Frank Oertel

The London School of Economics and Political Science (LSE)

CPNSS Research Associate

London

United Kingdom

http://www.frank-oertel-math.de

SCHOLARLY PAPERS

2

DOWNLOADS

441

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.
Downloads 350 ( 85,047)
Citation 3

Restructuring Counterparty Credit Risk

Number of pages: 27 Posted: 07 Dec 2011 Last Revised: 24 Jun 2012
Claudio Albanese, Damiano Brigo and Frank Oertel
Global Valuation, Imperial College London - Department of Mathematics and The London School of Economics and Political Science (LSE)
Downloads 293 (102,968)
Citation 4

Abstract:

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Restructuring Counterparty Credit Risk

Bundesbank Discussion Paper No. 14/2013
Number of pages: 40 Posted: 21 Jun 2016
Claudio Albanese, Damiano Brigo and Frank Oertel
Global Valuation, Imperial College London - Department of Mathematics and The London School of Economics and Political Science (LSE)
Downloads 57 (371,562)

Abstract:

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counterparty credit risk, CVA, DVA, margin lending, securitisation, Basel III, CCP, clearing, collateral, OTC

2.

Sklar's Theorem Revisited: An Elaboration of the Rüschendorf Transform Approach

Number of pages: 14 Posted: 23 Jan 2015
Frank Oertel
The London School of Economics and Political Science (LSE)
Downloads 91 (282,072)

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Copulas, distributional transform, generalised inverse functions, Sklar's Theorem, tail dependence