C. Klüppelberg

Technische Universität München (TUM)

Center for Mathematical Sciences

D-80290 Munich

Germany

  • Technische Universität München (TUM)

SCHOLARLY PAPERS

3

DOWNLOADS

835

SSRN CITATIONS

6

CROSSREF CITATIONS

3

Scholarly Papers (3)

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1.

Equities, Credits and Volatilities: A Multivariate Analysis of the European Market During the Sub-Prime Crisis

Number of pages: 17 Posted: 26 Oct 2009 Last Revised: 25 Jun 2012
Irene Schreiber, Gernot Müller, C. Klüppelberg and Niklas Wagner
affiliation not provided to SSRN, affiliation not provided to SSRN, Technische Universität München (TUM) and Passau University
Downloads 329 (178,687)
Citation 3

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credit risk, credit default swaps, iTraxx index, vector autoregression, multivariate GARCH, BEKK

2.

The Cogarch: A Review, with News on Option Pricing and Statistical Inference

Number of pages: 30 Posted: 19 Jan 2010
C. Klüppelberg, Ross Maller and Alexander Szimayer
Technische Universität München (TUM), Australian National University (ANU) - School of Finance and Applied Statistics and University of Hamburg - Faculty of Economics and Business Administration
Downloads 321 (183,389)
Citation 4

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Continuous-time GARCH model, Levy process, option pricing, stochastic volatility, statistics for stochastic processes, functional limit theorems

3.

Contagion in Financial Systems: A Bayesian Network Approach

SIAM Journal on Financial Mathematics, accepted for publication, 2017.
Number of pages: 26 Posted: 06 Jul 2016 Last Revised: 17 Jul 2017
Carsten H. Chong and C. Klüppelberg
The Hong Kong University of Science and Technology - Department of Information Systems, Business Statistics and Operations Management and Technische Universität München (TUM)
Downloads 185 (314,094)
Citation 5

Abstract:

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Bayesian Network; Financial Contagion; Measure of Systemic Risk; Multivariate Default Risk; Probability of Default; Structural Default Risk Model; Systemic Risk