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Robust preferences and robust portfolio choice
Schied, Alexander; Föllmer, Hans; Weber, Stefan - 2009
Persistent link: https://www.econbiz.de/10003826910
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Distribution-invariant risk measures, information, and dynamic consistency
Weber, Stefan - In: Mathematical finance : an international journal of … 16 (2006) 2, pp. 419-441
Persistent link: https://www.econbiz.de/10003326030
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Distribution-invariant dynamic risk measures
Weber, Stefan (contributor) - 2003 - [Elektronische Ressource], rev
Persistent link: https://www.econbiz.de/10001917139
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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
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Probabilistic aspects of options
Föllmer, Hans - 1991
Persistent link: https://www.econbiz.de/10000828639
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Stock price fluctuation as a diffusion in a random enviroment [environment]
Föllmer, Hans - 1993
Persistent link: https://www.econbiz.de/10000881810
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Financial uncertainty, risk measures and robust preferences
Föllmer, Hans - In: Aspects of mathematical finance, (pp. 3-13). 2008
Persistent link: https://www.econbiz.de/10003653082
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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
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Credit contagion and aggregate losses
Giesecke, Kay; Weber, Stefan - In: Journal of economic dynamics & control 30 (2006) 5, pp. 741-767
Persistent link: https://www.econbiz.de/10003317075
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Credit contagion and aggregate losses
Giesecke, Kay; Weber, Stefan - 2002
Credit contagion refers to the propagation of economic distress from one firm or sovereign government to another. In this paper we model credit contagion phenomena and study the fluctuation of aggregate credit losses on large portfolios of financial positions. The joint dynamics of firms' credit...
Persistent link: https://www.econbiz.de/10009627288