Capital Requirements with Defaultable Securities
W. Farkas, P. Koch-Medina and C.-A. Munari
Academic Publications
1 Jan. 2014
Upcoming
Capital Levels and Risk-taking Propensity in Financial Institutions
W. Farkas, G. Barone-Adesi and P. Koch-Medina
Academic Publications
1 Jan. 2014
Upcoming
Can Utility Optimization Explain the Demand for Structured Investment Products?
T. Hens, M.O. Rieger
Academic Publications
1 Jan. 2014
Upcoming
Beyond Cash-additive Risk Measures: When Changing the Numeraire Fails
W. Farkas, P. Koch-Medina and C.-A. Munari
Academic Publications
1 Jan. 2014
Upcoming
Banks and Bonds: The Impact of Bank Loan Announcements on Bond and Equity Prices
S. Ongena, V. Roscovan, W. L. Song, and B. Werker
Academic Publications
1 Jan. 2014
Upcoming
Asset Pricing with Nonlinear Risk Premia
P. Schneider, A. Mijatovic
Academic Publications
1 Jan. 2014
Upcoming
Asset Demand Based Tests of Expected Utility Maximization
F. Kübler, L. Selden, and X. Wei
Academic Publications
1 Jan. 2014
Approximating Stochastic Volatility by Recombinant Trees
H. Soner, E. Akyildirim, Y. Dolinsky
Academic Publications
1 Jan. 2014
Upcoming
An Academic Response to Basel 3.5
P. Embrechts, G. Puccetti, L. Rüschendorf, R. Wang and A. Beleraj
Academic Publications
1 Jan. 2014
Aggregation of Log-Linear Risks, Celebrating 40 Years of the Applied Probability Trust
P. Embrechts, E. Hashorva and T. Mikosch
Academic Publications
1 Jan. 2014
Upcoming
A Simple Microstructure Return Model Explaining Microstructure Noise and Epps Effects
D. Sornette, A. Saichev
Academic Publications
1 Jan. 2014
Upcoming
A Note on the Condition of No Unbounded Profit with Bounded Risk
M. Schweizer, K. Takaoka
Academic Publications
1 Jan. 2014
Upcoming
A Heat Kernel Approach to Interest Rate Models
J. Teichmann, J. Akahori, Y. Hishida and T. Tsuchiya
Academic Publications
1 Jan. 2014
Upcoming
1980-2008: The Illusion of the Perpetual Money Machine and What It Bodes for the Future, with P. Cauwels, Risks
D. Sornette, P. Cauwels
Academic Publications
1 Jan. 2014
Upcoming
Nº 13-33: Capital Levels and Risk-Taking Propensity in Financial Institutions
G. Barone-Adesi, W. Farkas, P. Koch-Medina
Working Papers
27 May 2013