Eva Lütkebohmert is Professor of Quantitative Finance at the University of Freiburg. She studied mathematics at the Universities of Bonn and Toronto and received her PhD in mathematics at the University of Bonn in 2004. She worked as a research analyst in the department for banking supervision at Deutsche Bundesbank from 2005 to 2006 and was member of the RTF subgroup on concentration risks of the BCBS. From 2006 to 2009 she was assistant professor at the Faculty of Social Sciences and Economics at the University of Bonn. Afterwards she switched to the University of Freiburg as head of the research group “Financial Mathematics: Pricing of Risks in Incomplete Markets”. Since 2013 she has been Professor of Quantitative Finance at the University of Freiburg.
Her research focusses on both the theoretical and empirical analysis of financial markets and lies at the intersection between economics, mathematics and statistics. She has published various articles on the management and modelling of financial risks, in particular credit and liquidity risks, on interest rate markets, pricing and hedging of financial derivatives and further topics. Her current research interests focus on multiple yield curves, systemic risk and financial stability as well as model risk.
This paper proposes a methodology to quantify capital charges for concentration risk when economic capital calculations are conducted within a multifactor Merton framework.