Projects per year
Personal profile
Research interests
Andreas Krause joined the Department of Economics in 2013 from the School of Management. He has graduated from the University of Fribourg (Switzerland) with a PhD in Economics.
He has research interests particularly in systemic of banking systems, where he focuses mainly on the network structure of interbank exposures and how failures of banks spread through such networks. The initial research in this area was supported by a British Academy grant. In general he is interested in heterogeneous agents interacting through networks and how such interactions shape aggregate outcomes, such as stock prices or analyst recommendations. Previous work has included an analysis of credit card markets using a network approach and questions of optimal market design. Overall he seeks to base his research on a sound theoretical basis, supplemented by empirical evidence as appropriate.
Andreas has recently consulted on the development of a risk-profiling system, supported by the EPSRC through a grant for EngD student.
Research interests
- Systemic Risk
- Agent-based computational finance
- Financial markets
- Network theory
Willing to supervise PhD
I am happy to consider PhD students with a strong mathematical and/or computational background who are interested in conducting research in the area of systemic risk and agent-based computational finance.
I will consider students with research interests in financial markets on a case-by-case basis.
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Projects
- 1 Finished
Systemic Risks and Capital Requirements: An Evaluation of the Role of Interbank Lending
1/04/09 → 30/09/10
Project: Research council
Research Output
Network-based computational techniques to determine the risk drivers of bank failures during a systemic banking crisis
Krause, A. & Giansante, S., 30 Jun 2018, In : IEEE Transactions on Emerging Topics in Computational Intelligence . 2, 3, p. 174-184 11 p.Research output: Contribution to journal › Article
Open Access
File
79
Downloads
(Pure)
Equilibrium interbank lending networks
Xiao, D. & Krause, A., 2016, 2016 IEEE Congress on Evolutionary Computation (CEC). p. 4543-4550 8 p.Research output: Chapter in Book/Report/Conference proceeding › Conference contribution
Open Access
File
The optimal timing of open market stock repurchases
Krause, A. & Hsu, C-C., 2016, In : Emerging Markets Finance and Trade. 52, 4, p. 776-785Research output: Contribution to journal › Article
4
Citations
(Scopus)
Systemic Risk
Krause, A., 2015, Investment Risk Management. Baker, H. K. & Filbeck, G. (eds.). Oxford University Press, p. 179-196Research output: Chapter in Book/Report/Conference proceeding › Chapter
Interbank lending and the spread of bank failures: a network model of systemic risk
Krause, A. & Giansante, S., 1 Aug 2012, In : Journal of Economic Behavior and Organization. 83, 3, p. 583– 608 26 p.Research output: Contribution to journal › Article
Open Access
File
67
Citations
(Scopus)
253
Downloads
(Pure)
Thesis
Bank Accounting Ratios, Interbank Lending, and Liquidity Hoarding During Financial Crisis 2007/08
Author: Huang, X., 22 Mar 2018Supervisor: Zalewska, A. (Supervisor) & Krause, A. (Supervisor)
Student thesis: Doctoral Thesis › PhD
File
Evolutionary mechanism design using agent-based models
Author: Li, X., 31 Jul 2012Supervisor: Krause, A. (Supervisor)
Student thesis: Doctoral Thesis › PhD
File
Identifying Systemic Risk in Interbank Markets by Applying Network Theory
Author: Xu, Z., 23 Apr 2016Supervisor: Krause, A. (Supervisor) & Giansante, S. (Supervisor)
Student thesis: Doctoral Thesis › PhD
File
The Development of a Market Risk Profiling System Employing Behavioural and Emotional Finance Approaches
Author: Alsharman, M., 13 Feb 2019Supervisor: Krause, A. (Supervisor) & Fairchild, R. (Supervisor)
Student thesis: Doctoral Thesis › Doctor of Engineering (EngD)
File
The Dynamic Model of Double Auction Market
Author: Li, H., 1 Sep 2009Supervisor: Krause, A. (Supervisor)
Student thesis: Doctoral Thesis › PhD
File