Christoph Frei

University of Alberta - Department of Mathematical and Statistical Sciences

Associate Profesor

Edmonton, Alberta T6G 2G1

Canada

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

SCHOLARLY PAPERS

9

DOWNLOADS

751

SSRN CITATIONS
Rank 24,237

SSRN RANKINGS

Top 24,237

in Total Papers Citations

10

CROSSREF CITATIONS

19

Scholarly Papers (9)

1.

Contracting for Financial Execution

Number of pages: 68 Posted: 24 May 2018 Last Revised: 25 Jul 2019
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 183 (165,963)
Citation 3

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Agency Conflict, Benchmark Manipulation, Broker-Client Relationship, Foreign Exchange Fix, Front-Running, Pre-Trade Hedging, Volume-Weighted Average Price, VWAP

2.

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 151 (195,879)
Citation 2

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

3.

Managing Counterparty Risk in OTC Markets

FEDS Working Paper No. 2017-083
Number of pages: 42 Posted: 07 Sep 2017 Last Revised: 21 Feb 2019
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 124 (229,172)

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

4.

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 Imperial College London
Downloads 114 (243,807)

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

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 UBS AG
Downloads 101 (267,019)

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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 UBS AG
Downloads 1 (689,218)
Citation 2
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autocorrelation, credit risk, latent asset return correlation, method of moments (MoM), bias correction.

6.

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 39 (431,703)
Citation 2

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

7.

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 35 (448,270)

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

8.

Optimal Closing Benchmarks

Number of pages: 12 Posted: 09 Oct 2019
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 3 (634,809)

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

9.

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 0 (674,029)
Citation 1
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optimal trade execution, VWAP, HJB equation, gamma bridge