1. About the IWH
  2. Team
  3. Economists

Professor Dr Fabian Wöbbeking

Professor Dr Fabian Wöbbeking
Current Position

since 1/23

Head of the Research Group Data Science in Financial Economics

Halle Institute for Economic Research (IWH) – Member of the Leibniz Association

since 9/22

Economist in the Department of Financial Markets

Halle Institute for Economic Research (IWH) – Member of the Leibniz Association

since 12/22

Assistant Professor

Martin Luther University Halle-Wittenberg

download CV
Research Interests
  • data science
  • financial intermediation
  • systemic risk analytics

Fabian Wöbbeking joined the Department of Financial Markets in September 2022. He is Assistant Professor at Martin Luther University Halle-Wittenberg since December 2022. His research focuses on applications of data science methods to generate economic indicators from unstructured data as well as financial intermediation, risk management, systemic risk, machine learning, and Bayesian methods in finance.

Fabian Wöbbeking received his bachelor's and his master's degree from Frankfurt School of Finance & Management and his PhD degree from Goethe University Frankfurt.

Your contact

Professor Dr Fabian Wöbbeking
Professor Dr Fabian Wöbbeking
- Department Financial Markets
Send Message +49 345 7753-851 LinkedIn profile

Publications

Citations
135

cover_management-science.jpg

"Let Me Get Back to You" — A Machine Learning Approach to Measuring NonAnswers

Andreas Barth Sasan Mansouri Fabian Wöbbeking

in: Management Science, No. 10, 2023

Abstract

Using a supervised machine learning framework on a large training set of questions and answers, we identify 1,364 trigrams that signal nonanswers in earnings call questions and answers (Q&A). We show that this glossary has economic relevance by applying it to contemporaneous stock market reactions after earnings calls. Our findings suggest that obstructing the flow of information leads to significantly lower cumulative abnormal stock returns and higher implied volatility. As both our method and glossary are free of financial context, we believe that the measure is applicable to other fields with a Q&A setup outside the contextual domain of financial earnings conference calls.

read publication
cover_journal-of-economic-behavior-and-organization.jpg

Correlation Scenarios and Correlation Stress Testing

Natalie Packham Fabian Wöbbeking

in: Journal of Economic Behavior and Organization, January 2023

Abstract

We develop a general approach for stress testing correlations of financial asset portfolios. The correlation matrix of asset returns is specified in a parametric form, where correlations are represented as a function of risk factors, such as country and industry factors. A sparse factor structure linking assets and risk factors is built using Bayesian variable selection methods. Regular calibration yields a joint distribution of economically meaningful stress scenarios of the factors. As such, the method also lends itself as a reverse stress testing framework: using the Mahalanobis distance or Highest Density Regions (HDR) on the joint risk factor distribution allows to infer worst-case correlation scenarios. We give examples of stress tests on a large portfolio of European and North American stocks.

read publication

Cryptocurrency Volatility Markets

Fabian Wöbbeking

in: Digital Finance, No. 3, 2021

Abstract

By computing a volatility index (CVX) from cryptocurrency option prices, we analyze this market’s expectation of future volatility. Our method addresses the challenging liquidity environment of this young asset class and allows us to extract stable market implied volatilities. Two alternative methods are considered to compute volatilities from granular intra-day cryptocurrency options data, which spans over the COVID-19 pandemic period. CVX data therefore capture ‘normal’ market dynamics as well as distress and recovery periods. The methods yield two cointegrated index series, where the corresponding error correction model can be used as an indicator for market implied tail-risk. Comparing our CVX to existing volatility benchmarks for traditional asset classes, such as VIX (equity) or GVX (gold), confirms that cryptocurrency volatility dynamics are often disconnected from traditional markets, yet, share common shocks.

read publication
Browse all refereed publications

Working Papers

cover_DP_2025-14.jpg

The Limits of Local Laws in Global Supply Chains: Extending Governance or Cutting Ties?

Michael Koetter Melina Ludolph Hendrik Keilbach Fabian Wöbbeking

in: IWH Discussion Papers, No. 14, 2025

Abstract

<p>We exploit an information shock related to the German Supply Chain Due Diligence Act and use detailed customs data to analyze how smaller, non-listed firms respond when expecting accountability for externalities beyond their organizational boundaries. Product-level regressions reveal a substantial reduction in imports from high ESG-risk production sectors. Adjustments occur mainly at the extensive margin, indicating that firms cut ties with high-risk suppliers. The product-level results translate into meaningful changes in overall international procurement for firms with Big Four auditors. Our findings suggest potential limits to mandates requiring firms to integrate broad sustainability considerations into operational decisions.</p>

read publication
cover_DP_2025-13.jpg

Information Flow and Market Efficiency - The Economic Impact of Precise Language

Andreas Barth Sasan Mansouri Fabian Wöbbeking

in: IWH Discussion Papers, No. 13, 2025

Abstract

<p>This paper examines the impact of complex yet precise language, particularly financial jargon, on information dissemination and ultimately market efficiency. As a natural laboratory, we analyze the information exchanged during earnings conference calls, where we instrument jargon with the Plain Writing Act of 2010. Our findings suggest that the Act‘s promotion of plain language usage results in a reduction in complex financial jargon for US firms. However, in contrast to the presumed benefits of accessible language, this reduction in jargon is associated with a decrease in market efficiency, implying that the Act may inadvertently hinder information flow. This finding is particularly important at the juncture where human-generated information is received by machines, which are known to be vunerable to ambiguous inputs.</p>

read publication
cover_DP_2025-04.jpg

Illusive Compliance and Elusive Risk-shifting after Macroprudential Tightening: Evidence from EU Banking

Michael Koetter Felix Noth Fabian Wöbbeking

in: IWH Discussion Papers, No. 4, 2025

Abstract

<p>We study whether and how EU banks comply with tighter macroprudential policy (MPP). Observing contractual details for more than one million securitized loans, we document an elusive risk-shifting response by EU banks in reaction to tighter loan-to-value (LTV) restrictions between 2009 and 2022. Our staggered difference-in-differences reveals that banks respond to these MPP measures at the portfolio level by issuing new loans after LTV shocks that are smaller, have shorter maturities, and show a higher collateral valuation while holding constant interest rates. Instead of contracting aggregate lending as intended by tighter MPP, banks increase the number and total volume of newly issued loans. Importantly, new loans finance especially properties in less liquid markets identified by a new European Real Estate Index (EREI), which we interpret as a novel, elusive form of risk-shifting.</p>

read publication
Browse all working papers
Mitglied der Leibniz-Gemeinschaft LogoTotal-Equality-LogoSupported by the BMWK