Maximilian Härtel

Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics

Theresienstrasse 39

Munich

Germany

  • Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics

    • Email
    • Tel: +49 (0) 89 2180-4198
SCHOLARLY PAPERS

5

DOWNLOADS

246

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (5)

Actions:
Email selected abstracts
1.

A Parametric Approach to Counterparty and Credit Risk

Number of pages: 33 Posted: 25 Oct 2013 Last Revised: 15 Sep 2023
Maximilian Härtel and Giuseppe Orlando
Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics and Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods
Downloads 109 (454,671)

Abstract:

Loading...

Counterparty Risk, Collateral Management, Credit Risk, Economic Capital, Financial Risk and Risk Management, Government Policy and Regulation, Mathematical Methods, OTC Derivatives, Potential Future Exposure, Unexpected Loss

2.

The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates

Number of pages: 30 Posted: 03 Jul 2015 Last Revised: 25 Sep 2015
Francesca Biagini, Alessandro Gnoatto and Maximilian Härtel
University of Bologna - Department of Mathematics, University of Verona - Department of Economics and Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics
Downloads 82 (547,488)
Citation 1

Abstract:

Loading...

Term Structure, Overnight Indexed Swap, Long-Term Yield, Long-Term Simple Rate, Long-Term Swap Rate

3.

Long-Term Yield in an Affine HJM Framework on Sd+

Number of pages: 30 Posted: 25 Jun 2015
Francesca Biagini, Alessandro Gnoatto and Maximilian Härtel
University of Bologna - Department of Mathematics, University of Verona - Department of Economics and Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics
Downloads 54 (681,443)

Abstract:

Loading...

HJM, Affine Process, Long-Term Yield, Yield Curve, Wishart Process.

4.

A Parametric Approach to Counterparty and Credit Risk

Downloads 1 (1,112,149)

A Parametric Approach to Counterparty and Credit Risk

Journal of Credit Risk, Vol. 10, No. 4, 2014
Number of pages: 38 Posted: 06 Jun 2016
Giuseppe Orlando and Maximilian Härtel
Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods and Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics
Downloads 1 (1,159,322)
Citation 1
  • Add to Cart

Abstract:

Loading...

counterparty risk, credit risk, liquidity risk measurement

A Parametric Approach to Counterparty and Credit Risk

Posted: 26 Oct 2013 Last Revised: 15 Sep 2023
Maximilian Härtel and Giuseppe Orlando
Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics and Università degli Studi di Bari “Aldo Moro” (UNIBA) - Department of Economics and Mathematical Methods

Abstract:

Loading...

Counterparty Risk, Collateral Management, Credit Risk, Economic Capital

5.

General Analysis of Long-Term Interest Rates

Electronic version of an article published as [International Journal of Theoretical and Applied Finance, Volume 23, Number 1, 2020, 29 pages] [DOI/10.1142/S0219024920500028] © [copyright World Scientific Publishing Company]
Posted: 16 Feb 2021
Francesca Biagini, Alessandro Gnoatto and Maximilian Härtel
Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics, University of Verona - Department of Economics and Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics

Abstract:

Loading...

Term structure, overnight indexed swap, long-term yield, long-term simple rate, long-term swap rate