Term structure of loss cascades in portfolio securitisation
|
2017 |
Overbeck, Ludger |
Copulae in high dimensions: an introduction
|
2017 |
Okhrin, Ostap |
Measuring and modeling risk using high-frequency data
|
2017 |
Härdle, Wolfgang |
Risk analysis of cryptocurrency as an alternative asset class
|
2017 |
Guo, L. |
VaR in high dimensional systems - a conditional correlation approach
|
2017 |
Herwartz, Helmut |
Risk measurement with spectral capital allocation
|
2017 |
Overbeck, Ludger |
Market based credit rating and its applications
|
2017 |
Tsay, Ruey S. |
Penalized independent factor
|
2017 |
Chen, Y. |
Measuring financial risk in energy markets
|
2017 |
Žikovi´c, S. |
Time varying quantile Lasso
|
2017 |
Härdle, Wolfgang |
Dynamic topic modelling for cryptocurrency community forums
|
2017 |
Linton, M. |
Estimating distance-to-defauIt with a sector-specific liability adjustment via sequential Monte Carlo
|
2017 |
Duan, Jin-Chuan |
Implementation of local stochastic volatility model in FX derivatives
|
2017 |
Zheng, J. |
Using public information to predict corporate default risk
|
2017 |
Peng, C.N. |
Stress testing in credit portfolio models
|
2017 |
Kalkbrener, M. |
Multivariate volatility models
|
2017 |
Fengler, Matthias |
Portfolio selection with spectral risk measures
|
2017 |
Huang, S.F. |
Credit rating score analysis
|
2017 |
Härdle, Wolfgang |