Sascha Wilkens

Independent

No Address Available

SCHOLARLY PAPERS

13

DOWNLOADS

317

SSRN CITATIONS

2

CROSSREF CITATIONS

6

Scholarly Papers (13)

1.

Mean-Reverting Jump Diffusion Processes: Drift Adjustment to Preserve a Fixed Long-Term Mean

Number of pages: 14 Posted: 10 Sep 2011 Last Revised: 08 Nov 2012
Mirela Predescu and Sascha Wilkens
BNP Paribas, London and Independent
Downloads 293 (105,273)
Citation 1

Abstract:

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mean reversion, jump diffusion, stochastic process, drift, Black-Karasinski

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Risk Measurement, Market Risk, Value-at-Risk, Expected Shortfall, Interpolation, Chebyshev

3.

Default Risk Charge: Modeling Framework for the 'Basel' Risk Measure

Journal of Risk, Vol. 19, No. 4, 2017
Number of pages: 28 Posted: 30 Mar 2017
Sascha Wilkens and Mirela Predescu
Independent and BNP Paribas, London
Downloads 9 (599,285)
Citation 2
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banking regulation, risk modeling, market risk, Fundamental Review of the TradingBook (FRTB), default risk charge (DRC)

4.

IRC and CRM: Modelling Framework for the ‘Basel 2.5’ Risk Measures

European Financial Management, Vol. 19, Issue 4, pp. 801-829, 2013
Number of pages: 29 Posted: 07 Sep 2013
Independent, BNP Paribas, London and BNP Paribas, London
Downloads 5 (625,831)
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incremental risk, IRC, comprehensive risk, CRM, basel 2.5

5.

Machine Learning in Risk Measurement: Gaussian Process Regression for Value-at-Risk and Expected Shortfall

Journal of Risk Management in Financial Institutions, Vol. 12, 2019, pp. 374-383
Posted: 03 Oct 2018 Last Revised: 25 Oct 2019
Sascha Wilkens
Independent

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Risk Measurement, Market Risk, Value-at-Risk, Expected Shortfall, Machine Learning, Gaussian Process Regression

6.

Model Risk in the Fundamental Review of the Trading Book: The Case of the Default Risk Charge

Journal of Risk Model Validation, Vol. 12, No. 4, 2018, pp. 1-26
Posted: 16 Oct 2017 Last Revised: 28 Mar 2018
Sascha Wilkens and Mirela Predescu
Independent and BNP Paribas, London

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Banking Regulation, Market Risk, Model Risk, Fundamental Review of the Trading Book, Default Risk Charge

7.

Capturing Initial Margin in Counterparty Risk Calculations

Journal of Risk Management in Financial Institutions, Vol. 10, 2017, pp. 118-129
Posted: 06 Jul 2016 Last Revised: 31 Mar 2017
Lee Moran and Sascha Wilkens
BNP Paribas, London and Independent

Abstract:

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Initial Margin, Clearing, Bilateral Margining, Counterparty Risk, IMM

8.

Default Risk Charge: Modeling Framework for the 'Basel' Risk Measure

Journal of Risk, Vol. 19, No. 4, 2017, pp. 23-50.
Posted: 02 Aug 2015 Last Revised: 31 Mar 2017
Sascha Wilkens and Mirela Predescu
Independent and BNP Paribas, London

Abstract:

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Banking Regulation; Risk Modeling; Market Risk; Fundamental Review of the Trading Book; Default Risk Charge

9.

Contingent Convertible ('CoCo') Bonds: A First Empirical Assessment of Selected Pricing Models

Financial Analysts Journal, Vol. 70, No. 2, 2014
Posted: 09 Aug 2012 Last Revised: 29 Mar 2014
Sascha Wilkens and Nastja Bethke
Independent and BNP Paribas, London

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Contingent Capital, Convertible Bonds, Pricing, Solvency, Banking Regulation

10.

Capturing Credit Correlation Between Counterparty and Underlying

Risk, Vol. 24, pp. 70-74, 2011
Posted: 16 Apr 2010 Last Revised: 27 Mar 2011
Kirk B. Buckley, Sascha Wilkens and Vladimir Chorniy
affiliation not provided to SSRN, Independent and BNP Paribas, London

Abstract:

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derivatives, credit, correlation, counterparty risk

11.

The Pricing of Dividend Futures in the European Market: A First Empirical Analysis

Journal of Derivatives & Hedge Funds, Vol. 16, pp. 136-143, 2010
Posted: 19 Mar 2009 Last Revised: 22 Jan 2011
Sascha Wilkens and Jens Wimschulte
Independent and Independent

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Dividends, derivatives, futures, swaps, European market

12.

The Pricing of Structured Products in Germany

The Journal of Derivatives, Vol. 11, pp. 55-69, Fall 2003
Posted: 18 Aug 2008 Last Revised: 25 Aug 2008
Sascha Wilkens, Carsten Erner and Klaus Röder
Independent, affiliation not provided to SSRN and University of Regensburg - Faculty of Business, Economics & Information Systems

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Reverse Convertible, Discount Certificate, Implied Volatility, Market Microstructure

13.

The Valuation of Multivariate Equity Options by Means of Copulas: Theory and Application to the European Derivatives Market

Journal of Derivatives & Hedge Funds, Vol. 16, pp. 303-318, 2011
Posted: 20 Mar 2008 Last Revised: 22 Jan 2011
Ivan Slavchev and Sascha Wilkens
University of Technology Dortmund and Independent

Abstract:

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Options, Copulas, Derivatives, Implied volatility, European market