Rempartstr. 16
Freiburg, D-79098
Germany
University of Freiburg, Institute for Economic Research
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Statistical Arbitrage, Robust Valuation, Trading Strategies, Super-Replication Duality
Basel II, granularity adjustment, value-at-risk, idiosyncratic risk
Business Cycles, Hierarchical Dynamic Factor Model, Stock Market Sentiment.
affine processes, Knightian uncertainty, Kolmogorov equation, deep learning, robust hedging
banking competition, bank runs, financial stability, shadow funding, wealth management products
wealth management products, shadow funding, banking competition, bank runs, financial stability
robust price bounds, model-independent valuation, optimal martingale transport, additional market information
affine processes, dynamic factor model, multiple term structures, Nelson-Siegel curve
structural credit risk model, bank run, rollover risk, first passage time, optimal stopping time
Sequential Monte Carlo, Quasi-Bayesian Estimation, Risk-Neutral Cumulants, Multifactor Affine Models
capital adequacy, loan portfolios, name concentration risk, multilateral development banks
Bayesian DCC M-GARCH model, interest rate risk, maturity transformation, swings in the yield curve
risk management, machine learning, granularity adjustment, name concentration risk, multilateral development banks
multiple term structures, principal component analysis, dynamic factor model, Nelson-Siegel curve, forecasting of yield curves
