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Dr
Andreas Krause |
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CV |
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Curriculum vitae
Dr Andreas Krause
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Address |
University of Bath Department of Economics Claverton
Down Bath BA2 7AY Great Britain |
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E-mail |
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Webpage |
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Research interests My main research
interests are in the theory of banking. More specifically, my interest
centres on the fragility of banks and banking systems. I am interested in
systemic risk by investigating the spread of bank failures in complex
networks of interbank loans, but also how banks interact with depositors and
borrowers and how this affects systemic risk in banking systems. In order to capture the non-linear interactions in such
banking systems, I frequently use agent-based models and assess the outcomes
of models through computer simulations. A secondary research interest
is the modelling of non-market interactions between traders and how this
affects asset prices. Modelling the interactions between traders through
networks, I mainly use agent-based models and network theory to derive model
results. |
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Education |
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Dr rer pol |
University of Fribourg (Switzerland), 2000 (equivalent to PhD in Finance),
summa cum laude |
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Lic
rer pol |
University of Fribourg (Switzerland), 1997 (equivalent to MSc in Economics),
magna cum laude |
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Professional Qualifications |
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Bankkaufmann |
National-Bank AG, Essen
(Germany), 1993 (equivalent to Chartered Banking Professional) |
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Academic Appointments |
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Assistant Professor in Economics |
Department of Economics, University of Bath,
2013-present |
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Lecturer in Finance |
School of Management, University of Bath, 2000-2013 |
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Research and Teaching Assistant |
Department of Economics and Social Sciences,
University of Fribourg (Switzerland), 1997-2000 |
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Visiting positions |
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Adjunct Lecturer |
University of Birmingham, 2003 |
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Visiting Researcher |
Tsinghua University, Beijing, 2004, 2007 |
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Adjunct Lecturer |
University of Manchester, 2016- present |
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Publications |
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Monographs 1.
Andreas Krause, Theoretical
Foundations of Investment Banking, Springer Verlag, 2024 Journal
Articles 2.
Coherent Risk Measurement: An
Introduction, Balance Sheet 10(4), 2002, 13-17 3.
Exploring the Limitations of Value
at Risk: How Good is it in Practice?, Journal of
Risk Finance 4(2), 2003, 19-28 4.
Inventory Effects on Daily Returns
in Financial Markets, International Journal of Theoretical and Applied
Finance 6(7), 2003, pp. 739-765 5.
Crashes in Bond Markets: The
Importance of Hedging Mortgage-Backed Securities, Journal of Fixed Income 13(3),
2003, pp. 19-32 6.
The independence of financial
analysts: evaluation of an alternative proposal, Journal of Investment
Compliance 4(3), 2003, pp. 52-57 7.
Predicting Crashes in a Model of
Evolving Networks, Complexity 9(4), 2004, pp. 24-30 8.
Optimal Stock Allocation in
Specialist Markets, Research in Economics 59(1), 2005, pp. 23-39 9.
Fat Tails and Multi-Scaling in a
Simple Model of Limit Order Markets, Physica
A 368(1), 2006, pp. 183-190 10. Risk,
Capital Requirements, and the Asset Structure of Companies, Managerial
Finance, 32 (9), 2006, pp. 774-785 11. Learning
and Herding using Case-Based Decision Theory, IEEE Transactions on
Systems, Man, and Cybernetics, Part A 39(3), 2009, pp. 662-669 12. Determinants
of the method of payment in mergers and acquisitions, Quarterly Review of
Economics and Finance 50(4), 2010, pp. 471-484 (with A Ismail) 13. Determining
the Optimal Market Structure Using Near-Zero Intelligence Traders, Journal
of Economic Interaction and Coordination 5(2), 2010, pp. 155-167 (with
X Li) 14. Competition
is bad for consumers: Analysis of an Artificial Payment Card Market, Journal
of Advanced Computational Intelligence and
Intelligent Informatics 15(2), 2011, pp. 188-196 (with B
Alexandrova-Kabadjova and E Tsang) 15. Profit-Maximizing
Strategies for an Artificial Payment Card Market. Is learning possible?, Journal of Intelligent Learning Systems and
Applications 3(2), 2011, pp. 70-81 (with B Alexandrova-Kabadjova and E
Tsang) 16. An
evolutionary multi-objective optimization of trading rules in call markets,
Intelligent Systems in Accounting, Finance and Management 18(1), 2011,
pp. 1-14 (with X Li) 17. Market
Structure and Information in Payment Card Markets, International Journal
of Automation and Computing 8(3), 2011, pp. 364-370 (with B
Alexandrova-Kabadjova and E Tsang) 18. Interbank
Lending and the Spread of Bank Failures: A Network Model of Systemic Risk, Journal
of Economic Behavior & Organization 83(3),
2012, pp. 583-608 (with S Giansante) 19. The
Optimal Timing of Open Market Stock Repurchases, Emerging Markets Finance
and Trade, 52(4), 2016, pp. 776-785 (with C Hsu) 20. Network-based
computational techniques to determine the risk drivers of bank failures
during a systemic banking crisis, IEEE Transactions on Emerging Topics in
Computational Intelligence 2(3), 2018, pp. 174-184 (with S Giansante)
21. Di
Xiao and Andreas Krause, Bank Demand for Central Bank Liquidity and its
impact on Interbank Markets, Journal of Economic Interaction and
Coordination 17(3), 2022, pp. 639-679 22. Andreas
Krause, The optimal exclusion length of borrowers after default. Economics
Letters 220, 2022, 110881 23. Andreas
Krause, Strategic default and optimal audit resources with costly state
verification, Research in Economics 76, 2022, pp. 413-421 24. Di
Xiao and Andreas Krause, Balancing liquidity and returns through interbank
markets: Endogenous interest rates and network structures, Journal of
Financial Research 46, 2023, pp. 131-149 25. Andreas
Krause, Group lending as a mechanism for self-insuring default risk, Annals
of Finance, forthcoming, 2024 Book Chapters 26. Herding
Behavior of Financial Analysts: A Model of
Self-Organized Criticality, in: M Galegatti, A
Kirman and M Marsili (eds.): The Complex Dynamics of Economic Interaction:
Essays in Economics and Econophysics, Springer
Verlag, Berlin Heidelberg New York, 2004, pp. 257-267 27. Herding
without Following the Herd: The Dynamics of Case-based Decisions with Local
Interactions, in: A Namatame, T Kaizouji and Y Aruka (eds.): Economics and
Heterogeneous Interacting Agents, Springer Verlag, Berlin Heidelberg New
York, 2006, pp. 178-190 28. An
Agent-Based Model of Interactions in the Payment Card Market. In: H. Yin et
al (eds.): Intelligent Data Engineering and Automated Learning,
Lecture Notes in Computer Science, Springer Verlag, Berlin Heidelberg New
York, 2007, pp. 1063-1072 (with B Alexandrova-Kabadjova and E Tsang) 29. Evolutionary
learning of the optimal pricing strategy in an artificial payment card
market, in: A Brabazon and M O΄Neill
(eds.): Natural Computing in Computational Economics and Finance,
Studies in Computational Intelligence Springer Verlag, Berlin Heidelberg New
York, 2008, pp. 233-252 (with B Alexandrova-Kabadjova and E Tsang) 30. Evaluating
the performance of adapting trading strategies with different memory lengths,
in: E Corchado and H Yin (eds.): Intelligent
Data Engineering and Automated Learning 2009, Lecture Notes in Computer
Science, Springer Verlag, Berlin Heidelberg New York, 2009, pp. 711-718 31. A
Comparison of Market Structures with Near-Zero-Intelligence Traders, in: E Corchado and H Yin (eds.): Intelligent Data
Engineering and Automated Learning 2009, Lecture Notes in Computer
Science, Springer Verlag, Berlin Heidelberg New York, 2009, pp. 703-710 (with
X Li) 32. Beyond
VaR: Expected Shortfall and other Coherent Risk
Measures, in: Greg N. Gregoriou (ed.): The Risk Modeling Evaluation Handbook, McGraw-Hill, 2010, pp.
289-303 33. An
evolutionary multi-objective optimization of market structures using PBIL,
in: C Fyfe and H Yin (eds.): Intelligent Data Engineering and Automated
Learning 2010, Lecture Notes in Computer Science, Springer Verlag, Berlin
Heidelberg New York, 2010, pp. 77-84 (with X Li) 34. Performance
of evolving trading strategies with different discount factors, in: Alice E.
Smith (ed.): Proceedings of the 2011 IEEE Congress on Evolutionary
Computation, IEEE Computational Intelligence Society, New Orleans, 2011,
pp. 186-191 35. Systemic
Risk, in: H. Kent Baker and Greg Filbeck (eds.): Investment
Risk Management, Oxford University Press, 2015, pp. 179-196 36. Equilibrium
interbank lending networks, in: 2016 IEEE
Congress on Evolutionary Computation (CEC), IEEE Computational
Intelligence Society, Vancouver, 2016, pp. 4543-4550 (with D Xiao) 37. Andreas
Krause and Michael Fairbank, Baseline win rates for neural-network
based trading algorithms, 2020 International Joint Conference on Neural
Networks (IJCNN), 2020, pp. 1-6 Other 38. Developments
in Forecast Combination and Portfolio Choice (Book Review), International
Journal of Forecasting 18(3), 2002, pp. 462-463 39. Predicting
Crashes in a Model of Self-Organized Criticality, in: A Namatame,
D Green, Y Aruka and H Sato (eds.): Complex Systems 2002: Complexity with
Agent-based Modeling, Proceedings of the 6th
International Conference on Complex Systems, Chuo
University, Tokyo 2002, pp. 278-283 40. Risk,
Capital Requirements, and the Asset Structure of Companies, in: Proceedings
of Annual Meeting of American Academy of Accounting and Finance, 2003 41. What
questions to ask in order to validate an agent-based
model, Report of the 56th European Study Group with Industry, Validation of
Agent-Based Models, 2006, pp. J1-J9 (with D Challet) 42. Generating
networks with realistic properties: The topology of locally evolving random
graphs, in: T. Kovacs and J. A. R. Marshall (eds): Adaptation in
Artificial and Biological Systems, Vol. 3, Bristol 2006, pp. 145-149 |
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Membership of Editorial boards |
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Associate Editor |
Journal of Economic Interaction and Coordination, 2016 - present |
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Associate Editor |
International Journal of Behavioural Accounting and
Finance, 2008 - 2017 |
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Research grants |
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Systemic Risks and Capital Requirements: An
Evaluation of the Role of Interbank Lending, British Academy, April
2009 - October 2010, GBP 4,932 |
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EPSRC scholarship for an EngD
student working on a risk evaluation system with an industrial partner,
January 2013 - December 2017, approx. GBP 70,000 |
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Conference presentations |
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Presentations of my research at over 50 conferences
and universities |
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Refereeing and other activities Guest Editor for a special issue on Risk
Management for Managerial Finance |
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Member of the Scientific Committee for the
Workshop on Economics with Heterogeneous Interacting Agents 2005, 2006,
2019, 2023 |
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Reviewer for the IEEE Congress on Evolutionary
Computation 2006, 2009, 2011, 2012, 2014, 2015 |
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Member of the Program Committee of the 2008 Winter
Workshop on Economics with Heterogeneous Interacting Agents |
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Member of the Program Committee of the Conference
on Complex Systems, 2017, 2018 |
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Member of the Program Committee of the International
Conference on Complex Systems 2018 |
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Reviewer for the 2014 IEEE Symposium Series on
Computational Intelligence |
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Rapporteur on Projects supported by the ESRC,
Fonds Wetenschappelijk Onderzoek
- Vlaanderen (FWO) |
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Ad hoc referee for International Journal of the
Economics of Business, Journal of Financial Research, Journal of
Economic Behavior and Organisation, Journal of
Computational Economics, IEEE Transactions on Evolutionary Computation,
Intelligent Systems in Accounting, Finance and Management, Applied
Intelligence, IEEE Transactions on Systems, Man, and Cybernetics, Quarterly
Review of Economics and Finance, Annals of Operations Research, Computational
Economics, Physica A, Journal of Financial
Stability, Journal of Economic Dynamics and Control, Journal of Banking and
Finance, Journal of Systems Science and Systems Engineering, International
Journal of Economics and Finance, Bank of England Working Paper Series,
Research in International Business and Finance, IEEE Access. Entropy,
International Review of Economics and Finance, International Economic Review |
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Reviewer of book proposals for Palgrave-MacMillan,
Pearson Education, Routledge |
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External examiner |
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Bradford University, School of Management,
responsible for Finance units of undergraduate degrees, 2010-2014 |
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ifs University College, Module coordinator for
Corporate Finance, 2013 - 2016 |
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University of Essex, PhD examinations |
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Media coverage |
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Interview with BBC One Points West on changes in the
financial sector, broadcast on 19 July 2010 |
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PhD Supervision |
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Chi-Chen Hsu: Timing
Flexibility and Optimal Repurchase Volume of Open Market Share Repurchases,
2006 |
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Biliana
Alexandrova-Kabadjova: Agent-based models of the payment card market, 2007 |
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Azian
Madun: The impact of financial analyst coverage on
stock properties: the experience of the Malaysian research incentive scheme,
2008 |
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Liang Yin: The payment
form threshold in mergers and acquisitions : a real
options approach, 2008 |
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Honghong
Li: The Dynamic Model of Double Auction Market, 2009 |
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Xinyang Li:
Evolutionary mechanism design using agent-based models, 2012
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Karan Puri: A
Theoretical and Empirical Analysis of Hedge Fund Contracts and Performance,
2013 |
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Zhuoran
Xu: Identifying Systemic Risk in Interbank Markets by Applying Network
Theory, 2016 |
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Xinyi Huang: The
Relationship of Bank Accounting Ratios and Financial Crisis 2007/08, 2017 |
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Di Xiao: The Role of
Information and Liquidity in Interbank Network Formation, 2017 |
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Muhamed Alsharman:
Risk evaluation, 2019 |
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Emmanouil
Sifodaskalakis: Determinants of bank ratings, 2019 |
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Jaehak Hwang: Foreign
Exchange Risk and the Stability of Banking Systems, 2019 |
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Marbeth Carpinteyro:
Multifactor Asset Pricing and Time-varying Risk Stochastic Models of
International Stock Returns, 2020 |
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Samuel Bodunrin: Exploration of systemic risk, using
a network-based macrofinancial model that
incorporates feedback effects, current |
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Yachao Xue: Opening
Auctions and Trading in Stock Markets, current |
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Teaching Activities |
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Postgraduate (PhD) |
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Basic principles of model building (2004 - 2009) |
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Postgraduate (MBA) |
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Risk Management (2000 - 2005) |
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Mergers & Acquisitions (2003) |
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Corporate Financial Management (2004) |
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Postgraduate (MSc) |
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Economics of Finance 2: Financial Markets (2003) |
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Market Microstructure (2005 - 2007) |
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Risk Management (2005 - 2013) |
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Asset Price Dynamics (2005) |
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Computational Finance (2006) |
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Banking (2009 - 2013) |
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Financial Engineering (2010 - 2013) |
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Investment Banking (2011 - 2013, 2024- current) |
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Financial Risk Management (2013 - 2024) |
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Financial Markets (2017 - current) |
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Undergraduate |
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Investment Banking (2000 - 2005, 2009) |
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Introduction to Finance and Financial Markets (2000
- 2004) |
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Portfolio Management (2000 - 2004) |
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Treasury Management (2007 - 2009) |
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Financial Markets: Asset Management (2007) |
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Economics of Banking (2013 - current) |
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Financial Theory and Application (2013 - 2015) |
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Economics of Financial markets (2015) |
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Investment management (2023) |
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Money and finance (2024 - current) |
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Supervision of Dissertations |
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Undergraduate, MSc and MBA dissertations in Finance
(approx. 10 per year) |
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Administrative Responsibilities |
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Member IT Standing Committee (2001- 2005), Acting
Chair 2007 |
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Member Board of Studies (2002 - 2005, 2010 - 2013) |
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Health and Safety Officer (2004 - 2007) |
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Member Programme Approval Panel (2004 - 2007) |
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Senior Admissions Tutor BSc(Hons)
in Accounting and Finance (2005 - 2008) |
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Director of Studies MSc in Accounting and Finance,
MSc Finance, and variants (2008 - 2011) |
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Director of Studies MSc in Economics and Finance, MSc
International Money and Banking |
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Head of Undergraduate Teaching and Director of
Studies BSc Economics, BSc Economics and |
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Member Individual Mitigating Circumstances Panel (2022
- 2024) |