Prof. Dr. Holger Kraft

SAFE Publications

Author/s	Title	Research Area	Published
Christoph Hambel, Holger Kraft, Lorenz Schendel, Mogens Steffensen	Life Insurance Demand under Health Shock Risk Journal of Risk and Insurance	Household Finance	2017
Marius Ascheberg, Nicole Branger, Holger Kraft, Frank Thomas Seifried	When Do Jumps Matter for Portfolio Optimization? Quantitative Finance	Financial Markets	2016
Michael Brennan, Holger Kraft	Leaning Against the Wind: Debt Financing in the Face of Adversity Financial Management	Financial Markets	2018
Holger Kraft, Frank Thomas Seifried	Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility Journal of Economic Theory	Financial Markets	2014
Nicole Branger, Holger Kraft, Christoph Meinerding	The Dynamics of Crises and the Equity Premium Review of Financial Studies	Systemic Risk Lab, Financial Markets	2016
Nicole Branger, Holger Kraft, Christoph Meinerding	Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio Optimization Journal of Economic Dynamics and Control	Systemic Risk Lab, Financial Markets, Transparency Lab	2014
Holger Kraft, Claus Munk, Frank Thomas Seifried, Sebastian Wagner	Consumption Habits and Humps Economic Theory	Household Finance	2017
Holger Kraft, Claus Munk, Sebastian Wagner	Housing Habits and Their Implications for Life-Cycle Consumption and Investment Review of Finance	Household Finance	2018
Holger Kraft, Eduardo S. Schwartz, Farina Weiss	Growth Options and Firm Valuation European Financial Management	Financial Markets	2018
Holger Kraft, Thomas Seiferling, Frank Thomas Seifried	Optimal Consumption and Investment with Epstein-Zin Recursive Utility Finance and Stochastics	Financial Markets	2017

SAFE Working Papers

No.	Author/s	Title	Research Area
25	Holger Kraft, Alexander Schmidt	Systemic Risk in the Financial Sector: What Can We Learn from Option Markets?	Systemic Risk Lab, Financial Institutions
17	Holger Kraft, Frank Thomas Seifried	Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility	Financial Markets
181	Holger Kraft, Farina Weiss	Consumption-Portfolio Choice with Preferences for Cash	Household Finance
40	Christoph Hambel, Holger Kraft, Lorenz Schendel, Mogens Steffensen	Life Insurance Demand under Health Shock Risk	Household Finance
92	Christoph Hambel, Holger Kraft, Eduardo S. Schwartz	Optimal Carbon Abatement in a Stochastic Equilibrium Model with Climate Change	Systemic Risk Lab, Macro Finance
139	Holger Kraft, Claus Munk, Farina Weiss	Predictors and Portfolios Over the Life Cycle	Household Finance
119	Michael Brennan, Holger Kraft	Leaning Against the Wind: Debt Financing in the Face of Adversity	Financial Markets
53	Holger Kraft, Claus Munk, Frank Thomas Seifried, Mogens Steffensen	Consumption and Wage Humps in a Life-Cycle Model with Education	Household Finance
16	Marius Ascheberg, Nicole Branger, Holger Kraft, Frank Thomas Seifried	When Do Jumps Matter for Portfolio Optimization?	Financial Markets
52	Holger Kraft, Thomas Seiferling, Frank Thomas Seifried	Optimal Consumption and Investment with Epstein-Zin Recursive Utility	Financial Markets
11	Nicole Branger, Holger Kraft, Christoph Meinerding	The Dynamics of Crises and the Equity Premium	Systemic Risk Lab, Financial Markets
28	Nicole Branger, Holger Kraft, Christoph Meinerding	Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio Optimization	Transparency Lab, Systemic Risk Lab, Financial Markets
34	Nicole Branger, Patrick Grüning, Holger Kraft, Christoph Meinerding, Christian Schlag	Asset Pricing Under Uncertainty About Shock Propagation	Financial Markets
85	Holger Kraft, Claus Munk, Sebastian Wagner	Housing Habits and Their Implications for Life-Cycle Consumption and Investment	Household Finance
15	Holger Kraft, Claus Munk, Frank Thomas Seifried, Sebastian Wagner	Consumption Habits and Humps	Household Finance
6	Holger Kraft, Eduardo S. Schwartz, Farina Weiss	Growth Options and Firm Valuation	Financial Markets, Transparency Lab

SAFE Research Projects

Researcher	Project	Category	Status	Project Duration	Publication Count
Helmut Gründl, Martin Götz, Holger Kraft, Raimond Maurer	Demographic Changes, Optimal Design of Life Insurance Contracts and Household Welfare	Household Finance, Financial Institutions	Ongoing	2016	1
Holger Kraft	The Sovereign-Bank Loop: Contagion Between Sovereign and Bank Credit Markets	Financial Institutions	Completed	2014	1
Christoph Hambel, Holger Kraft, Claus Munk, Sebastian Wagner, Farina Weiss	Household Decisions when Stocks, Labor Income and House Prices Share a Common Trend	Household Finance	Completed	2014	1
Christoph Hambel, Holger Kraft, Claus Munk, Peter Schwamborn, Sebastian Wagner, Farina Weiss	How Does Lifelong Learning Influence Consumption Portfolio Choice?	Household Finance	Completed	2014	1
Christoph Hambel, Holger Kraft, Frank Thomas Seifried, Sebastian Wagner, Farina Weiss	The Continuous-Time Limit of Recursive Utility	Financial Markets	Completed	2014	1
Holger Kraft, Christoph Kühn, André Meyer-Wehmann	Get ahead of the Joneses: Social Status	Household Finance	Ongoing	2017	1
Holger Kraft, Farina Weiss	Bequeathing Illiquid Assets across Generations in an Aging Society	Financial Markets, Household Finance	Ongoing	2016	1
Holger Kraft, Claus Munk, Frank Thomas Seifried, Sebastian Wagner, Farina Weiss	Numerical Methods in Life-Cycle Portfolio Choice with Labor Income, Housing and Biometric Risk	Household Finance	Completed	2013	1
Holger Kraft, Alexander Schmidt	A New Approach to Measuring Systemic Risk: Option-implied Tail Risk Dependencies in the Financial Sector	Financial Institutions, Systemic Risk Lab	Completed	2012	1
Christoph Hambel, Holger Kraft, Mogens Steffensen, Sebastian Wagner, Farina Weiss	Consumption-portfolio Choice with Critical Illness	Household Finance	Completed	2014	1
Nicole Branger, Patrick Grüning, Holger Kraft, Christoph Meinerding, Christian Schlag	General Equilibrium with Contagion Effects	Financial Markets, Transparency Lab, Systemic Risk Lab	Completed	2013	1
Christoph Hambel, Holger Kraft	Non-Financial Life-Cycle Decisions and their Impact on Consumption-Portfolio Choice with Unspanned Labor Income	Household Finance	Ongoing	2016	1

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