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Utility maximization under a shortfall risk constraint

Gundel, Anne; Weber, Stefan - In: Journal of mathematical economics 44 (2008) 11, pp. 1126-1151

Persistent link: https://www.econbiz.de/10003783833

Distribution-invariant dynamic risk measures

Weber, Stefan (contributor) - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001917139

Solvency II, or how to sweep the downside risk under the carpet

Weber, Stefan - In: Insurance / Mathematics & economics 82 (2018), pp. 191-200

Persistent link: https://www.econbiz.de/10011929871

An approximation for credit portfolio losses

Frey, Rüdiger; Popp, Monika; Weber, Stefan - In: The journal of credit risk : published quarterly by … 4 (2008/09) 1, pp. 3-20

Persistent link: https://www.econbiz.de/10003745393

A continuous time approximation of an evolutionary stock market model

Buchmann, Boris; Weber, Stefan - In: International journal of theoretical and applied finance 10 (2007) 7, pp. 1229-1253

Persistent link: https://www.econbiz.de/10003632068

Robust preferences and robust portfolio choice

Schied, Alexander; Föllmer, Hans; Weber, Stefan - 2009

Persistent link: https://www.econbiz.de/10003826910

Cyclical correlations, credit contagion, and portfolio losses

Giesecke, Kay; Weber, Stefan - In: Journal of banking & finance 28 (2004) 12, pp. 3009-3036

Persistent link: https://www.econbiz.de/10002410735

Cyclical correlations, credit contagion, and portfolio losses

Giesecke, Kay (contributor); Weber, Stefan (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919109

Multinomial Backtesting of Distortion Risk Measures

Weber, Stefan; Kim, Sojung; Bettels, Sören - 2022

We extend the scope of risk measures for which backtesting models are available by proposing a multinomial backtesting method for general distortion risk measures. The method relies on a stratification and randomization of risk levels. We illustrate the performance of our methods in numerical...

Persistent link: https://www.econbiz.de/10013300748

Market efficient portfolios in a systemic economy

Awiszus, Kerstin; Capponi, Agostino; Weber, Stefan - In: Operations research 70 (2022) 2, pp. 715-728

Persistent link: https://www.econbiz.de/10013365768