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
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
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
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
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