Matthias A. Scherer

Technische Universität München (TUM)

Arcisstrasse 21

Munich, DE 80333

Germany

  • Technische Universität München (TUM)

SCHOLARLY PAPERS

9

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528

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (9)

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1.

Model Risk and Power Plant Valuation

Number of pages: 28 Posted: 04 May 2013
Karl Bannor, Ruediger Kiesel, Anna Nazarova and Matthias A. Scherer
Technische Universität München (TUM), University of Duisburg-Essen - Faculty of Economic Science, University of Oslo and Technische Universität München (TUM)
Downloads 266 (177,734)
Citation 4

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Power Plant Valuation, Spread Options, Model Risk

2.

Robust Calibration of a Structural-Default Model with Jumps

Number of pages: 23 Posted: 16 Feb 2009
Andre Biere and Matthias A. Scherer
affiliation not provided to SSRN and Technische Universität München (TUM)
Downloads 152 (295,555)

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3.

Consistent Iterated Simulation of Multi-Variate Default Times: A Markovian Indicators Characterization

Number of pages: 24 Posted: 05 Jun 2013 Last Revised: 02 May 2014
Damiano Brigo, Jan-Frederik Mai and Matthias A. Scherer
Imperial College London - Department of Mathematics, Technische Universität München (TUM) - HVB Institute for Mathematical Finance and Technische Universität München (TUM)
Downloads 82 (455,932)
Citation 2

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Stepwise default simulation, default modeling, credit modeling, default dependence, default correlation, default simulation, arrival times, credit risk, Marshall-Olkin distribution, nested margining, Freund distribution, looping default models

4.

Is Accumulation Risk In Cyber Systematically Underestimated?

Number of pages: 28 Posted: 09 Feb 2023
Gabriela Zeller and Matthias A. Scherer
Technische Universität München (TUM) and Technische Universität München (TUM)
Downloads 28 (716,605)

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Cyber Risk, Cyber Insurance, Accumulation Risk, Poisson process

5.

A Comprehensive Model for Cyber Risk Based on Marked Point Processes and Its Application to Insurance

Zeller, G., Scherer, M. A comprehensive model for cyber risk based on marked point processes and its application to insurance. Eur. Actuar. J. (2021). https://doi.org/10.1007/s13385-021-00290-1
Posted: 18 Sep 2020 Last Revised: 03 Sep 2021
Gabriela Zeller and Matthias A. Scherer
Technische Universität München (TUM) and Technische Universität München (TUM)

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Cyber Risk, Cyber Insurance, Emerging Risks, Marked Point Processes, Accumulation Risk

6.

The Density of Distributions from the Bondesson Class

Journal of Computational Finance, Vol. 18, No. 3, Pages 99–128, 2015
Number of pages: 30 Posted: 15 Jun 2016
German Bernhart, Jan-Frederik Mai, Steffen Schenk and Matthias A. Scherer
Technische Universität München (TUM), XAIA Investment, Technische Universität München (TUM) and Technische Universität München (TUM)
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Bernstein Function, Bondesson Class, Bromwich Inversion, Contour Transformation, Laplace Inversion, Lévy Subordinator

7.

Modeling the Evolution of Implied CDO Correlations

Financial Markets and Portfolio Management, Vol. 24, No. 3, 2010
Posted: 03 Sep 2010
Marius Hofert, Matthias A. Scherer and Rudi Zagst
affiliation not provided to SSRN, Technische Universität München (TUM) and Technische Universität München (TUM) - Chair of Mathematical Finance

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CDO, Implied correlation, Gaussian copula model

8.

Alternative Investments and Strategies

ALTERNATIVE INVESTMENTS AND STRATEGIES, World Scientific Publishing, 2010
Posted: 28 Jul 2010
Ruediger Kiesel, Rudi Zagst and Matthias A. Scherer
University of Duisburg-Essen - Faculty of Economic Science, Technische Universität München (TUM) - Chair of Mathematical Finance and Technische Universität München (TUM)

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Alternative Investments, Portfolio Selection, Trading Strategy, Product Innovations, CPPI, Portfolio Optimization, Portfolio Insurance

9.

A Tractable Multivariate Default Model Based on a Stochastic Time-Change

International Journal of Theoretical and Applied Finance, Vol. 12, No. 2, pp. 227-249, 2009
Posted: 20 Apr 2010
Matthias A. Scherer and Jan-Frederik Mai
Technische Universität München (TUM) and Technische Universität München (TUM) - HVB Institute for Mathematical Finance

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Lévy subordinator, Cuadras-Augé copula, CDO pricing, portfolio-loss process, multivariate default model