University of Calgary

Alfred Lehar

  • Associate Professor
  • Area Chair - Finance
  • Faculty [FNCE]

Currently Teaching

Not currently teaching any courses.

Department

Finance

Bio

Alfred is assistant professor in the finance area. He has been teaching at the Haskayne School of Business since 2005. He received an undergraduate degree and a PhD from the University of Vienna. Prior to Joining Haskayne, Alfred held positions at the University of Vienna and the University of British Columbia.

Alfred teaches a introductory finance for the MBAs and a class on Corporate Finance for PhD students. Alfred's areas of research interest include bank regulation, financial stability, and corporate finance.

Alfred is currently researching under what conditions renegotiations can facilitate a private sector workout of a financial crisis. He also works on how information produced by financial markets can be optimally used in bank regulation. In his previous research Alfred developed several methods on how to measure the probability of a financial crisis, analyzed conflicts of interest for financial Analysts, and looked at the empirical fit of alternative option pricing models. Alfred’s work has been published in Management Science, the Journal of Financial Intermediation, the Journal of Banking and Finance, and the Review of Finance.

In his spare time he enjoys skiing and hiking.

Curriculum Vitae

Publications

Celine Gauthier, Alfred Lehar, Moez Souissi, Macroprudential capital requirements and systemic risk, Journal of Financial Intermediation, forthcoming

Celine Gauthier, Alfred Lehar, and Moez Souissi, Towards a Stress-Testing Model Consistent with the Macroprudential Approach, Bank of Canada Financial System Review, December 2009, 53-57.

Helmut Elsinger, Alfred Lehar, Martin Summer, Risk Assessment for Banking Systems, Management Science 52(9), 2006, 1301-1314.

Alfred Lehar, Otto Randl, Chinese Walls in German Banks, Review of Finance 10(2), 2006, 301-320.

Helmut Elsinger, Alfred Lehar, Martin Summer, Using Market Information for Banking System Risk Assessment, International Journal of Central Banking 2(1), 2006, 137-165.

Helmut Elsinger, Alfred Lehar, Martin Summer, Systemically Important Banks: An Analysis for the European Banking System , International Economics and Economic Policy 3(1), 2006, 73-89.

Alfred Lehar, Measuring Systemic Risk: A Risk Management Approach, Journal of Banking and Finance 29 (10), 2005, 2577-2603 (previously circulated as "Implementing a portfolio perspective in banking supervision").

Thomas Dangl, Alfred Lehar, Value-at-risk vs. building block regulation in banking , Journal of Financial Intermediation 13, 2004, 96-131.

Alfred Lehar, Martin Scheicher, Christian Schittenkopf, GARCH vs Stochastic Volatility: Option Pricing and Risk Management, Journal of Banking and Finance 26(2-3), 2002, 323-345.

Alfred Lehar, Martin Scheicher, Günter Strobl, Trade versus Time Series based Volatility Forecasts: Evidence from the Austrian Stock Market, Financial Markets and Portfolio Management 15(4), 2001, 500-515.

Alfred Lehar, Franz Welt, Christoph Wiesmayr, Josef Zechner, Risikoadjustierte Performancemessung in Banken - Konzepte zur Risiko-Ertragssteuerung, Österreichisches Bankarchiv, Dezember 1998.

Alfred Lehar, Otto Randl, Besonderheiten von Analystenvorhersagen in Universalbanken, Österreichisches Bankarchiv, Mai 2002, 366-370.

Working Papers

Alexander David, Alfred Lehar, Why are Banks Highly Interconnected?

Alfred Lehar, Duane Seppi, Günter Strobl, Using Price Information as an Instrument of Market Discipline in Regulating Bank Risk

 Alfred Lehar, Yang Song, Lasheng Yuan, Industry Structure and the Strategic Provision of Trade Credit by Upstream Firms

Helmut Elsinger, Alfred Lehar, Martin Summer, Network models and systemic risk assessment

Alternative Value-at-Risk Models for Options


Degrees

Students

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Haskayne School of Business

Main Campus:
Scurfield Hall,
2500 University Dr NW,
Calgary, AB T2N 1N4

Downtown Campus:
6th Floor, 906 8th Avenue SW,
Calgary, AB T2P 1H9

Contacts:
Haskayne Directory