Institut of Mathematics
Giessen, 35394
Germany
University of Giessen
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affine term structure, collateralized debt obligations, loss process, single tranche CDO, term structure of forward spreads
systemic risk measure, aggregation function, locally convex-solid Riesz spaces, decomposition, dual representation, risk attribution
Functional Feynman-Kac Theorem, functional Ito formula, functional jump diffusion, path-dependent coefficients, Credit Value Adjustment, bilateral counterparty risk, path-dependent derivatives, Asian option
Dynamic risk measure, dynamic risk capital allocation, backward stochastic differential equation, gradient allocation, Aumann-Shaley allocation, dynamic entropic risk measure
path-dependent backward stochastic differential equation; jump diffusion; path-dependent PIDE; functional Feynman-Kac theorem; path-differentiability; viscosity solution; functional Itô formula
Stress testing, credit portfolio models
Rough Browian Motion, Regime Switching, Heston Model, Analytic Pricing Formula, Full and Partial Monte-Carlo-Methods
conditional systemic risk measure, aggregation function, conditional dual representation, dynamic systemic risk measure, time-consistency
financial risk management, credit portfolio modelling, stress testing, elliptic distribution, max-domain
Regime Switching, Cox-Ingersoll-Ross, Tree Approximation
Tail-dependency, heterogeneity, t-copula, credit portfolio, capital allocation
Regime Switching, Credit Derivatives Pricing Models, CIR with Jumps
Markov process, copula, Chapman-Kolmogorov equation
CIR-short rate process, Tree Approximations, Convergence
Dynamic risk capital allocation, dynamic risk measure, backward stochastic Volterra integral equation, backward stochastic differential equation, gradient allocation, dynamic entropic risk measure
path-dependent backward stochastic Volterra integral equation; jump diffusion; path-differentiability; duality principle
CDO, multivariate distributions, copula, implied correlations, Value-at- Risk
Archimedean Copula, Heterogeneity, (Tail)-Dependency
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capital allocations, performance measurement
