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...

This paper investigates the effect of the rules contained in the Takeover Bids Directive on the supervisory practice of the Austrian Takeover Commission as part of the European takeover authorities' network. The Takeover Bids Directive created a system of cooperation of national takeover...

Credit contagion refers to the propagation of economic distress from one firm to another. This article proposes a reduced-form model for these contagion phenomena, assuming they are due to the local interaction of firms in a business partner network. We study aggregate credit losses on large...

We derive a continuous time approximation of the evolutionary market selection model of Blume amp; Easley (1992). Conditions on the payoff structure of the assets are identified that guarantee convergence. We show that the continuous time approximation equals the solution of an integral equation...

We model aggregate credit losses on large portfolios of financial positions contracted with firms subject to both cyclical default correlation and direct default contagion processes. Cyclical correlation is due to the dependence of firms on common economic factors. Credit contagion phenomena are...