Boris Waelchli

University of Zurich - Department of Banking and Finance

PhD

Plattenstrasse 14

Z├╝rich, 8032

Switzerland

SCHOLARLY PAPERS

4

DOWNLOADS

465

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (4)

1.

Herding and Stochastic Volatility

Swiss Finance Institute Research Paper No. 15-59
Number of pages: 33 Posted: 05 Nov 2015 Last Revised: 27 Mar 2017
Walter Farkas, Ciprian Necula and Boris Waelchli
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 199 (191,472)
Citation 2

Abstract:

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herding, non-affine option pricing model, Gauss-Hermite expansion

2.

A Random Forests Based Performance Ratio for Regulatory Asset Portfolio Management and Optimization

Number of pages: 35 Posted: 16 Jan 2015 Last Revised: 04 Nov 2015
Boris Waelchli
University of Zurich - Department of Banking and Finance
Downloads 188 (201,437)

Abstract:

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Random Forests; Recursive Conditional Partitioning; Portfolio Optimisation; Sharpe Ratio; Big Data

3.

An Integrated Risk Capital Aggregation Framework Using Nonlinear Classification by Random Forests and Its Proximity Measures

Number of pages: 32 Posted: 14 Apr 2014 Last Revised: 15 Jan 2015
Boris Waelchli
University of Zurich - Department of Banking and Finance
Downloads 78 (382,844)

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Random Forests, risk aggregation, nonlinear modeling, benchmark, integrated risk analysis, diversification, big data

4.

A Proximity Based Macro Stress Testing Framework

Waelchli, B. (2016). A proximity based macro stress testing framework. Dependence Modeling, 4(1), pp. -. Retrieved 18 Nov. 2016, from doi:10.1515/demo-2016-0015
Posted: 16 Sep 2015 Last Revised: 19 Nov 2016
Boris Waelchli
University of Zurich - Department of Banking and Finance

Abstract:

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Random Forests; Machine Learning; Stress Testing; Early Warning Indicators; Big Data