Ludger Rüschendorf

University of Freiburg

Fahnenbergplatz

Freiburg, D-79085

Germany

SCHOLARLY PAPERS

14

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CITATIONS
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114

Scholarly Papers (14)

1.
Downloads 390 ( 74,424)
Citation 19

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 390 (73,721)
Citation 4

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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 1
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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 274 (110,395)
Citation 5

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

3.

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 236 (128,665)
Citation 2

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

4.

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 157 (186,969)
Citation 1

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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 154 (190,015)
Citation 4

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

6.

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 142 (203,086)
Citation 1

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

7.

On the Computation of Wasserstein Barycenters

Number of pages: 18 Posted: 28 Nov 2018 Last Revised: 11 May 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 93 (276,225)

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

8.

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 88 (285,979)
Citation 1

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

9.

On the Construction of Optimal Payoffs

Number of pages: 26 Posted: 09 Mar 2017 Last Revised: 23 Jun 2019
Ludger Rüschendorf and Steven Vanduffel
University of Freiburg and Vrije Universiteit Brussel (VUB)
Downloads 84 (294,438)
Citation 3

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

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 82 (298,839)

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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 54 (372,944)
Citation 1

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

12.

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 40 (421,813)

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

13.

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 18 (536,175)

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

14.

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
Downloads 0 (666,078)
Citation 1
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value-at-risk, capital charges