Inhaltspezifische Aktionen



Selected Publications:

34. with Eduard Kromer and Jasmin Röder:Path-dependent backward stochastic differential equations with
      jumps. Preprint (2015).

33. with Eduard Kromer and Katrin Zilch: Dynamic Systemic Risk Measures for
      Bounded Discrete-Time Processes. Submitted (2015).

32. with Eduard Kromer and Jasmin Röder: Feynman Kac for functional jump
      diffusions with an application to credit value adjustment. Statistics & Probability Letters 105, 2015,

31. with Eduard Kromer and Katrin Zilch: Systemic Risk Measures on general
      probability spaces. Preprint 2013, submitted for publication.

30. with Wolfgang Schmidt: Multivariate Markov Families of Copulas. Accepted for Publication in
      "Dependence Modeling" (2015).

29. with Eduard Kromer: Classical Differentiability of BSVIEs and Dynamic Capital
      Allocations. Preprint 2013, submitted for publication.

28. with Eduard Kromer: A note on optimal risk sharing on L^p spaces. Submitted (2015).

27. with Michael Kalkbrener, Natalie Packham: Asymptotic behaviour of
     multivariate default probabilities and default correlations under stress. Journal
     of Applied Probability 2016.
26. with Eduard Kromer: Representation of BSDE-based dynamic risk measures
     and dynamic capital allocations. International Journal of Theoretical and
     Applied Finance 2014.
25. with Eduard Kromer: Suitability of Capital Allocations of Performance
     Measurement. The Journal of Risk 2013.

24. with Barbara Choros and Wolfgang Härdle: Copula Dynamics in CDOs.
     Quantitative Finance 2013. 

23. with Damir Filipovic and Thorsten Schmidt: Dynamic CDO Term Structure
     Modelling. Mathematical Finance 21, p. 53-71, 2011.

22. Computation Issues in Stress Testing. In: Handbook of Cumputational
      Finance. Jin-Chuan Duan, James E. Gentle, and Wolfgang Härdle (Eds).
      Springer 2011.

21. with Christina R. Bender: Parameter Estimation for Credit Risk and its
     Implication on Risk Figures. In: Rethinking Risk Measurement and Reporting:
     Uncertainty, Bayesian Analysis and Expert Judgement by Klaus Böcker (Ed.),
     Risk Books, London, 2011.

20. Basket Default Swaps. In Encyclopedia of Quantitative Finance, R. Cont (Ed.).
      Wiley 2010.

19. with Damir Filipovic and Thorsten Schmidt: Double Stochastic CDO Term
     Structures. In Proceedings of the Ascona Meeting, Dalang, Robert C.; Dozzi,
     Marco; Russo, Francesco (Eds.), 2008.

18. with Swantje Becker and Stefanie Kammer: Contributions to Multivariate
     Structural Approaches in Credit Risk Modelling. In Mathematics: Key
     Technology for the future. Editors: W. Jägre and H.J. Krebs. Springer 2008.

17. Integration of Risk Types. In Encyclopedia of Quantitative Risk Assessment
     and Analysis, Melnik, E.L. et al (Ed.). Wiley 2008.

16. with Maria Sokolova: Risk Measurement with Spectral Allocation Measures. In
     Applied Quantitative Finance. Editors: W. Härdle, N. Hautsch, and L.
     Overbeck. Springer 2008.

15. with Ernst Eberlein, Rüdiger Frey and Michael Kalkbrener: Mathematics in
     Financial Risk Management. DMV Jahresbericht 109, 2007.
14. with Christian Bluhm: PD Term Structure: To be Markov or not to be. RISK
     Magazin September 2007.   

13. with Christian Bluhm: Comontonic Default Paths. RISK Magazin. August 2006.

12. with Wolfgang Schmidt: Modeling Default Dependency with Threshold Models.
     Journal of Derivatives, Volume 12, Number 4, 2005.

11. with Christian Bluhm: An Introduction to DCO Modeling and Application. In:
     Credit Risk: Hrsg.: D. Shimko. RISK Books, London 2004.

10. with Christian Bluhm: Semi-analytic Approaches to CDO Modeling. Economic
     Notes 2004.

9.  with Michael Kalkbrener and Hans G. Lotter: Sensible and Efficient Capital
     Allocation for Credit Portfolios. RISK January 2004.

8.  with Christian Bluhm: Explaining the Correlation in Basel II: Derivation and
     Evaluation. In: Basel II Handbook. Hrsg.: Michael K. Ong, RISK Books, London

7.  with Christian Bluhm and Christoph Wagner: Introduction to Credit Risk
     Modeling. CRCpress/Chapman & Hall, September 2002.

6.  with Gerhard Stahl: Stochastic Essential in the Risk Management of a Credit
     Portfolio. Kredit und Kapital 1, 2003.

5.  Allocation of Economic Capital in Loan Portfolios, Proceedings "Measuring Risk
     in Complex Stochastic Systems", Berlin 1999. Hrsg.: Stahl/Härdle, Lecture
     Notes in Statistics, Springer 2000.

4.  with Tobias Ryden: Estimation in the Cox-Ingersoll-Ross Model, Econometric
     Theory 13, 430-461, 1997.

3.  Non-linear Superprocesses, Annals of Probability 24, 743-760, 1996.

2.  Konditionierungen der Super-Brownschen Bewegung und verzweigender
     Diffusionen, Dissertation, Universität Bonn, 1992.

1.  Katastrophen in Populationsprozessen, Diplomarbeit, Universität Mainz, 1988.




10. Evaluation of Stress Testing Exercise in Europe and the USA by a Stylized
     Internal Capital Model Related to the Basel II Model. Preprint 2011.

9.  Towards Integral Stress Testing. Preprint 2011. (with Gerrit Jan Van den

8. with Michael Kalkbrener: Stress Testing for Credit Portfolio Models. Preprint

7. with Christina R. Niethammer: Default Correlations and the Effect of
    Estimation on Risk Figures. Preprint 2008.

6. with Christoph Wagner: Loss Cascades. Preprint 2002.

5. with Christoph Wagner: Bewertung von tranchierten Kreditportfeuilles.
    Preprint 2002.

4. with Sophocles Mavroeidis and Gary Robinson: Type I and Type II Errors under
    the Basle Regime. Preprint 1998.

3.  A Note on the Martin Boundary of Noncritical Branching Processes. Preprint

2.  Large Deviations from the McKean-Vlasov Limit for Superprocesses with
     Interactive Immigration. Preprint 1995.

1. Superprocesses and McKean-Vlasov Equations with Creation and Annihilation
    of Mass. Preprint 1995.           




4. Towards Integral Stress Testing (Editor). In Preparation (with Gerritt Jan Van
    den Brink).

3. Introduction to Credit Risk Modelling. CRCpress(Chapman & Hall, September
    2002 (2nd edition June 2010) (with Christian Bluhm and Christoph Wagner).

2. Applied Quantitative Finance 8Editor). Springer 2008. (with Wolfgang Härdle
    and Nicolaus Hautsch).

1. Structured Credit Portfolio Analysis, Badkets and CDOs.
    CRCpress/Chapman & Hall 2007. (with Christian Bluhm).



Selected invited talks:

19. Tackling the Challenges in Applying Macro-Economic Scenario Testing, Stress-
     Testing-Conference, London December 2012.

18. DMV-Meeting, Saarbrücken, Germany, September 2012.

17. QMF 2012, Keynote Invited Speaker, Cairns/Sydney, June 2012-

16. Consumer Finance, Brussels, June 2012.

15. Overview of the Potential Impact of Basel III on Risk Modelling, Basel III
     Summit, London, February 2012.

14. Assessing Economic Capital's Relevance in a Basel III World, Basel III
     Summit, London, February 2012.

13. Active Portfolio Management: Balancing Risk & Opportunity, Garp Convention,
     New York, February 2012.

12. RiskMinds, Boston USA, June 2011.

11. Stress Testing Europe 2011, Zurich Switzerland, May 2011.

10. Risk Europe Brussels, April 2011.

9.  Stress Testing, National University Singapore, December 2010.

8.  Biannual Conference of the Bachelier Finance Society, Toronto, June 2010.

7.  Symposium on Computational Finance, Singapore, June 2010.

6.  Credit Risk Modelling and Concentration Risk, BIS Advanced Risk Management
     Seminar Beatenberg, June 2010.

5.  Portfolio Models in Quantitative Risk Management. Joint Conference by
     Deutsche Bank and Frankfurt School of Finance, Frankfurt, April 2010.

4.  An Academic View on Capital Requirements for the Trading Book. Conference
     Organized by the BIS and Deutsche Bundesbank, Frankfurt, April 2010.

3.  ICBI Risk Conference, December 2009.

2.  IASC, Yokohama, December 2008.

1.  R.I.O. 2008, Rio de Janeiro, December 2008.