University of Basel
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Operational Risk, Risk Management, Extreme Value Theory, VaR
Operational Risk Management, Stochastic Systems, Diversification, Profitability
quantification of operational risk, functional dependencies, node, stochastic risk factors, analytical methocs, numerical methocs, capital allocation, stability, risk figures, network structured, topological diversification, dynamic diversification
Operational Risk, Risk Management, VaR
Credit Portfolio Risk Management, Contagion, Macroeconomic Deependencies, Microstructural Dependencies, Value-at-Risk, Expected Shortfall
Assets and Liabilities Portfolios, Minimum-Variance Frontiers, Dynamic Programming, Markowitz Model
Profitability, Operational Risk Management, IT-networks, Stochastic Systems
Value-at-Risk, Stochastic Opportunity Set, Regulatory Policy, Dynamic Financial Equilibria, Perturbation Theory
Financial equilibria, knightian uncertainty, model misspecification, robust decision making
G1, G11, G12
Field Experiment, Behavioral Finance, Structured Products, Revealed Preferences, Stated Preferences
Stochastic Volatility, Heston Model, Fourier Theory, Complex Analysis, Pricing Equations, Generalized Functions
Credit risk management, optimal limit policy, partial information, adverse selection
House Price Risk, Mortgage Default Risk, Rent or Buy, Hedonic Index
house price risk, mortgage default risk, rent or buy, hedonic index
Credit Migration Risk, Point-In-Time, Migration Matrix, Regime Shifting Markov Mixture Model, Credit Dreivatives
Asset Pricing, Collateralized Derivatives, Time Value of Money, Basel III, Systemic Risk, FATCA, Dodd-Frank, Innovation, Complete and Incomplete Markets, Uncertainty, Complexity, Technology
IMF lending, sequential moral hazard model
Hamilton-Jacobi Bellman Equations, Model Misspecification, Perturbation Theory, Robust Decision Making
Levy processes, Stochastic Volatility, Fourier Theory, Fast Fourier Analysis, Error Bounds, Time Change, Variance Gamma Model, Option Pricing
Cross-Sectional Risk, Intertemporal Risk-Smoothing, Risk-Sharing, Time Diversification and Incomplete Financial Markets
Assets and Liabilities, Mean-Variance Frontiers, Markowitz Model, Endogenous Liabilities, Grassmann Algebra
Transaction Costs, Portfolio Matching, Portfolio Selection
Financial Equilibria, Knightian Uncertainty, Model Misspecification, Perturbation Theory, Robust Decision Making
Loan Pricing, Stochastic Collateral, Credit Risk, Earnings Management
Implied Volatility, Stochastic Volatility, Local Volatility, Volatility Statics, Mixing Theorem, Asymptotic Expansions, Option Pricing
Ambiguity, Financial Equilibria, Knightian Uncertainty, Model Misspecification, Perturbation Theory, Robust Decision Making
Balance and Off Balance Sheet Analysis, Interest Rate Risk, Dynamic Mean Variance Optimization
Credit risk management, portfolio management, risk measurement, coherence, VaR, expected shortfall, factor model
Dividend Risk, Option Pricing, Forecasting
Property derivatives, Property spread, Arbitrage free price bounds, Market frictions, Halifax House Price Index
Property Derivatives, Property Spread, Arbitrage Free Price Bounds, Market Frictions, Halifax House Price Index
Addictions, Habits, Endogenous Time Preferences
Taxation, Axiomatic Tax Law, Incentive Compatability
Balance and Off Balance Sheet, Analysis, Interest Rate Risk, Dynamic Mean Variance Optimization
Asset pricing, network dependence models, contagion, buyer-supplier networks, credit risk.
Structured Products, Costs, Performance, Investor Behaviour, Event Driven Investments
Financial innovation, longevity risk, population ageing, old-age dependency ratio, growth risk, exponential-utility-based pricing, intergenerational risk-sharing, international risk-sharing
Unemployment, Skill Degradation, Retraining, Unemployment Benefits, Welfare Assistance, Present-Biased Preferences
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: SSRN-id954962.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Unemployment, skill degradation, retraining, unemployment benefits, welfare assistance, present-biased preferences
Real Options, Noise Derivatives, Aircraft, Pricing, Equilibrium Pricing
Multi Asset Classes Derivatives; Wishart Process; Semi Analytical Pricing; Fast Fourier Transform and Laplace Theory Transform, Laplace Theory
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: eufm202.
Digital disruption, financial industry, customer centricity, big data, labour markets
Pension funding gap, Demographic and societal challenges, Valuation of pension liabilities, Economic and regulatory capital models, Role of financial markets
Asset management methods, growth of wealth, portfolio construction, factor investing, asset pricing, FinTech, big data, demographics, pension system
Merton's model, Knightian uncertainty, Model contamination, Model misspecification, Robust decision-making
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