Rudi Zagst

Technische Universität München (TUM) - Chair of Mathematical Finance

Professor

Parkring 11

Garching-Hochbrueck, 85748

Germany

SCHOLARLY PAPERS

11

DOWNLOADS

354

CITATIONS

4

Scholarly Papers (11)

1.

Loan Recovery Determinants -- A Pan-European Study

Number of pages: 35 Posted: 31 May 2014
Stephan Höcht and Rudi Zagst
Technische Universität München (TUM) and Technische Universität München (TUM) - Chair of Mathematical Finance
Downloads 192 (156,780)
Citation 2

Abstract:

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Bank loan, credit risk, recovery rate

2.

Explaining Aggregated Recovery Rates

Number of pages: 35 Posted: 31 May 2014
Stephan Höcht, Ada Kroneberg and Rudi Zagst
Technische Universität München (TUM), Technische Universität München (TUM) and Technische Universität München (TUM) - Chair of Mathematical Finance
Downloads 67 (335,377)
Citation 1

Abstract:

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Credit risk, Markov switching, recovery rate

3.

Optimal Life-Cycle Consumption and Investment Decisions Under Age-Dependent Risk Preferences

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 52 Posted: 21 Nov 2018 Last Revised: 06 Aug 2019
Technische Universität München (TUM) - Chair of Mathematical Finance, Macquarie University and Technische Universität München (TUM) - Chair of Mathematical Finance
Downloads 58 (360,658)
Citation 1

Abstract:

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optimal life-cycle consumption and investment, time-varying risk aversion, HARA utility function, martingale method

4.

Behavioral Portfolio Insurance Strategies

Number of pages: 28 Posted: 05 Aug 2019
Ryerson University, Technische Universität München (TUM) - Chair of Mathematical Finance and Technische Universität München (TUM) - Chair of Mathematical Finance
Downloads 26 (485,146)

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5.

Behavioral Portfolio Choice under Hyperbolic Absolute Risk Aversion

Number of pages: 55 Posted: 05 Aug 2019
Ryerson University, Technische Universität München (TUM) - Chair of Mathematical Finance and Technische Universität München (TUM) - Chair of Mathematical Finance
Downloads 11 (572,707)

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6.

Estimation of Risk Measures for Large Credit Portfolios

Journal of Credit Risk, Vol. 10, No. 2, 2014
Number of pages: 36 Posted: 04 Jun 2016
anevis solutions GmbH, Ryerson University and Technische Universität München (TUM) - Chair of Mathematical Finance
Downloads 0 (666,530)
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credit portfolios, saddle point techniques, value-at-risk

7.

The Markov-Switching Jump Diffusion Libor Market Model

Posted: 14 Nov 2013 Last Revised: 04 Jun 2018
ZEW – Leibniz Centre for European Economic Research, Technische Universität München (TUM) - Chair of Mathematical Finance and University of Calgary

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LIBOR Market Model, Jump Diffusion, Markov Switching, Heath-Jarrow-Morton Model, Pricing, Parameter Estimation

8.

Pricing of Derivatives on Commodity Indices

International Review of Financial Analysis, Vol. 29, 2013
Posted: 28 Aug 2012 Last Revised: 05 Apr 2014
University of Sussex - School of Business, Management and Economics, Technische Universität München (TUM) - Chair of Mathematical Finance, University of Augsburg - Department of Finance and Banking and Technische Universität München (TUM) - Chair of Mathematical Finance

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Commodity index, Derivative pricing, Model calibration, Replication portfolio, Volatility surface

9.

The Risk Appetite of Private Equity Sponsors

Journal of Empirical Finance, Vol. 18, No. 5, pp. 815-832
Posted: 19 Jan 2011 Last Revised: 20 Dec 2011
Technische Universität München (TUM) - TUM School of Management, Technische Universität München - Center for Entrepreneurial and Financial Studies, University of Ulm - Department of Mathematics and Economics and Technische Universität München (TUM) - Chair of Mathematical Finance

Abstract:

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Risk Appetite, Equity Volatility, Private Equity

10.

Modeling the Evolution of Implied CDO Correlations

Financial Markets and Portfolio Management, Vol. 24, No. 3, 2010
Posted: 03 Sep 2010
ETH Zurich, RiskLab, Department of Mathematics, Technische Universität München (TUM) and Technische Universität München (TUM) - Chair of Mathematical Finance

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CDO, Implied correlation, Gaussian copula model

11.

Alternative Investments and Strategies

ALTERNATIVE INVESTMENTS AND STRATEGIES, World Scientific Publishing, 2010
Posted: 28 Jul 2010
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

Other Papers (1)

Total Downloads: 65
1.

Closed-Form Solutions for Guaranteed Minimum Accumulation Benefits

Number of pages: 40 Posted: 19 Apr 2014
Technische Universität München (TUM) - Chair of Mathematical Finance, Technische Universität München (TUM) - Chair of Mathematical Finance and University of Augsburg - Department of Finance and Banking
Downloads 65

Abstract:

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Variable Annuities, Guaranteed Minimum Accumulation Benefit, Hybrid Model