Lehrstuhl für Betriebswirtschaftslehre mit Schwerpunkt Finance und Banking
Prof. Dr. Oliver Entrop

Prof. Dr. Oliver Entrop

Prof. Dr. Oliver Entrop
Prof. Dr. Oliver Entrop

Raum WIWI 006
Innstraße 27

Tel.: +49 851 509-2460
Fax: 0851/509-2462 Oliver.EntropatUni-Passau.De Website Sprechzeiten:

Do., 13.00-14.00 Uhr (nach Anmeldung per Email)

Research Areas

Capital Markets, Financial Engineering and Structured Products, Bank Management, Interest Rate and Credit Risk, Risk Management

Short Biography

  • since 9/2010: Professor of Finance and Banking, Chair of Finance and Banking, University of Passau

  • 2010: Habilitation in Business Administration (Dr. rer. pol. habil.), Catholic University of Eichstätt-Ingolstadt
  • 2006: Doctorate in Finance (Dr. rer. pol.), Catholic University of Eichstätt-Ingolstadt
  • 2006: Visiting Research Fellow, School of Banking and Finance, University of New South Wales, Sydney
  • 2001-2010: Research Associate, doctoral candidate and postdoctoral fellow (wissenschaftlicher Mitarbeiter, akademischer Rat a.Z.), Chair of Finance and Banking, Ingolstadt School of Management, Catholic University of Eichstätt-Ingolstadt
  • 1999-2001: Research Associate, Institute of Finance and Banking, University of Göttingen
  • Dipl.-Math. (MSc in Mathematics), University of Göttingen 
  • Studies of Mathematics and Business Administration, University of Göttingen

Service

  • 9/2015-9/2017: Vice-Head Section Banking and Finance (BAFI) of the German Academic Association for Business Research (Verband der Hochschullehrer für Betriebswirtschaft, VHB)
  • 10/2013-9/2016: Dean of studies
  • 10/2013-9/2016: Head of examination boards: BSc in Business Administation and Economics,  BSc in Business Computing, MSc in Business Administration
  • 10/2013-9/2016: Head of selection committee MSc in Business Administration
  • 10/2013-9/2016: Board of directors Center for Key Skills
  • 10/2011-9/2016: Member faculty council
  • 10/2011-9/2013: Member permanent doctoral examination board
  • since 10/2011: Students mentor and member of selection committees, Max Weber-Program of the State of Bavaria (according to "Bavarian Elite Aid Act") 
  • since 10/2010: Member selection committee MA International Economics and Business

Editorial Board

Awards

  • BuR (Business Research) Reviewer of the Year 2013 in Finance
  • Best Paper Award German Finance Association Annual Meeting 2007
  • "Förderpreis" 2007 of BayernLB for dissertation

Working Paper

  • What do Loan Characteristics Reveal about the Prepayment Behavior of Mortgagors?
    Working Paper, 2015 (with Henning Jürgens and Marco Wilkens)

  • What Makes Individual Investors Exercise Early? Empirical Evidence from the Fixed-Income Market.
    Working Paper, 2014 (with Mathias Eickholt and Marco Wilkens)
    Abstract and Download
    accepted for presentation:

    • University of Marburg Research Seminar, June 18, 2015. (invited)
    • Joint Conference of the Annual Meeting of the German Finance Association (DGF) and the Symposium on Finance, Banking, and Insurance 2014, Karlsruhe, December 19-20, 2014.
    • Financial Management Association (FMA) Annual Meeting 2014, Nashville/TN, October 15-18, 2014.
    • International Finance and Banking Society (IFABS) Conference 2014, Lisbon, June 18-20, 2014.

  • Open-end Knock-outs on Bond Futures: Valuation, Properties and Estimation of Hidden Profit Drivers.
    Working Paper, 2014 (with Christian Peters and Marco Wilkens)
    Abstract and Download
    accepted for presentation:

    • International Finance and Banking Society (IFABS) Conference 2014, Lisbon, June 18-20, 2014.
    • Swiss Society for Financial Markets Research Conference 2014, Zurich, April 11, 2014.

  • Market Timing, Maturity Mismatch, and Risk Management: Evidence from the Banking Industry.
    Working Paper, 2013 (with Thomas Kick, Benedikt Ruprecht, and Marco Wilkens)
    Deutsche Bundesbank Discussion Paper No 56/2013
    Abstract and Download
  • Individual Investors and Suboptimal Early Exercises in the Fixed-income Market.
    Working Paper, 2014 (with Mathias Eickholt and Marco Wilkens)
    Abstract and Download
    accepted for presentation:

    • Southern Finance Association Annual Meetings, Key West, November 19-22, 2014.
    • University of Göttingen Research Seminar, July 14, 2014. (invited)
    • Swiss Society for Financial Markets Research Conference 2014, Zurich, April 11, 2014.

  • The Impact of Greed and Experience on Private Investors’ Returns and Banks’ Margins: The Case of Short-term Exchange-traded Retail Products.
    Working Paper, 2012 (with Alexander Schober and Marco Wilkens)
    Abstract and Download
    accepted for presentation:

    • Eastern Finance Association Annual Meeting, St. Pete Beach (FL), April 10-13, 2013.
    • German Finance Association (DGF) Annual Meeting, Hannover, October 5-6, 2012.

  • The Pricing Policy of Banks for Exchange-traded Leverage Certificates: Interday and Intraday Effects.
    Working Paper, 2013 (with Alexander Schober and Marco Wilkens)
    Abstract and Download
    accepted for presentation:

    • Eastern Finance Association Annual Meeting, St. Pete Beach (FL), April 10-13, 2013.
    • Quantitative Methods in Finance 2011 Conference, Sydney, December 14-17, 2011.
    • 2011 German Finance Association (DGF)  Annual Meeting, Regensburg, September 30 - October 1, 2011.
    • European Retail Investment Conference 2011, Stuttgart, February 24-25, 2011.

  • Non-maturing Assets and Liabilities of Banks: Valuation and Risk Measurement.
    Working Paper. (with Arne Krombach, Christoph Memmel, and Marco Wilkens)
    Abstract and Download
    accepted for presentation:

    • Banking Workshop Münster 2009, May 8-9, 2009.

    • German Finance Association Annual Meetings 2009, Frankfurt, October 9-10, 2009.

    • Southern Finance Association Annual Meetings, Captiva Island FL, November 18-21, 2009.

    • Quantitative Methods in Finance (QMF) 2009, Sydney, December 16-19, 2009.

    • Annual Australasian Finance and Banking Conference (AFBC)  2009, Sydney, December 16-19, 2009. 

  • Estimating the Interest Rate Risk of Banks Using Time Series of Accounting-Based Data.
    (Former title/similiar version: Analyzing the Interest Rate Risk of Banks Using Time Series of Accounting-Based Data: Evidence From Germany, Deutsche Bundesbank Discussion Paper Series 2, no. 01/2008).
    Working Paper. (with Christoph Memmel, Marco Wilkens, and Alexander Zeisler)
    Abstract and Download
    accepted for presentation: 

    • 6. Workshop der GOR-Arbeitsgruppe "Finanzwirtschaft und Finanzinstitutionen", Ingolstadt, 05. Mai 06.
    • Operations Research 2006, Karlsruhe, September 6-8, 2006.
    • European Financial Management Association Annual Meeting 2007, Vienna, June 27-30, 2007.
    • 14th Annual Meeting of the German Finance Association, Dresden, September 28-29, 2007.
    • 2007 FMA Annual Meeting, Orlando, October 17-20, 2007.

    • Southern Finance Association Annual Meetings, Captiva Island FL, November 18-21, 2009.

  • The Valuation of Deposit Insurance in an Arbitrage-free Basel II Consistent Framework.
    Working Paper. (with Marco Wilkens)
    accepted for presentation: 

    • Operations Research 2006, Karlsruhe, September 6-8, 2006.
    • 19th Australasian Finance and Banking Conference, Sydney, December 13-15, 2006.
    • 2007 FMA European Conference, Barcelona, May 30-June 1, 2007.
    • European Financial Management Association Annual Meeting 2007 , Vienna, June 27-30, 2007.
    • 2007 FMA Annual Meeting, Orlando, October 17-20, 2007.

Publications

Peer-reviewed

  • Market Makers’ Optimal Price-Setting Policy for Exchange-Traded Certificates.
    Journal of Banking and Finance, 2016, forthcoming. (with Stefanie Baller, Michael McKenzie, and Marco Wilkens)
  • Looking beyond Average Interest Rate Risk: Determinants of High Exposures.
    Quarterly Review of Economics and Finance, 2016, forthcoming (with Ludwig von la Hausse and Marco Wilkens)
    Abstract and Download
  • How Does Pricing Affect Investors’ Product Choice? Evidence from the Market for Discount Certificates.
    Journal of Banking and Finance, 68, 2016, 195-215. (with Georg Fischer, Michael McKenzie, Marco Wilkens, and Christoph Winkler)
    Abstract and Download
  • The Performance of Individual Investors in Structured Financial Products.
    Review of Quantitative Finance and Accounting, 46(3), 2016, 569-604. (with Michael McKenzie, Marco Wilkens, and Christoph Winkler)
    Abstract and Download
  • Determinants of Bank Interest Margins: Impact of Maturity Transformation.
    Journal of Banking and Finance, 54, 2015, 1-19. (with Christoph Memmel, Benedikt Ruprecht, and Marco Wilkens)
    Abstract and Download
  • Spread Risk Premia in Corporate Credit Default Swap Markets.
    Credit and Capital Markets, 47(4), 2014, 571-610. (with Richard Schiemert and Marco Wilkens)
    Abstract and Download
  • Valuation Differences between Credit Default Swap and Corporate Bond Markets.
    Journal of Credit Risk, 9(4), 2013, 3-46. (with Richard Schiemert and Marco Wilkens)
    Link; Abstract
  • Quantifiying the Interest Rate Risk of Banks: Assumptions Do Matter.
    European Financial Management, 15(5), 2009, 1001-1018. (with Marco Wilkens and Alexander Zeisler)
    Abstract and Download
  • The Price-setting Behavior of Banks: An Analysis of Open-end Leverage Certificates on the German Market.
    Journal of Banking and Finance, 33(5), 2009, 874-882. (with Hendrik Scholz and Marco Wilkens)
    Abstract and Download
  • The Performance of Investment Grade Corporate Bond Funds: Evidence from the European Market.
    European Journal of Finance, 15(2), 2009, 191-209. (with Leif Holger Dietze and Marco Wilkens)
    Abstract and Download
    Reprinted in: Wolfgang Bessler, Wolfgang Drobetz and Chris Adcock (eds.): Asset Management and International Capital Markets. London and New York, 215-234.
  • Non-maturing Deposits, Convexity and Timing Adjustments .
    Operations Research Proceedings 2007. Ed. by Jörg Kalcsics and Stefan Nickel, Berlin 2008, 263-268. (with Marco Wilkens)
  • Credit Risk and Bank Margins in Structured Financial Products: Evidence from the German Secondary Market for Discount Certificates.
    Journal of Futures Markets, 28(4), 2008, 376-397. (with Rainer Baule and Marco Wilkens)
    Abstract and Download, Download
  • A New Methodology to Derive a Bank's Maturity Structure Using Accounting-Based Time Series Information.
    Operations Research Proceedings 2006. Ed. by Karl-Heinz Waldmann and Ulrike M. Stocker, Berlin 2007, 299-304. (with Christoph Memmel, Marco Wilkens, Alexander Zeisler)
  • Turbo-Zertifikate - Vier Generationen.
    Die Betriebswirtschaft, 65(5), 521-525. (with Hendrik Scholz and Marco Wilkens)
  • Bundesschatzbriefe - Bewertung und empirische Analyse der Attraktivität für Anleger und Bund.
    Zeitschrift für Betriebswirtschaft, 74(9), 905-931. (with Marco Wilkens and Rainer Baule)
    Download
  • Outperformance-Zertifikate auf Aktienindizes in Fremdwährungsräumen.
    Kredit und Kapital, 4/2001, 473-504. (with Marco Wilkens and Hendrik Scholz)
    Download (Duncker & Humblot)
  • Bewertung und Konstruktion von attraktiven strukturierten Produkten am Beispiel von Cheapest-to-Deliver-Aktienzertifikaten.
    Österreichisches Bankarchiv, 12/2001, 931-940. (with Marco Wilkens and Hendrik Scholz)
    Download

Non-peer-reviewed

  • IRB-Ansatz in Basel II - die Behandlung erwarteter Verluste.
    Zeitschrift für das gesamte Kreditwesen, 14/2004, 734-737. (with Marco Wilkens and Rainer Baule)
    Download
    Download Excel-file   
  • Basel II - Die neuen Eigenmittelanforderungen im IRB-Ansatz nach QIS3.
    Zeitschrift für das gesamte Kreditwesen, 22/2002, 1198-1201. (with Marco Wilkens and Rainer Baule)
    Download
    Download Excel-file
  • Quanto-Zertfikate auf den Nikkei.
    Die Bank, 09/2002, 611-615. (with Marco Wilkens and Rainer Baule)
  • Zum Einfluss der Fristentransformation auf den Wert einer Bank.
    Sparkasse, 08/2002, 360-364. (with Marco Wilkens and Hendrik Scholz)
    Download  
  • Eigenkapitalanforderungen für Kreditrisiken - Analyse des modifizierten IRB-Ansatzes.
    Zeitschrift für das gesamte Kreditwesen, 3-4/2002, 141-146. (with Marco Wilkens and Hendrik Scholz)
    Download
    Download Excel-file
  • Vergleichende Buchbesprechung: Informationssysteme in der Bankwirtschaft.
    Wirtschaftsinformatik, 43(6), 641-645. (with Marco Wilkens)
  • Basel II - Berücksichtigung von Diversifikationseffekten im Kreditportfolio durch das Granularity Adjustment.
    Zeitschrift für das gesamte Kreditwesen, 12/2001, 670-676. (with Marco Wilkens and Rainer Baule) 
    Download
    Download Excel-file   
  • Strukturen und Methoden von Basel II - Grundlegende Veränderungen der Bankenaufsicht.
    Zeitschrift für das gesamte Kreditwesen, 4/2001, 187-193. (with Marco Wilkens and Jörg Völker) 
    Download
    Download Excel-file   
  • Multi Callable Step-up Bonds - attraktive Fixed Income Produkte.
    Sparkasse, 02/2001, 75-77. (with Marco Wilkens and Rainer Baule) 
  • Bull-Anleihen auf internationale Aktienindizes: Hohe Partizipation ohne Währungsrisiko.
    Die Bank, 11/2000, 754-759. (with Marco Wilkens and Hendrik Scholz)  
  • Innovative Passivprodukte am Beispiel von KickStart-Zertifikaten.
    Sparkasse, 10/2000, 462-466. (with Marco Wilkens and Hendrik Scholz)

Book Chapters

  • Retail-Zertifikate im deutschen Markt.
    in: Anlegerschutz und Stabilit der Finanzmärkte. Ed. by Hartmut Koschyk, Stefan Leible und Klaus Schäfer, Bayreuther Studien zum Wirtschafts- und Medienrecht, Bd. 7, Jena 2012, 111-129.
    Download
  • Erfassung des Kreditrisikos nach Basel II - Eine Reflexion aus wissenschaftlicher Sicht.
    in: Basel II und MaRisk - Regulatorische Vorgaben, bankinterne Verfahren, Bewertungen. Ed. by Gerhard Hofmann, Frankfurt/M. 2007, 69-100. (with Marco Wilkens and Rainer Baule)
    Download Excel-file
  • Ertragspotenziale für Banken durch verdeckte Fristentransformation.
    in: Börsen, Banken und Kapitalmärkte. Ed. by Wolfgang Bessler, Berlin 2006, 381-401. (with Marco Wilkens and Robert Sünderhauf). 
  • Performancemessung und Kapitalallokation im Handelsbereich einer Bank – Zur Marktphasenabhängigkeit von RORAC und RAROC.
    in: Kapitalmarkt, Unternehmensfinanzierung und rationale Entscheidungen. Ed. by Wolfgang Kürsten and Bernhard Nietert, Berlin 2006, 129-148. (with Marco Wilkens and Hendrik Scholz) 
  • Risikoprämien in Optionspreisen - Reale und risikoneutrale Welten und die Beurteilung von Derivaten.
    in: Banken, Finanzierung und Unternehmensführung.  Ed. by Thomas Burkhardt, Jan Körnert, and Ursula Walther, Berlin 2004, 471-500. (with Marco Wilkens and Rainer Baule)
  • Erfassung des Kreditrisikos nach Basel II - Eine Reflexion aus wissenschaftlicher Sicht.
    in: Basel II und MaK - Regulatorische Vorgaben, bankinterne Verfahren, Bewertungen. Ed. by Gerhard Hofmann, 2. vollst. überarb. Aufl., Frankfurt/M. 2004, 61-92. (with Marco Wilkens and Rainer Baule)
  • Fristentransformation als Lösungsansatz für das Ertragsproblem von Banken?
    in: Wege aus der Banken- und Börsenkrise. Ed. by Leo Schuster and Alex W. Widmer, Berlin u. a. 2004, 427-443. (with Marco Wilkens and Hendrik Scholz)
  • Bankaufsichtsrechtliche Regulierung von Unternehmen der Energiewirtschaft vor dem Hintergrund von Basel II.
    in: Handel mit Energiederivaten. Ed. by Ines Zenke and Niels Ellwanger, München 2003, 278-306. (with Marco Wilkens and Hendrik Scholz)
  • Erfassung des Kreditrisikos nach Basel II - Eine Reflexion aus wissenschaftlicher Sicht.
    in: Basel II und MaK: Vorgaben, bankinterne Verfahren, Bewertungen. Ed. by Gerhard Hofmann, Frankfurt/M. 2002, 47-76. (with Marco Wilkens and Rainer Baule)
  • Erfassung des Kreditrisikos aus wissenschaftlicher Sicht.
    in: Auf dem Weg zu Basel II: Konzepte, Modelle, Meinungen. Ed. by Gerhard Hofmann, Frankfurt/M. 2001, 39-64. (with Marco Wilkens and Rainer Baule) 
  • Credit-Value-at-Risk unter besonderer Berücksichtigung des Zusammenhangs von Markt- und Kreditrisiken.
    in: Finanzielle Märkte und Banken - Innovative Entwicklungen am Beginn des 21. Jahrhunderts. Ed. by Jonny Holst and Marco Wilkens, Berlin 2000, 257-285.

Conferences

  • German Finance Association (DGF) Annual Meeting, Augsburg, 2005 (1 paper) , Dresden, 2007 (1+1* paper), Frankfurt, 2009 (1* paper), Regensburg, 2011 (1 paper),  Hanover, 2012 (1* Paper), Wuppertal, 2013 (1* paper)
  • European Economic Association (EEA) Annual Congress, Malaga, 2012 (1* paper) 
  • Symposium on Finance, Banking, and Insurance, Karlsruhe, 2011 (1* paper)
  • Financial Management Association (FMA) Annual Meeting, Orlando, 2007 (1+2* paper)
  • Financial Management Association (FMA) European Conference, Stockholm, 2006 (1 paper), Barcelona, 2007 (1 paper)
  • Financial Management Association (FMA) Asian Conference, Tokyo, 2014 (2* paper)
  • Southern Finance Association (SFA) Annual Meeting, Charleston, 2007 (1 paper), Key West, 2008 (1 paper), Captiva Island FL, 2009 (1* paper)

  • International Finance and Banking Society (IFABS) conference, Valencia, 2012 (1* paper)

  • Verein für Socialpolitik Annual Congress, Munich, 2007 (1* paper)

  • Eastern Finance Association Annual Meeting, New Orleans, 2007 (1* paper)
  • Southwestern Finance Association Annual Meeting, San Diego, 2007 (1* paper)
  • Midwest Finance Association Annual Meeting, Minneapolis, 2007 (1* paper)
  • European Financial Management Association Annual Conference, Madrid,  2006 (1* paper) , Vienna, 2007 (2+1* paper) , Athens, 2008 (1* paper) , Barcelona, 2012 (1 paper), Rome, 2014 (1* paper)
  • Australasian Banking and Finance Conference, Sydney, 2005 (2* paper), 2006 (2 paper), 2009 (1 paper)
  • Quantitative Methods in Finance (QMF), Sydney, 2009 (1 paper), Sydney, 2011 (1* paper)
  • French Finance Association International Meeting, Paris, 2005 (1 paper), Lyon, 2013 (1* paper)
  • Swiss Society for Financial Market Research, Annual Conference,  Zürich, 2005 (1* paper), 2007 (1 paper) 
  • Pfingsttagung des Verbandes der Hochschullehrer für Betriebswirtschaft, Zürich, 2003 (1* paper), Kiel, 2005 (1* paper), Paderborn, 2007 (1* paper) 
  • Asian Finance Association Annual Conference, Kuala Lumpur, 2005 (1 paper), Nanchang, 2013 (1* paper)
  • European Retail Investment Conference, Stuttgart, 2011 (1* paper), Stuttgart, 2013 (1* paper)
  • German Classification Society (GfKl) Annual Conference, Dortmund, 2004 (1 paper)
  • Portuguese Finance Network International Conference, Porto, 2006 (1*paper)  
  • Operations Research, Karlsruhe, 2006 (1+1* paper), Saarbrücken 2007 (1 paper) 
  • Deutsche Bundesbank Workshop on “Research on financial stability using Bundesbank banking data, Frankfurt/M., 2006 (1* paper)
  • Banking Workshop Münster, 2008 (1 paper), 2009 (1* paper) 
  • Workshop of the GOR-comittee "Corporate Finance and Financial Institutions", Ingolstadt, 2006 (1* paper) , Augsburg, 2007 (1 paper) 
  • Tagung "Mathematik bei Banken und Versicherungen - Mathematische Konzepte für finanzielle Risiken", Freiberg, 2003 (1+2* paper)

* presented by a co-author