Thorsten Schmidt

University of Freiburg

Professor in Mathematical Stochastics

Fahnenbergplatz

Freiburg, D-79085

Germany

SCHOLARLY PAPERS

22

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2,224

SSRN CITATIONS
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SSRN RANKINGS

Top 28,277

in Total Papers Citations

10

CROSSREF CITATIONS

22

Ideas:
“  Current research: stochastic machine learning, the link between finance and insurance and interest rate theory after the era of LIBOR  ”

Scholarly Papers (22)

1.

Measuring the Risk of Large Losses

Journal of Investment Management (JOIM), Fourth Quarter 2008
Number of pages: 19 Posted: 01 Oct 2005 Last Revised: 10 Jan 2012
Kay Giesecke, Thorsten Schmidt and Stefan Weber
Stanford University - Department of Management Science & Engineering, University of Freiburg and Leibniz Universität Hannover - House of Insurance
Downloads 401 (94,286)

Abstract:

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Distribution-invariant risk measures, utility-based shortfall risk, average value at risk, value at risk, event risk, extreme events

2.

Pricing and Hedging of CDOs: A Top Down Approach

Number of pages: 22 Posted: 14 Sep 2009 Last Revised: 06 Dec 2009
Damir Filipović and Thorsten Schmidt
Ecole Polytechnique Fédérale de Lausanne and University of Freiburg
Downloads 397 (95,344)

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collateralized debt obligations, single tranche CDO, variance-minimizing hedging

3.

Dynamic CDO Term Structure Modelling

Mathematical Finance, Forthcoming
Number of pages: 21 Posted: 09 Jul 2009
Damir Filipović, Ludger Overbeck and Thorsten Schmidt
Ecole Polytechnique Fédérale de Lausanne, University of Giessen and University of Freiburg
Downloads 323 (120,191)

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affine term structure, collateralized debt obligations, loss process, single tranche CDO, term structure of forward spreads

4.

Quadratic Models for Portfolio Credit Risk with Shot-Noise Effects

SSE/EFI Economics and Finance Working Paper No. 616
Number of pages: 60 Posted: 17 Jul 2006 Last Revised: 09 Mar 2009
Raquel M. Gaspar and Thorsten Schmidt
ISEG and Cemapre/REM, Universidade de Lisboa and University of Freiburg
Downloads 161 (233,897)
Citation 3

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Credit risk, reduced-form models, CDS, CDO, quadratic term structures, shot-noise

5.

Unbiased Estimation of Risk

Number of pages: 26 Posted: 27 Dec 2016 Last Revised: 02 Sep 2017
Marcin Pitera and Thorsten Schmidt
Jagiellonian University in Krakow - Department of Mathematics and University of Freiburg
Downloads 127 (282,444)
Citation 4

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value-at-risk, tail value-at-risk, expected shortfall, risk measure, estimation of risk measures, bias, risk estimation, elicitability, backtest, unbiased estimation of risk measures

6.

Credit Risk Modelling with Shot-Noise Processes

Number of pages: 25 Posted: 14 Apr 2010
Raquel M. Gaspar and Thorsten Schmidt
ISEG and Cemapre/REM, Universidade de Lisboa and University of Freiburg
Downloads 117 (299,761)
Citation 7

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credit portfolio risk, shot-noise processes, default dependence, affine models, local intensities, calibration, CDO

7.

Generalized Statistical Arbitrage Concepts and Related Gain Strategies

Number of pages: 32 Posted: 24 Jul 2019 Last Revised: 28 Jul 2019
Christian Rein, Ludger Rüschendorf and Thorsten Schmidt
University of Freiburg - Institut für Mathematische Stochastik, University of Freiburg and University of Freiburg
Downloads 106 (321,173)
Citation 2

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statistical arbitrage, trading strategy, pairs trading, profitable strategy, good deals

8.

Term Structure Models with Shot-Noise Effects

ISEG Advance Working Paper No. 3/2007
Number of pages: 18 Posted: 04 Jul 2008 Last Revised: 15 Dec 2010
Raquel M. Gaspar and Thorsten Schmidt
ISEG and Cemapre/REM, Universidade de Lisboa and University of Freiburg
Downloads 105 (323,233)
Citation 1

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Term Structure Models, Quadratic Term Structure Models, Shot-noise

9.

Pricing Basket Default Swaps in a Tractable Shot-Noise Model

Number of pages: 18 Posted: 15 Apr 2009 Last Revised: 12 Mar 2011
Alexander Herbertsson, Jiwook Jang and Thorsten Schmidt
University of Gothenburg - Department of Economics/Centre for Finance, Macquarie University and University of Freiburg
Downloads 104 (325,341)
Citation 3

Abstract:

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Credit risk, intensity-based models, dependence modelling, shot noise, CDS, kth-to-default swaps

10.

CDOs in the Light of the Current Crisis

FINANCIAL RISKS: NEW DEVELOPMENTS IN STRUCTURED PORDUCT & CREDIT DERIVATIVES, C. Gourieroux and M. Jeanblanc, EDS., Chapter 4, pp.33-48, Economica
Number of pages: 12 Posted: 03 Jul 2008 Last Revised: 15 Dec 2010
Raquel M. Gaspar and Thorsten Schmidt
ISEG and Cemapre/REM, Universidade de Lisboa and University of Freiburg
Downloads 82 (377,753)

Abstract:

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CDOs, credit risk, Affine, Shot-noise, Top-down

11.

Robust Deep Hedging

Number of pages: 27 Posted: 30 Jun 2021 Last Revised: 29 Nov 2021
University of Freiburg, Institute for Economic ResearchUniversity of Freiburg - Institute for Economic Research, University of Freiburg and University of FreiburgNanyang Technological University (NTU) - School of Physical and Mathematical Sciences
Downloads 76 (394,718)

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affine processes, Knightian uncertainty, Kolmogorov equation, deep learning, robust hedging

12.

Market Models for Credit Risky Portfolios Driven by Time-Inhomogeneous Levy Processes

Number of pages: 34 Posted: 30 Aug 2012
Ernst Eberlein, Zorana Grbac and Thorsten Schmidt
University of Freiburg, Université Paris VII Denis Diderot and University of Freiburg
Downloads 60 (446,952)
Citation 2

Abstract:

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collateralized debt obligations, loss process, single tranche CDO, top-down model, market model, time-inhomogeneous Levy processes, Libor rate, forward measure, affine processes, extended Kalman filter, iTraxx

13.

Variable Annuities in a Lévy-Based Hybrid Model With Surrender Risk

Number of pages: 41 Posted: 10 Jun 2019
Bayes Business School (formerly Cass) - City, University of London, University of Freiburg, University of Freiburg and affiliation not provided to SSRN
Downloads 58 (454,327)
Citation 2

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Finance, Variable Annuities, Hybrid models, Lévy processes, Surrender Risk

14.

No Arbitrage in Insurance and the QP-Rule

Number of pages: 22 Posted: 23 Jun 2020
Philippe Artzner, Karl-Theodor Eisele and Thorsten Schmidt
University of Strasbourg - Institut de Recherche Mathématique Avancée, UMR 7501, University of Strasbourg and University of Freiburg
Downloads 42 (520,847)
Citation 1

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arbitrage, fundamental theorem of asset pricing, insurance valuation, variable annuities, hybrid products, equity-linked life insurance, enlargement of filtration, affine processes, longevity risk, corona crisis, QP-rule

15.

Machine Learning for Multiple Yield Curve Markets: Fast Calibration in the Gaussian Affine Framework

Number of pages: 20 Posted: 12 May 2020
Sandrine Gümbel and Thorsten Schmidt
University of Freiburg - Institut für Mathematische Stochastik and University of Freiburg
Downloads 39 (535,290)
Citation 1

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Vasicek model, single curve markets, affine models, multi curve markets, machine learning, Gaussian process regression, filtering, Adam optimizer, conjugate gradient method, term structure models

16.

General Dynamic Term Structures Under Default Risk

Stochastic Processes and their Applications, 2018, 128(10): 3353-3386
Number of pages: 31 Posted: 17 Apr 2018 Last Revised: 25 Aug 2019
Claudio Fontana and Thorsten Schmidt
University of Padova, Department of Mathematics and University of Freiburg
Downloads 20 (649,981)
Citation 2

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Credit Risk, HJM, Arbitrage, Forward Rate, Default Compensator, Structural Approach, Reduced-Form Approach, Large Financial Market, Recovery

17.

Pricing Corporate Securities Under Noisy Asset Information

Mathematical Finance, Vol. 19, Issue 3, pp. 403-421, July 2009
Number of pages: 19 Posted: 30 Jun 2009
Rüdiger Frey and Thorsten Schmidt
ETH Zürich and University of Freiburg
Downloads 3 (780,679)
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18.

Dynamic Defaultable Term Structure Modeling Beyond the Intensity Paradigm

Mathematical Finance, Vol. 28, Issue 1, pp. 211-239, 2018
Number of pages: 29 Posted: 17 Jan 2018
Frank Gehmlich and Thorsten Schmidt
University of Freiburg and University of Freiburg
Downloads 2 (790,093)
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credit risk, HJM, forward rate, structural approach, reduced‐form approach, Azéma supermartingale, affine processes, filtering

19.

Dynamic CDO Term Structure Modeling

Mathematical Finance, Vol. 21, Issue 1, pp. 53-71, 2010
Number of pages: 19 Posted: 30 Dec 2010
Damir Filipović, Ludger Overbeck and Thorsten Schmidt
Ecole Polytechnique Fédérale de Lausanne, University of Giessen and University of Freiburg
Downloads 1 (801,650)
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affine term structure, collateralized debt obligations, loss process, single tranche CDO, term structure of forward spreads

20.

A Shot Noise Model for Financial Assets

International Journal of Theoretical and Applied Finance
Posted: 26 Apr 2010 Last Revised: 06 May 2010
Thorsten Schmidt and Winfried Stute
University of Freiburg and University of Giessen

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Shot-noise component, jump diffusion, minimal martingale measure

21.

On the Pricing of CDOs

CREDIT DERIVATIVES HANDBOOK, Chapter 11, P.U. Ali and G.N. Gregoriou, eds., pp. 229-258, McGraw-Hill
Posted: 04 Jul 2008
Raquel M. Gaspar and Thorsten Schmidt
ISEG and Cemapre/REM, Universidade de Lisboa and University of Freiburg

Abstract:

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CDS, CDO, First-to-default Swaps, Quadratic Term Structures, Shot-noise

22.

Adaptive Regulierung von hochriskanter KI – Neue Wege zum Schutz von Rechten und Gemeinwohl (Fostering the Common Good – an Adaptive Approach Regulating High-Risk AI-Driven Products and Services)

Brandtstädter/Hinsch, Gefährliche Forschung? Eine Debatte über Gleichheit und Differenz in der Wissenschaft, 2022
Silja Voeneky (Vöneky) and Thorsten Schmidt
University of Freiburg - Faculty of Law and University of Freiburg

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