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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

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

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

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

Stochastic mortality models: an infinite-dimensional approach

Tappe, Stefan; Weber, Stefan - In: Finance and stochastics 18 (2014) 1, pp. 209-248

Persistent link: https://www.econbiz.de/10010235453

Black-Scholes, marktkonsistente Bewertung und Risikomaße

Knispel, Thomas; Stahl, Gerhard; Weber, Stefan - In: Die Folgen der Finanzkrise für Regulierung und …, (pp. 15-60). 2012

Persistent link: https://www.econbiz.de/10009514989

Robust preferences and robust portfolio choice

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

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

Measures and models of financial risk

Weber, Stefan (contributor) - 2004

Thema der Dissertation ist zum einen die Quantifizierung und zum anderen die endogene Modellierung von Finanzrisiken. Die mathematische Analyse führt unter anderem auf Zusammenhänge finanzmathematischer Probleme mit der Theorie großer Abweichungen, der Choquet-Theorie, der Theorie...

Persistent link: https://www.econbiz.de/10002538880