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Martin Hellmich

Frankfurt School of Finance & Management

Adickesallee 32-34

Frankfurt am Main, 60322

Germany

  • Frankfurt School of Finance & Management

SCHOLARLY PAPERS

2

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239

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0

Scholarly Papers (2)

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1.

Credit Modelling Under Jump Diffusions with Exponentially Distributed Jumps - Stable Calibration, Dynamics and Gap Risk

Number of pages: 22 Posted: 15 Sep 2010 Last Revised: 08 Oct 2015
Stefan Kassberger, Martin Hellmich and Wolfgang M. Schmidt
Frankfurt School of Finance & Management, Frankfurt School of Finance & Management and Frankfurt School of Finance & Management
Downloads 239 (321,897)

Abstract:

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credit default, structural model, credit default swap, hyper-exponential jump diffusion, spectrally negative Kou process, entropy-based calibration

2.

Handle with Care: Challenges and Opportunities of using Company-Level Emissions Data for Assessing Financial Risks from Climate Change

Posted: 23 Feb 2021 Last Revised: 05 Sep 2023
Andrej Bajic, Ruediger Kiesel and Martin Hellmich
Deloitte & Touche GmbH, University of Duisburg-Essen - Faculty of Economic Science and Frankfurt School of Finance & Management

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Company-level Emissions Data, Carbon Disclosure,Data Quality, Carbon Risk