Eduard Kromer

University of California, Berkeley

Postdoctoral Scholar

Evans Hall

Berkeley, CA 3860 94720

United States

SCHOLARLY PAPERS

8

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989

SSRN CITATIONS
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8

CROSSREF CITATIONS

8

Scholarly Papers (8)

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 303 (103,029)
Citation 4

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

2.

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 182 (170,874)
Citation 4

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

3.

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 138 (215,959)
Citation 2

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

4.

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 123 (236,190)

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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

5.

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 111 (254,521)
Citation 1

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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

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 93 (286,823)

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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 39 (441,967)
Citation 4

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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

8.

Suitability of Capital Allocations for Performance Measurement

Journal of Risk, Vol. 16, No. 6, 2014
Number of pages: 28 Posted: 09 Jun 2016
Eduard Kromer and Ludger Overbeck
University of California, Berkeley and University of Giessen
Downloads 0 (687,868)
Citation 1
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capital allocations, performance measurement