Eduard Kromer

University of California, Berkeley

Postdoctoral Scholar

Evans Hall

Berkeley, CA 3860 94720

United States

SCHOLARLY PAPERS

7

DOWNLOADS

1,602

SSRN CITATIONS
Rank 36,747

SSRN RANKINGS

Top 36,747

in Total Papers Citations

23

CROSSREF CITATIONS

4

Scholarly Papers (7)

1.

Reward-Risk Ratios

Journal of Investment Strategies, Forthcoming
Number of pages: 16 Posted: 10 Sep 2012 Last Revised: 25 Nov 2013
Patrick Cheridito and Eduard Kromer
ETH Zurich and University of California, Berkeley
Downloads 512 (103,473)
Citation 9

Abstract:

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Reward measures, risk measures, monotonicity, quasi-concavity, scale invariance, distribution based

2.

Feynman Kac for Functional Jump Diffusions with an Application to Credit Value Adjustment

Number of pages: 15 Posted: 26 Sep 2014 Last Revised: 22 Jun 2015
Eduard Kromer, Ludger Overbeck and Jasmin Röder
University of California, Berkeley, University of Giessen and University of Giessen
Downloads 242 (234,880)
Citation 4

Abstract:

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Functional Feynman-Kac Theorem, functional Ito formula, functional jump diffusion, path-dependent coefficients, Credit Value Adjustment, bilateral counterparty risk, path-dependent derivatives, Asian option

3.

Systemic Risk Measures on General Measurable Spaces

Number of pages: 30 Posted: 22 May 2013 Last Revised: 29 May 2016
Eduard Kromer, Ludger Overbeck and Katrin Zilch
University of California, Berkeley, University of Giessen and University of Giessen
Downloads 239 (237,748)
Citation 7

Abstract:

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systemic risk measure, aggregation function, locally convex-solid Riesz spaces, decomposition, dual representation, risk attribution

4.

Representation of BSDE-Based Dynamic Risk Measures and Dynamic Capital Allocations

International Journal of Theoretical and Applied Finance, Vol. 17, No. 5, 2014
Number of pages: 18 Posted: 17 Jan 2014 Last Revised: 27 Jun 2015
Eduard Kromer and Ludger Overbeck
University of California, Berkeley and University of Giessen
Downloads 212 (266,397)
Citation 3

Abstract:

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Dynamic risk measure, dynamic risk capital allocation, backward stochastic differential equation, gradient allocation, Aumann-Shaley allocation, dynamic entropic risk measure

5.

Path-Dependent BSDEs with Jumps and Their Connection to PPIDEs

Number of pages: 35 Posted: 27 May 2015 Last Revised: 09 Sep 2016
Eduard Kromer, Ludger Overbeck and Jasmin Röder
University of California, Berkeley, University of Giessen and University of Giessen
Downloads 198 (283,564)

Abstract:

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path-dependent backward stochastic differential equation; jump diffusion; path-dependent PIDE; functional Feynman-Kac theorem; path-differentiability; viscosity solution; functional Itô formula

6.

Dynamic Systemic Risk Measures for Bounded Discrete-Time Processes

Number of pages: 27 Posted: 23 Jul 2014 Last Revised: 13 May 2015
Eduard Kromer, Ludger Overbeck and Katrin Zilch
University of California, Berkeley, University of Giessen and University of Giessen
Downloads 126 (413,675)

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conditional systemic risk measure, aggregation function, conditional dual representation, dynamic systemic risk measure, time-consistency

7.

Differentiability of BSVIEs and Dynamic Capital Allocations

Number of pages: 22 Posted: 17 Jan 2014 Last Revised: 03 Jun 2015
Eduard Kromer and Ludger Overbeck
University of California, Berkeley and University of Giessen
Downloads 73 (593,140)
Citation 4

Abstract:

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Dynamic risk capital allocation, dynamic risk measure, backward stochastic Volterra integral equation, backward stochastic differential equation, gradient allocation, dynamic entropic risk measure