Christoph Frei

University of Alberta - Department of Mathematical and Statistical Sciences

Professor

Edmonton, Alberta T6G 2G1

Canada

http://www.math.ualberta.ca/~cfrei/

SCHOLARLY PAPERS

14

DOWNLOADS

2,027

SSRN CITATIONS

16

CROSSREF CITATIONS

22

Scholarly Papers (14)

1.

Principal Trading Arrangements: When Are Common Contracts Optimal?

Management Science, Vol. 68, No. 4, pp. 3112–3128
Number of pages: 56 Posted: 24 May 2018 Last Revised: 03 May 2022
Markus Baldauf, Christoph Frei and Joshua Mollner
University of British Columbia (UBC) - Division of Finance, University of Alberta - Department of Mathematical and Statistical Sciences and Northwestern University - Kellogg School of Management
Downloads 459 (88,847)
Citation 3

Abstract:

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benchmark manipulation, dealer-client agency conflict, front-running, principal trading, volume-weighted average price (VWAP)

2.

Principal Trading Arrangements: Optimality under Temporary and Permanent Price Impact

Number of pages: 77 Posted: 18 Feb 2021 Last Revised: 04 May 2022
Markus Baldauf, Christoph Frei and Joshua Mollner
University of British Columbia (UBC) - Division of Finance, University of Alberta - Department of Mathematical and Statistical Sciences and Northwestern University - Kellogg School of Management
Downloads 251 (170,769)
Citation 1

Abstract:

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agency conflict, dealer-client relationship, principal trading, price impact

3.

How the Closure of a U.S. Tax Loophole May Affect Investor Portfolios

Journal of Risk and Financial Management 15 (2022), 209
Number of pages: 13 Posted: 03 Jul 2021 Last Revised: 18 May 2022
Christoph Frei and Liam Welsh
University of Alberta - Department of Mathematical and Statistical Sciences and University of Alberta - Department of Mathematical and Statistical Sciences
Downloads 195 (216,428)

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Portfolio Allocation, ETFs, Mutual Funds, Capital Gains Tax

4.

Managing Counterparty Risk in OTC Markets

FEDS Working Paper No. 2017-83
Number of pages: 42 Posted: 07 Sep 2017 Last Revised: 29 Apr 2020
Christoph Frei, Agostino Capponi and Celso Brunetti
University of Alberta - Department of Mathematical and Statistical Sciences, Columbia University and Board of Governors of the Federal Reserve System
Downloads 178 (234,194)

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Over-the-counter markets, counterparty concentration, Counterparty risk, Negative externalities

Moment Estimators for Autocorrelated Time Series and Their Application to Default Correlations

Journal of Credit Risk 14 (2018), 1-29
Number of pages: 25 Posted: 10 May 2017 Last Revised: 19 Mar 2018
Christoph Frei and Marcus Wunsch
University of Alberta - Department of Mathematical and Statistical Sciences and ZHAW School of Management and Law
Downloads 171 (242,652)

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autocorrelation, credit risk, latent asset return correlation, method of moments

Moment Estimators for Autocorrelated Time Series and Their Application to Default Correlations

Journal of Credit Risk, Vol. 14, No. 1, 2018
Number of pages: 30 Posted: 16 Mar 2018
Christoph Frei and Marcus Wunsch
University of Alberta - Department of Mathematical and Statistical Sciences and Zurich University of Applied Sciences (ZHAW)
Downloads 2 (914,379)
Citation 4
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autocorrelation, credit risk, latent asset return correlation, method of moments (MoM), bias correction.

6.

Optimal Execution in Hong Kong Given a Market-on-Close Benchmark

Quantitative Finance 18 (2018), 655-671
Number of pages: 29 Posted: 12 Jun 2015 Last Revised: 12 Mar 2018
Christoph Frei and Nicholas Westray
University of Alberta - Department of Mathematical and Statistical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 157 (260,354)

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Optimal trade execution, Hong Kong Exchange, median benchmark, algorithmic trading

7.

Systemic Influences on Optimal Equity-Credit Investment

Management Science, Forthcoming
Number of pages: 40 Posted: 31 Jan 2015 Last Revised: 08 Jan 2016
Agostino Capponi and Christoph Frei
Columbia University and University of Alberta - Department of Mathematical and Statistical Sciences
Downloads 155 (263,039)
Citation 2

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systemic risk, credit risk, mixed equity-credit strategies, calibration

8.

Optimal Closing Benchmarks

Finance Research Letters 40 (2021), 101674
Number of pages: 14 Posted: 09 Oct 2019 Last Revised: 26 Apr 2021
Christoph Frei and Joshua Mitra
University of Alberta - Department of Mathematical and Statistical Sciences and University of Alberta - Department of Mathematical and Statistical Sciences
Downloads 134 (294,983)

Abstract:

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benchmark stability, closing auction, volume weighted average price, VWAP

9.

Cannabis Legalization: How Banking Transactions Reflect the Shift Away From the Black Market

Number of pages: 9 Posted: 13 Sep 2021 Last Revised: 07 Jul 2022
Bohdan Horak and Christoph Frei
University of Alberta - Department of Mathematical and Statistical Sciences and University of Alberta - Department of Mathematical and Statistical Sciences
Downloads 111 (338,124)

Abstract:

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cannabis legalization, recreational cannabis, black market, marijuana

10.

Traditional and Digital Currencies in Over-the-Counter Markets

Number of pages: 43 Posted: 28 Jan 2021 Last Revised: 10 May 2021
Christoph Frei and Qianhong Huang
University of Alberta - Department of Mathematical and Statistical Sciences and University of Alberta - Department of Mathematical and Statistical Sciences
Downloads 94 (376,986)

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digital currency, payment systems, over-the-counter markets, stablecoins, central bank digital currency

11.

Dynamic Contracting: Accidents Lead to Nonlinear Contracts

SIAM Journal of Financial Mathematics, Forthcoming
Number of pages: 28 Posted: 12 Aug 2015 Last Revised: 15 Aug 2015
Agostino Capponi and Christoph Frei
Columbia University and University of Alberta - Department of Mathematical and Statistical Sciences
Downloads 51 (520,161)
Citation 1

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principal agent problems, optimal contracts, accident risk, moral hazard

12.

Recent Regulation in Credit Risk Management: A Statistical Framework

Risks (2019) 7, 40 DOI:10.3390/risks7020040
Number of pages: 19 Posted: 14 May 2019
Logan Ewanchuk and Christoph Frei
University of Alberta - Department of Mathematical and Statistical Sciences and University of Alberta - Department of Mathematical and Statistical Sciences
Downloads 50 (524,580)

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credit risk, risk modelling, IFRS 9, expected credit loss, early recognition, income volatility

13.

A New Approach to Risk Attribution and its Application in Credit Risk Analysis

Risks (2020) 8, 65 DOI:10.3390/risks8020065
Number of pages: 13 Posted: 10 Feb 2021
Christoph Frei
University of Alberta - Department of Mathematical and Statistical Sciences
Downloads 15 (743,430)

Abstract:

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risk attribution; risk allocation; credit risk; Euler principle; risk factors

14.

Optimal Execution of a VWAP Order: A Stochastic Control Approach

Mathematical Finance, Vol. 25, Issue 3, pp. 612-639, 2015
Number of pages: 28 Posted: 05 Jun 2015
Christoph Frei and Nicholas Westray
University of Alberta - Department of Mathematical and Statistical Sciences and Deutsche Bank AG
Downloads 4 (851,924)
Citation 4

Abstract:

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optimal trade execution, VWAP, HJB equation, gamma bridge