Learning and Optimal Delay in Bargaining over Sovereign Debt Restructuring (with Ryan Stauffer)
Preliminary and incomplete
Restructuring Failure and Optimal Capital Structure
Paper has been accepted for presentation at: CREDIT conference 2015, European Finance Association 2015, European Winter Finance Summit 2015, Midwest Finance Association 2014, Financial Intermediation Research Society Conference 2014, European Financial Management association 2014, Rome, UBC Summer conference 2014 (3 slide session)
Emergency liquidity facilities, signaling, and funding costs (with Céline Gauthier, Hector Perez Saiz, and Moez Souissi)
Paper has been accepted for presentation at: Canadian Economic Association 2013, Northern Finance Association 2013, Midwest Finance Association 2014
Why are Banks Highly Interconnected? (with Alexander David)
Paper presented at: Workshop Systemic Risk: Models and Mechanisms, Isaac Newton Institute, Cambridge 2014, Bank of Japan 2014, Fields Institute 2013, Bank of Korea Conference on Systemic Risk Modeling, 2013, Financial Engineering and Banking Society 2013, European Finance Association 2012, Financial Intermediation Research Society 2012, European Finance Association 2012, CEPR-EBC-Uni St.Gallen Winter Conference on Financial Intermediation 2012, University of British Columbia, University of Alberta, CREDIT 2011, Forum on The Financial Crisis and its Impact on Asia 2009, Eastern Finance Association, Econometric Society Summer meetings 2009, Austrian National Bank, Northern Finance Association 2008, University of Waterloo.
Using Price Information as an Instrument of Market
Discipline in Regulating Bank Risk (with Duane Seppi and Günter Strobl)
Paper presented at: FIRS 2006, Western Finance Association 2006, University of Hamburg 2006, University of Mannheim 2005, Imperial College 2005, Norges Bank 2005, Northern Finance Association 2005.
Industry Structure and the Strategic Provision of Trade Credit by Upstream Firms (with Yang Song and Lasheng Yuan)
Paper presented at: Western Finance Association 2014, Northern Finance Association 2012, International Industrial Organization Conference 2012, Canadian Economic Association.
Alternative Value-at-Risk Models for Options
Paper presented at: GARP Research Conference 2000, London; Computation in Economics and Finance 2000, Barcelona; European Financial Management Association 2000, Athens; Southern Finance Association Meetings 2000, Savannah (winner of the best paper on derivatives award).
Mahdi Ebrahimi Kahou, Alfred Lehar, Macroprudential Policy: A Review Journal of Financial Stability 29, 2017, 92-105.
Helmut Elsinger, Alfred Lehar, Martin Summer, Network models and systemic risk assessment, in Handbook of Systemic Risk, edited by Jean-Pierre Fouque and Joseph A. Langsam, Cambridge University Press, 2013.
Celine Gauthier, Alfred Lehar, Moez Souissi, Macroprudential capital requirements and systemic risk, Journal of Financial Intermediation, Journal of Financial Intermediation 21(4), 2012, 594-618.
Helmut Elsinger, Alfred Lehar, Martin Summer, Risk Assessment for Banking Systems, Management Science 52(9), 2006, 1301-1314, Appendix.
Alfred Lehar, Otto Randl, Chinese Walls in German Banks, Review of Finance 10(2), 2006, 301-320.
Helmut Elsinger, Alfred Lehar, Martin Summer, Using Market Information for Banking System Risk Assessment, International Journal of Central Banking 2(1), 2006, 137-165.
Helmut Elsinger, Alfred Lehar, Martin Summer, Systemically Important Banks: An Analysis for the European Banking System , International Economics and Economic Policy 3(1), 2006, 73-89.
Alfred Lehar, Measuring Systemic Risk: A Risk Management Approach, Journal of Banking and Finance 29 (10), 2005, 2577-2603 (previously circulated as "Implementing a portfolio perspective in banking supervision").
Thomas Dangl, Alfred Lehar, Value-at-risk vs. building block regulation in banking , Journal of Financial Intermediation 13, 2004, 96-131.
Alfred Lehar, Martin Scheicher, Christian Schittenkopf, GARCH vs Stochastic Volatility: Option Pricing and Risk Management, Journal of Banking and Finance 26(2-3), 2002, 323-345.
Alfred Lehar, Martin Scheicher, Günter Strobl, Trade versus Time Series based Volatility Forecasts: Evidence from the Austrian Stock Market, Financial Markets and Portfolio Management 15(4), 2001, 500-515.
Celine Gauthier, Alfred Lehar, and Moez Souissi, Towards a Stress-Testing Model Consistent with the Macroprudential Approach, Bank of Canada Financial System Review, December 2009, 53-57.
Helmut Elsinger, Alfred Lehar, Martin Summer, A New approach to assess the risk of interbank loans, Financial Stability Report 3, Oesterreichische Nationalbank, Juni/June 2002.
Alfred Lehar, Franz Welt, Christoph Wiesmayr, Josef Zechner, Risikoadjustierte Performancemessung in Banken - Konzepte zur Risiko-Ertragssteuerung, Österreichisches Bankarchiv, Dezember 1998.
Alfred Lehar, Otto Randl, Besonderheiten von Analystenvorhersagen in Universalbanken, Österreichisches Bankarchiv, Mai 2002, 366-370.