Zähle, Henryk A concept of copula robustness and its applications in quantitative risk management. (English) Zbl 1498.91509 Finance Stoch. 26, No. 4, 825-875 (2022). MSC: 91G70 91G10 62H05 PDFBibTeX XMLCite \textit{H. Zähle}, Finance Stoch. 26, No. 4, 825--875 (2022; Zbl 1498.91509) Full Text: DOI
Boudabsa, Lotfi; Filipović, Damir Machine learning with kernels for portfolio valuation and risk management. (English) Zbl 1484.91417 Finance Stoch. 26, No. 2, 131-172 (2022). MSC: 91G10 68T05 PDFBibTeX XMLCite \textit{L. Boudabsa} and \textit{D. Filipović}, Finance Stoch. 26, No. 2, 131--172 (2022; Zbl 1484.91417) Full Text: DOI arXiv
Wang, Ruodu; Ziegel, Johanna F. Scenario-based risk evaluation. (English) Zbl 1476.91222 Finance Stoch. 25, No. 4, 725-756 (2021). MSC: 91G70 PDFBibTeX XMLCite \textit{R. Wang} and \textit{J. F. Ziegel}, Finance Stoch. 25, No. 4, 725--756 (2021; Zbl 1476.91222) Full Text: DOI arXiv
Fissler, Tobias; Hlavinová, Jana; Rudloff, Birgit Elicitability and identifiability of set-valued measures of systemic risk. (English) Zbl 1464.91077 Finance Stoch. 25, No. 1, 133-165 (2021). MSC: 91G70 62P05 91G45 PDFBibTeX XMLCite \textit{T. Fissler} et al., Finance Stoch. 25, No. 1, 133--165 (2021; Zbl 1464.91077) Full Text: DOI arXiv
Egami, Masahiko; Kevkhishvili, Rusudan Time reversal and last passage time of diffusions with applications to credit risk management. (English) Zbl 1447.91186 Finance Stoch. 24, No. 3, 795-825 (2020). MSC: 91G40 60J70 PDFBibTeX XMLCite \textit{M. Egami} and \textit{R. Kevkhishvili}, Finance Stoch. 24, No. 3, 795--825 (2020; Zbl 1447.91186) Full Text: DOI arXiv
Wang, Ruodu; Xu, Zuo Quan; Zhou, Xun Yu Dual utilities on risk aggregation under dependence uncertainty. (English) Zbl 1426.91115 Finance Stoch. 23, No. 4, 1025-1048 (2019). Reviewer: Peter Kischka (Jena) MSC: 91B16 91B06 91B05 91G99 PDFBibTeX XMLCite \textit{R. Wang} et al., Finance Stoch. 23, No. 4, 1025--1048 (2019; Zbl 1426.91115) Full Text: DOI
Liebrich, Felix-Benedikt; Svindland, Gregor Risk sharing for capital requirements with multidimensional security markets. (English) Zbl 1430.91032 Finance Stoch. 23, No. 4, 925-973 (2019). Reviewer: Tak Kuen Siu (Sydney) MSC: 91B05 91G20 91G10 91G70 PDFBibTeX XMLCite \textit{F.-B. Liebrich} and \textit{G. Svindland}, Finance Stoch. 23, No. 4, 925--973 (2019; Zbl 1430.91032) Full Text: DOI arXiv
Klüppelberg, Claudia; Seifert, Miriam Isabel Financial risk measures for a network of individual agents holding portfolios of light-tailed objects. (English) Zbl 1426.91306 Finance Stoch. 23, No. 4, 795-826 (2019). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G70 91G10 62P05 62E20 90B10 PDFBibTeX XMLCite \textit{C. Klüppelberg} and \textit{M. I. Seifert}, Finance Stoch. 23, No. 4, 795--826 (2019; Zbl 1426.91306) Full Text: DOI Link
Shen, Jie; Shen, Yi; Wang, Bin; Wang, Ruodu Distributional compatibility for change of measures. (English) Zbl 1420.60027 Finance Stoch. 23, No. 3, 761-794 (2019). MSC: 60E05 60E15 91G10 PDFBibTeX XMLCite \textit{J. Shen} et al., Finance Stoch. 23, No. 3, 761--794 (2019; Zbl 1420.60027) Full Text: DOI arXiv
El Euch, Omar; Fukasawa, Masaaki; Rosenbaum, Mathieu The microstructural foundations of leverage effect and rough volatility. (English) Zbl 1410.91491 Finance Stoch. 22, No. 2, 241-280 (2018). Reviewer: Hernando Burgos-Soto (Toronto) MSC: 91G70 60F17 60G55 PDFBibTeX XMLCite \textit{O. El Euch} et al., Finance Stoch. 22, No. 2, 241--280 (2018; Zbl 1410.91491) Full Text: DOI arXiv
Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven; Wang, Ruodu Risk bounds for factor models. (English) Zbl 1443.91338 Finance Stoch. 21, No. 3, 631-659 (2017). MSC: 91G70 91G10 PDFBibTeX XMLCite \textit{C. Bernard} et al., Finance Stoch. 21, No. 3, 631--659 (2017; Zbl 1443.91338) Full Text: DOI
Alfonsi, Aurélien; Blanc, Pierre Dynamic optimal execution in a mixed-market-impact Hawkes price model. (English) Zbl 1396.91672 Finance Stoch. 20, No. 1, 183-218 (2016). Reviewer: Monique Pontier (Toulouse) MSC: 91G10 91B24 60G55 49J15 PDFBibTeX XMLCite \textit{A. Alfonsi} and \textit{P. Blanc}, Finance Stoch. 20, No. 1, 183--218 (2016; Zbl 1396.91672) Full Text: DOI arXiv
Embrechts, Paul; Wang, Bin; Wang, Ruodu Aggregation-robustness and model uncertainty of regulatory risk measures. (English) Zbl 1327.62326 Finance Stoch. 19, No. 4, 763-790 (2015). MSC: 62G35 60E15 62P05 PDFBibTeX XMLCite \textit{P. Embrechts} et al., Finance Stoch. 19, No. 4, 763--790 (2015; Zbl 1327.62326) Full Text: DOI
Wang, Ruodu; Peng, Liang; Yang, Jingping Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities. (English) Zbl 1266.91038 Finance Stoch. 17, No. 2, 395-417 (2013). Reviewer: Ludger Rüschendorf (Freiburg i. Br.) MSC: 91B30 60E05 60E15 PDFBibTeX XMLCite \textit{R. Wang} et al., Finance Stoch. 17, No. 2, 395--417 (2013; Zbl 1266.91038) Full Text: DOI
Rüschendorf, Ludger Worst case portfolio vectors and diversification effects. (English) Zbl 1262.91155 Finance Stoch. 16, No. 1, 155-175 (2012). MSC: 91G70 60E15 91B30 91G20 PDFBibTeX XMLCite \textit{L. Rüschendorf}, Finance Stoch. 16, No. 1, 155--175 (2012; Zbl 1262.91155) Full Text: DOI
Frey, Rüdiger; Schmidt, Thorsten Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering. (English) Zbl 1259.91055 Finance Stoch. 16, No. 1, 105-133 (2012). MSC: 91B30 93E11 60G55 91G40 PDFBibTeX XMLCite \textit{R. Frey} and \textit{T. Schmidt}, Finance Stoch. 16, No. 1, 105--133 (2012; Zbl 1259.91055) Full Text: DOI
Pennanen, Teemu Arbitrage and deflators in illiquid markets. (English) Zbl 1303.91080 Finance Stoch. 15, No. 1, 57-83 (2011). MSC: 91B24 52A07 46N10 91B70 PDFBibTeX XMLCite \textit{T. Pennanen}, Finance Stoch. 15, No. 1, 57--83 (2011; Zbl 1303.91080) Full Text: DOI arXiv
Mainik, Georg; Rüschendorf, Ludger On optimal portfolio diversification with respect to extreme risks. (English) Zbl 1226.91069 Finance Stoch. 14, No. 4, 593-623 (2010). MSC: 91G10 62P05 62G32 62G05 62G20 PDFBibTeX XMLCite \textit{G. Mainik} and \textit{L. Rüschendorf}, Finance Stoch. 14, No. 4, 593--623 (2010; Zbl 1226.91069) Full Text: DOI
Grandits, Peter; Temnov, Grigory A global consistency result for the two-dimensional Pareto distribution in the presence of misspecified inflation. (English) Zbl 1226.91086 Finance Stoch. 14, No. 4, 569-591 (2010). MSC: 91G70 62F12 62P05 PDFBibTeX XMLCite \textit{P. Grandits} and \textit{G. Temnov}, Finance Stoch. 14, No. 4, 569--591 (2010; Zbl 1226.91086) Full Text: DOI
Frey, Rüdiger; Runggaldier, Wolfgang Pricing credit derivatives under incomplete information: a nonlinear-filtering approach. (English) Zbl 1226.91075 Finance Stoch. 14, No. 4, 495-526 (2010). MSC: 91G20 93E11 60G55 PDFBibTeX XMLCite \textit{R. Frey} and \textit{W. Runggaldier}, Finance Stoch. 14, No. 4, 495--526 (2010; Zbl 1226.91075) Full Text: DOI
Gerhold, Stefan; Schmock, Uwe; Warnung, Richard A generalization of Panjer’s recursion and numerically stable risk aggregation. (English) Zbl 1224.91060 Finance Stoch. 14, No. 1, 81-128 (2010). Reviewer: Georgij M. Shevchenko (Kyïv) MSC: 91B30 91G40 91G60 PDFBibTeX XMLCite \textit{S. Gerhold} et al., Finance Stoch. 14, No. 1, 81--128 (2010; Zbl 1224.91060) Full Text: DOI
Cascos, Ignacio; Molchanov, Ilya Multivariate risks and depth-trimmed regions. (English) Zbl 1164.91027 Finance Stoch. 11, No. 3, 373-397 (2007). Reviewer: N. M. Zinchenko (Kyïv) MSC: 91B30 60D05 91B82 62H99 PDFBibTeX XMLCite \textit{I. Cascos} and \textit{I. Molchanov}, Finance Stoch. 11, No. 3, 373--397 (2007; Zbl 1164.91027) Full Text: DOI arXiv Link
Embrechts, Paul; Puccetti, Giovanni Bounds for functions of dependent risks. (English) Zbl 1101.60010 Finance Stoch. 10, No. 3, 341-352 (2006). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60E15 60E05 91B30 PDFBibTeX XMLCite \textit{P. Embrechts} and \textit{G. Puccetti}, Finance Stoch. 10, No. 3, 341--352 (2006; Zbl 1101.60010) Full Text: DOI