liabilities," Risks, MDPI, vol. 8(4), pages 1-14, December.
    21. Chul Jang & Andrew Clare & Iqbal Owadally, 2024. "Liability-driven investment for pension funds: stochastic optimization with real assets," Risk Management, Palgrave Macmillan, vol. 26(3), pages 1-32, September.
    22. Abdul Aziz, Nor Syahilla & Vrontos, Spyridon & M. Hasim, Haslifah, 2019. "Evaluation of multivariate GARCH models in an optimal asset allocation framework," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 568-596.
    23. Freeman, Mark C. & Groom, Ben, 2014. "Using equity premium survey data to estimate future wealth," LSE Research Online Documents on Economics 57161, London School of Economics and Political Science, LSE Library.
    24. de Haan, Leo & Kakes, Jan, 2011. "Momentum or contrarian investment strategies: Evidence from Dutch institutional investors," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2245-2251, September.
    25. Pejman Peykani & Mostafa Sargolzaei & Mohammad Hashem Botshekan & Camelia Oprean-Stan & Amir Takaloo, 2023. "Optimization of Asset and Liability Management of Banks with Minimum Possible Changes," Mathematics, MDPI, vol. 11(12), pages 1-24, June.

  2. Stefan Bühler & Anton Burger & Robert Ferstl, 2008. "The Investment Effects of Price Caps under Imperfect Competition: A Note," University of St. Gallen Department of Economics working paper series 2008 2008-17, Department of Economics, University of St. Gallen.

    Cited by:

    1. Breton, Michèle & Kharbach, Mohammed, 2012. "Transportation and storage under a dynamic price cap regulation process," Energy Economics, Elsevier, vol. 34(4), pages 918-929.
    2. Brown, David P. & Sappington, David E. M., 2022. "The Impact of Wholesale Price Caps on Forward Contracting," Working Papers 2022-12, University of Alberta, Department of Economics.
    3. Juha Teirilä & Robert A. Ritz, 2019. "Strategic Behaviour in a Capacity Market? The New Irish Electricity Market Design," The Energy Journal, , vol. 40(1_suppl), pages 105-126, June.
    4. Marcos, Félix, 2011. "Price regulation in oligopolistic markets," UC3M Working papers. Economics 13443, Universidad Carlos III de Madrid. Departamento de Economía.
    5. Teirila, J., 2017. "Market Power in the Capacity Market? The Case of Ireland," Cambridge Working Papers in Economics 1727, Faculty of Economics, University of Cambridge.

Articles

  1. Sigmund, Michael & Ferstl, Robert, 2021. "Panel vector autoregression in R with the package panelvar," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 693-720.

    Cited by:

    1. Pedro H. Albuquerque & Prasad R. Vemala, 2024. "Femicide Rates in Mexican Cities along the US-Mexico Border," Journal of Borderlands Studies, Taylor & Francis Journals, vol. 39(5), pages 897-911, September.
    2. Kim-Hung Pho & Ngoc-Hien Nguyen & Huu-Nhan Huynh & Wing-Keung Wong, 2021. "A Detailed Guide on How to Use Statistical Software R for Text Mining," Advances in Decision Sciences, Asia University, Taiwan, vol. 25(3), pages 92-110, September.
    3. Ma, Cong & Cheok, Mui Yee & Chok, Nyen Vui, 2023. "Economic recovery through multisector management resources in small and medium businesses in China," Resources Policy, Elsevier, vol. 80(C).
    4. Mariusz Kapuściński, 2023. "Updated estimates of the role of the bank lending channel in monetary policy transmission in Poland," NBP Working Papers 359, Narodowy Bank Polski.
    5. Dazhong Wu & Michael Tannen & Julius Anyu & Sergey Ivanov & Feng Xu, 2023. "Contract manufacturing, market competition, and labor productivity in US manufacturing industries," Operations Management Research, Springer, vol. 16(1), pages 377-390, March.
    6. Nerantzidis, Michail & Tzeremes, Panayiotis & Koutoupis, Andreas & Pourgias, Apostolos, 2022. "Exploring the black box: Board gender diversity and corporate social performance," Finance Research Letters, Elsevier, vol. 48(C).
    7. Maximilian Zurek, 2022. "Real Estate Markets and Lending: Does Local Growth Fuel Risk?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 62(1), pages 27-59, October.
    8. Dogan, Eyup & Chishti, Muhammad Zubair & Karimi Alavijeh, Nooshin & Tzeremes, Panayiotis, 2022. "The roles of technology and Kyoto Protocol in energy transition towards COP26 targets: Evidence from the novel GMM-PVAR approach for G-7 countries," Technological Forecasting and Social Change, Elsevier, vol. 181(C).
    9. Christos Kollias & Panayiotis Tzeremes, 2022. "Militarization, investment, and economic growth 1995–2019," Economics of Peace and Security Journal, EPS Publishing, vol. 17(1), pages 17-29, April.
    10. Zhang, Yonggang & Hyder, Mansoor & Baloch, Zulfiqar Ali & Qian, Chong & Berk Saydaliev, Hayot, 2022. "Nexus between oil price volatility and inflation: Mediating nexus from exchange rate," Resources Policy, Elsevier, vol. 79(C).

  2. Martin Feldkircher & Gerhard Fenz & Robert Ferstl & Gerald Krenn & Benjamin Neudorfer & Claus Puhr & Thomas Reininger & Stefan W. Schmitz & Martin Schneider & Christoph Siebenbrunner & Michael Sigmund, 2013. "ARNIE in Action: The 2013 FSAP Stress Tests for the Austrian Banking System," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 26, pages 100-118.

    Cited by:

    1. Nicolas Albacete & Judith Eidenberger & Gerald Krenn & Peter Lindner & Michael Sigmund, 2014. "Risk-Bearing Capacity of Households – Linking Micro-Level Data to the Macroprudential Toolkit," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 27, pages 95-110.
    2. Martin Guth & Christian Lipp & Claus Puhr & Martin Schneider, 2020. "Modeling the COVID-19 effects on the Austrian economy and banking system," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 40, pages 63-86.
    3. Pierluigi Bologna & Anatoli Segura, 2017. "Integrating Stress Tests within the Basel III Capital Framework: A Macroprudentially Coherent Approach," Journal of Financial Regulation, Oxford University Press, vol. 3(2), pages 159-186.
    4. Anastasios Petropoulos & Vasilis Siakoulis & Dionysios Mylonas & Aristotelis Klamargias, 2018. "A combined statistical framework for forecasting default rates of Greek Financial Institutions' credit portfolios," Working Papers 243, Bank of Greece.
    5. Anastasios Petropoulos & Vassilis Siakoulis & Konstantinos P. Panousis & Loukas Papadoulas & Sotirios Chatzis, 2020. "A Deep Learning Approach for Dynamic Balance Sheet Stress Testing," Papers 2009.11075, arXiv.org, revised Sep 2022.
    6. Ferrari, Stijn & Van Roy, Patrick & Vespro, Cristina, 2021. "Sensitivity of credit risk stress test results: Modelling issues with an application to Belgium," Journal of Financial Stability, Elsevier, vol. 52(C).
    7. Martin Guth & Jannika Hesse & Csilla Königswieser & Gerald Krenn & Christian Lipp & Benjamin Neudorfer & Martin Schneider & Philipp Weiss, 2021. "OeNB climate risk stress test – modeling a carbon price shock for the Austrian banking sector," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 42, pages 27-45.
    8. Christoph Siebenbrunner, 2021. "Quantifying the importance of different contagion channels as sources of systemic risk," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(1), pages 103-131, January.
    9. Mr. Dimitri G Demekas, 2015. "Designing Effective Macroprudential Stress Tests: Progress So Far and the Way Forward," IMF Working Papers 2015/146, International Monetary Fund.

  3. Robert Ferstl & David Seres, 2012. "Clustering Austrian Banks’ Business Models and Peer Groups in the European Banking Sector," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 24, pages 79-95.

    Cited by:

    1. Lagasio, Valentina & Quaranta, Anna Grazia, 2022. "Cluster analysis of bank business models: The connection with performance, efficiency and risk," Finance Research Letters, Elsevier, vol. 47(PA).

  4. Ferstl, Robert & Weissensteiner, Alex, 2011. "Asset-liability management under time-varying investment opportunities," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 182-192, January.
    See citations under working paper version above.
  5. Buehler, Stefan & Burger, Anton & Ferstl, Robert, 2010. "The investment effects of price caps under imperfect competition: A note," Economics Letters, Elsevier, vol. 106(2), pages 92-94, February.
    See citations under working paper version above.
  6. Ferstl, Robert & Hayden, Josef, 2010. "Zero-Coupon Yield Curve Estimation with the Package termstrc," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 36(i01).

    Cited by:

    1. João Caldeira & Guilherme Moura & André Santos, 2015. "Measuring Risk in Fixed Income Portfolios using Yield Curve Models," Computational Economics, Springer;Society for Computational Economics, vol. 46(1), pages 65-82, June.
    2. Emiliano Delfau, 2017. "Métodos de Estimación de Curvas de Rendimiento Cupón Cero en Argentina," CEMA Working Papers: Serie Documentos de Trabajo. 623, Universidad del CEMA.
    3. Ranik Raaen Wahlstrøm & Florentina Paraschiv & Michael Schürle, 2022. "A Comparative Analysis of Parsimonious Yield Curve Models with Focus on the Nelson-Siegel, Svensson and Bliss Versions," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 967-1004, March.
    4. Francisco Rivadeneyra, 2012. "The U.S.-Dollar Supranational Zero-Coupon Curve," Discussion Papers 12-5, Bank of Canada.
    5. Prokopczuk, Marcel & Siewert, Jan B. & Vonhoff, Volker, 2013. "Credit risk in covered bonds," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 102-120.

  7. Robert Ferstl & Alex Weissensteiner, 2010. "Cash management using multi-stage stochastic programming," Quantitative Finance, Taylor & Francis Journals, vol. 10(2), pages 209-219.

    Cited by:

    1. Libo Yin & Liyan Han, 2013. "Options strategies for international portfolios with overall risk management via multi-stage stochastic programming," Annals of Operations Research, Springer, vol. 206(1), pages 557-576, July.
    2. Pokutta, Sebastian & Schmaltz, Christian, 2011. "Managing liquidity: Optimal degree of centralization," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 627-638, March.
    3. Schroeder, Pascal & Kacem, Imed, 2020. "Competitive difference analysis of the cash management problem with uncertain demands," European Journal of Operational Research, Elsevier, vol. 283(3), pages 1183-1192.
    4. Robert Ferstl & Alex Weissensteiner, 2010. "Backtesting short-term treasury management strategies based on multi-stage stochastic programming," Journal of Asset Management, Palgrave Macmillan, vol. 11(2), pages 94-112, June.
    5. Libo Yin & Liyan Han, 2020. "International Assets Allocation with Risk Management via Multi-Stage Stochastic Programming," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 383-405, February.
    6. Geyer, Alois & Hanke, Michael & Weissensteiner, Alex, 2010. "No-arbitrage conditions, scenario trees, and multi-asset financial optimization," European Journal of Operational Research, Elsevier, vol. 206(3), pages 609-613, November.
    7. Havran, Dániel, 2008. "Pénzgazdálkodási szokások hatása a működőtőkére. A Magyar Posta példája [The effect of financial management habits on operating capital. The example of the Hungarian Post Office]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(10), pages 907-926.

Chapters

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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 1 paper 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-MIC: Microeconomics (1) 2008-09-13
  2. NEP-REG: Regulation (1) 2008-09-13

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