Stefan Weber

ORIE, Cornell University

Assistant Professor

Ithaca, NY

United States

SCHOLARLY PAPERS

5

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1,086

SSRN CITATIONS
Rank 15,245

SSRN RANKINGS

Top 15,245

in Total Papers Citations

18

CROSSREF CITATIONS

48

Scholarly Papers (5)

1.

Measuring the Risk of Large Losses

Journal of Investment Management (JOIM), Fourth Quarter 2008
Number of pages: 19 Posted: 01 Oct 2005 Last Revised: 10 Jan 2012
Kay Giesecke, Thorsten Schmidt and Stefan Weber
Stanford University - Management Science & Engineering, University of Freiburg and ORIE, Cornell University
Downloads 397 (80,700)

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Distribution-invariant risk measures, utility-based shortfall risk, average value at risk, value at risk, event risk, extreme events

Cyclical Correlations, Credit Contagion, and Portfolio Losses

Number of pages: 34 Posted: 26 Mar 2003
Stefan Weber and Kay Giesecke
ORIE, Cornell University and Stanford University - Management Science & Engineering
Downloads 307 (107,311)
Citation 8

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cyclical correlation, credit contagion, portfolio losses, voter model, Bernoulli mixture model

Cyclical Correlations, Credit Contagion, and Portfolio Losses

Posted: 14 Dec 2003
Stefan Weber and Kay Giesecke
ORIE, Cornell University and Stanford University - Management Science & Engineering

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cyclical correlation, credit contagion, portfolio losses, voter model, Bernoulli mixture model

3.

Credit Contagion and Aggregate Losses

Number of pages: 38 Posted: 15 Nov 2002
Stefan Weber and Kay Giesecke
ORIE, Cornell University and Stanford University - Management Science & Engineering
Downloads 206 (161,356)
Citation 23

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credit contagion, business partner network, credit portfolio loss distribution, portfolio loss volatility, voter model

4.

A Continuous Time Approximation of an Evolutionary Stock Market Model

Number of pages: 38 Posted: 19 Feb 2004
Stefan Weber and Boris Buchmann
ORIE, Cornell University and Munich University of Technology
Downloads 149 (214,386)
Citation 1

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Portfolio theory, evolutionary finance, incomplete markets, continuous time Euler approximation, stochastic processes in random environments, integral equation, ordinary differential equation, Lyapunov function

5.

Distribution-Invariant Risk Measures, Information, and Dynamic Consistency

Mathematical Finance, Vol. 16, No. 2, pp. 419-441, April 2006
Number of pages: 23 Posted: 08 May 2006
Stefan Weber
ORIE, Cornell University
Downloads 27 (523,522)
Citation 4
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