Manfred Jaeger-Ambrozewicz

Hochschule für Technik und Wirtschaft Berlin

Professor of Financial Mathematics

Treskowallee 8

Berlin, 10313

Germany

http://www.mathfred.de

  • Hochschule für Technik und Wirtschaft Berlin

SCHOLARLY PAPERS

3

DOWNLOADS

882

TOTAL CITATIONS

4

Scholarly Papers (3)

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1.

A Critical Note on Delta-CoVaR

Number of pages: 10 Posted: 02 Feb 2013
Manfred Jaeger-Ambrozewicz
Hochschule für Technik und Wirtschaft Berlin
Downloads 421 (139,339)
Citation 1

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Systemic Risk, Value at Risk, Copula, CoVaR

2.

Closed Form Solutions of Measures of Systemic Risk

Number of pages: 15 Posted: 12 Sep 2010 Last Revised: 18 Nov 2012
Manfred Jaeger-Ambrozewicz
Hochschule für Technik und Wirtschaft Berlin
Downloads 293 (207,102)
Citation 3

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Systemic Risk, Value at Risk, Expected Shortfall, Conditional Value at Risk, Conditional Expected Shortfall, M-Garch, Capital requirements, Regulation, Basel III

3.

Measuring Interest Rate Risk Using a Duration Vector

Number of pages: 22 Posted: 22 Mar 2017 Last Revised: 02 Oct 2017
Manfred Jaeger-Ambrozewicz
Hochschule für Technik und Wirtschaft Berlin
Downloads 168 (351,532)

Abstract:

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Duration, duration vector, Factor duration, Interest Rate Risk