Ludger Rüschendorf

University of Freiburg

Fahnenbergplatz

Freiburg, D-79085

Germany

SCHOLARLY PAPERS

15

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2,142

SSRN CITATIONS
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Top 6,945

in Total Papers Citations

44

CROSSREF CITATIONS

118

Scholarly Papers (15)

1.
Downloads 407 ( 76,967)
Citation 24

Value-at-Risk Bounds with Variance Constraints

Number of pages: 38 Posted: 18 Oct 2013 Last Revised: 10 Jul 2015
Carole Bernard, Ludger Rüschendorf and Steven Vanduffel
Grenoble Ecole de Management, University of Freiburg and Vrije Universiteit Brussel (VUB)
Downloads 407 (76,262)
Citation 8

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Value-at-Risk, Convex order, Comonotonicity, Model risk, Rearrangement algorithm

Value‐At‐Risk Bounds with Variance Constraints

Journal of Risk and Insurance, Vol. 84, Issue 3, pp. 923-959, 2017
Number of pages: 37 Posted: 15 Aug 2017
Carole Bernard, Ludger Rüschendorf and Steven Vanduffel
Grenoble Ecole de Management, University of Freiburg and Vrije Universiteit Brussel (VUB)
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Citation 4
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2.

Model Uncertainty and VaR Aggregation

Journal of Banking and Finance, Vol. 37, No. 8, 2013
Number of pages: 19 Posted: 16 Oct 2014
Paul Embrechts, Giovanni Puccetti and Ludger Rüschendorf
Swiss Federal Institute of Technology Zurich, University of Milan - Department of Economics, Management and Quantitative Methods (DEMM) and University of Freiburg
Downloads 298 (109,482)
Citation 15

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Copula, Fréchet class, Model Uncertainty, Operational Risk, Positive Dependence, Rearrangement Algorithm, Risk Aggregation, Value-at-Risk, VaR-bounds.

3.

On the Computation of Wasserstein Barycenters

Number of pages: 19 Posted: 28 Nov 2018 Last Revised: 06 Nov 2019
Giovanni Puccetti, Ludger Rüschendorf and Steven Vanduffel
University of Milan - Department of Economics, Management and Quantitative Methods (DEMM), University of Freiburg and Vrije Universiteit Brussel (VUB)
Downloads 275 (119,165)

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Wasserstein barycenter, swapping algorithm, optimal transportations, k-means clustering, image processing

4.

Risk Bounds for Factor Models

Finance and Stochastics, Forthcoming
Number of pages: 31 Posted: 03 Mar 2015 Last Revised: 09 Feb 2017
Carole Bernard, Ludger Rüschendorf, Steven Vanduffel and Ruodu Wang
Grenoble Ecole de Management, University of Freiburg, Vrije Universiteit Brussel (VUB) and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 243 (135,367)
Citation 7

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factor models, risk aggregation, dependence uncertainty, Value-at-Risk

5.

Reduction of Value-at-Risk Bounds via Independence and Variance Information

Forthcoming in Scandinavian Actuarial Journal
Number of pages: 18 Posted: 27 Mar 2015 Last Revised: 11 Nov 2015
Giovanni Puccetti, Ludger Rüschendorf, Daniel Small and Steven Vanduffel
University of Milan - Department of Economics, Management and Quantitative Methods (DEMM), University of Freiburg, University of Freiburg and Vrije Universiteit Brussel (VUB)
Downloads 160 (198,714)
Citation 9

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Value-at-Risk, Dependence Uncertainty, Model Risk, Expected Shortfall

6.

Reducing Model Risk via Positive and Negative Dependence Assumptions

Insurance Math. Econ. 61(1), 17-26, 2015
Number of pages: 12 Posted: 05 Sep 2014 Last Revised: 12 May 2015
Valeria Bignozzi, Giovanni Puccetti and Ludger Rüschendorf
Università di Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, University of Milan - Department of Economics, Management and Quantitative Methods (DEMM) and University of Freiburg
Downloads 160 (198,714)
Citation 3

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7.

How Robust Is the Value-at-Risk of Credit Risk Portfolios?

Forthcoming, European Journal of Finance
Number of pages: 30 Posted: 27 Feb 2015 Last Revised: 02 Nov 2017
Carole Bernard, Ludger Rüschendorf, Steven Vanduffel and Jing Yao
Grenoble Ecole de Management, University of Freiburg, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 145 (215,520)
Citation 6

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Rearrangement algorithm, Moment bounds, Value-at-Risk, Credit risk portfolio. Minimum variance

8.

On the Construction of Optimal Payoffs

Forthcoming, Decisions in Economics and Finance
Number of pages: 26 Posted: 09 Mar 2017 Last Revised: 04 Dec 2019
Ludger Rüschendorf and Steven Vanduffel
University of Freiburg and Vrije Universiteit Brussel (VUB)
Downloads 98 (287,533)
Citation 3

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Optimal portfolio selection, State-dependent preferences, Conditional distribution, Yaari’s dual theory of choice, Incompleteness

9.

VaR Bounds for Joint Portfolios with Dependence Constraints

Number of pages: 16 Posted: 13 Jun 2016
Giovanni Puccetti, Ludger Rüschendorf and Dennis Manko
University of Milan - Department of Economics, Management and Quantitative Methods (DEMM), University of Freiburg and University of Freiburg - Institut für Mathematische Stochastik
Downloads 91 (301,481)
Citation 2

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Value-at-Risk; Dependence Uncertainty; Positive Dependence; Model Risk

10.

Computation of Sharp Bounds on the Expected Value of a Supermodular Function of Risks with Given Marginals

Forthcoming in Commun. Stat. Simulat.
Number of pages: 13 Posted: 07 Aug 2014
Giovanni Puccetti and Ludger Rüschendorf
University of Milan - Department of Economics, Management and Quantitative Methods (DEMM) and University of Freiburg
Downloads 89 (305,681)

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Moment bounds for dependent risks, distribution functions, rearrangements

11.

Upper Bounds for Strictly Concave Distortion Risk Measures on Moment Spaces

Number of pages: 25 Posted: 02 Nov 2017 Last Revised: 21 Jul 2018
Dries Cornilly, Ludger Rüschendorf and Steven Vanduffel
Vrije Universiteit Brussel (VUB), University of Freiburg and Vrije Universiteit Brussel (VUB)
Downloads 58 (387,533)

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Value-at-Risk (VaR), Coherent risk measure, Model uncertainty, Distortion function

12.

Generalized Statistical Arbitrage Concepts and Related Gain Strategies

Number of pages: 32 Posted: 24 Jul 2019 Last Revised: 28 Jul 2019
Christian Rein, Ludger Rüschendorf and Thorsten Schmidt
University of Freiburg - Institut für Mathematische Stochastik, University of Freiburg and University of Freiburg
Downloads 54 (400,863)
Citation 1

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statistical arbitrage, trading strategy, pairs trading, profitable strategy, good deals

Value-at-Risk Bounds with Two-Sided Dependence Information

Number of pages: 38 Posted: 14 Dec 2017
Thibaut Lux and Ludger Rüschendorf
Vrije Universiteit Brussels and University of Freiburg
Downloads 46 (437,425)
Citation 1

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model uncertainty, copulas, duality theory, value-at-risk

Value‐At‐Risk Bounds with Two‐Sided Dependence Information

Mathematical Finance, Vol. 29, Issue 3, pp. 967-1000, 2019
Number of pages: 34 Posted: 28 May 2020
Thibaut Lux and Ludger Rüschendorf
Vrije Universiteit Brussels and University of Freiburg
Downloads 1 (727,094)
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copulas, duality, Fréchet–Hoeffding bounds, model uncertainty, optimal transport, Value‐at‐Risk, 91B30 (primary), 62E17, 60E15

14.

On the Optimal Rearrangement of Multiple Matrices

Number of pages: 30 Posted: 02 Jan 2020
Vrije Universiteit Brussel (VUB), University of Milan - Department of Economics, Management and Quantitative Methods (DEMM), University of Freiburg and Vrije Universiteit Brussel (VUB)
Downloads 17 (576,209)

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Decision analysis, Fair allocation of indivisible goods, ALCS

15.

Asymptotic Equivalence of Conservative Value-at-Risk- and Expected Shortfall-Based Capital Charges

Journal of Risk, Vol. 16, No. 3, 2014
Number of pages: 20 Posted: 08 Jun 2016
Giovanni Puccetti and Ludger Rüschendorf
University of Florence - Department of Economics and Management and University of Freiburg
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Citation 1
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value-at-risk, capital charges