Ludger Overbeck

University of Giessen

Institut of Mathematics

Giessen, 35394

Germany

SCHOLARLY PAPERS

19

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2,718

SSRN CITATIONS
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Top 37,678

in Total Papers Citations

18

CROSSREF CITATIONS

8

Scholarly Papers (19)

1.

Dynamic CDO Term Structure Modelling

Mathematical Finance, Forthcoming
Number of pages: 21 Posted: 09 Jul 2009
Damir Filipović, Ludger Overbeck and Thorsten Schmidt
École Polytechnique Fédérale de Lausanne, University of Giessen and University of Freiburg
Downloads 357 (157,468)

Abstract:

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affine term structure, collateralized debt obligations, loss process, single tranche CDO, term structure of forward spreads

2.

Feynman Kac for Functional Jump Diffusions with an Application to Credit Value Adjustment

Number of pages: 15 Posted: 26 Sep 2014 Last Revised: 22 Jun 2015
Eduard Kromer, Ludger Overbeck and Jasmin Röder
University of California, Berkeley, University of Giessen and University of Giessen
Downloads 242 (235,317)
Citation 4

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Functional Feynman-Kac Theorem, functional Ito formula, functional jump diffusion, path-dependent coefficients, Credit Value Adjustment, bilateral counterparty risk, path-dependent derivatives, Asian option

3.

Systemic Risk Measures on General Measurable Spaces

Number of pages: 30 Posted: 22 May 2013 Last Revised: 29 May 2016
Eduard Kromer, Ludger Overbeck and Katrin Zilch
University of California, Berkeley, University of Giessen and University of Giessen
Downloads 239 (238,212)
Citation 7

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systemic risk measure, aggregation function, locally convex-solid Riesz spaces, decomposition, dual representation, risk attribution

4.

Representation of BSDE-Based Dynamic Risk Measures and Dynamic Capital Allocations

International Journal of Theoretical and Applied Finance, Vol. 17, No. 5, 2014
Number of pages: 18 Posted: 17 Jan 2014 Last Revised: 27 Jun 2015
Eduard Kromer and Ludger Overbeck
University of California, Berkeley and University of Giessen
Downloads 215 (263,461)
Citation 3

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Dynamic risk measure, dynamic risk capital allocation, backward stochastic differential equation, gradient allocation, Aumann-Shaley allocation, dynamic entropic risk measure

5.

Path-Dependent BSDEs with Jumps and Their Connection to PPIDEs

Number of pages: 35 Posted: 27 May 2015 Last Revised: 09 Sep 2016
Eduard Kromer, Ludger Overbeck and Jasmin Röder
University of California, Berkeley, University of Giessen and University of Giessen
Downloads 199 (282,775)

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path-dependent backward stochastic differential equation; jump diffusion; path-dependent PIDE; functional Feynman-Kac theorem; path-differentiability; viscosity solution; functional Itô formula

6.

Stressed Testing in Credit Portfolio Models

Number of pages: 18 Posted: 25 May 2013
Michael Kalkbrener and Ludger Overbeck
Deutsche Bank AG - Risk Management and University of Giessen
Downloads 188 (297,578)
Citation 1

Abstract:

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Stress testing, credit portfolio models

7.

Regime Switching Rough Heston Model

Number of pages: 29 Posted: 14 Dec 2017 Last Revised: 18 Feb 2018
Mesias Alfeus and Ludger Overbeck
Department of Statistics and Actuarial Science - Stellenbosch University and University of Giessen
Downloads 170 (325,184)
Citation 1

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Rough Browian Motion, Regime Switching, Heston Model, Analytic Pricing Formula, Full and Partial Monte-Carlo-Methods

8.

Dynamic Roughness in the Term Structure of Oil Markets Volatility

Number of pages: 34 Posted: 04 Mar 2023
Department of Statistics and Actuarial Science - Stellenbosch University, University of Technology Sydney - Business School and University of Giessen
Downloads 164 (335,428)

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Fractional Brownian motion, rough volatility, oil volatility, calibrated Hurst parameter, options

9.

Dynamic Systemic Risk Measures for Bounded Discrete-Time Processes

Number of pages: 27 Posted: 23 Jul 2014 Last Revised: 13 May 2015
Eduard Kromer, Ludger Overbeck and Katrin Zilch
University of California, Berkeley, University of Giessen and University of Giessen
Downloads 126 (414,312)

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conditional systemic risk measure, aggregation function, conditional dual representation, dynamic systemic risk measure, time-consistency

10.

An Improved CIR Tree

Number of pages: 18 Posted: 10 Jan 2017
Ludger Overbeck and Johannes Weckend
University of Giessen and Independent
Downloads 110 (458,599)
Citation 1

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CIR-short rate process, Tree Approximations, Convergence

11.

Default Probabilities and Default Correlations Under Stress

Number of pages: 17 Posted: 02 Apr 2014
Natalie Packham, Michael Kalkbrener and Ludger Overbeck
Berlin School of Economics and Law, Deutsche Bank AG - Risk Management and University of Giessen
Downloads 110 (458,599)

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financial risk management, credit portfolio modelling, stress testing, elliptic distribution, max-domain

12.

Regime Switching CIR Tree

Number of pages: 8 Posted: 10 Jan 2017
Ludger Overbeck and Johannes Weckend
University of Giessen and Independent
Downloads 90 (524,960)
Citation 1

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Regime Switching, Cox-Ingersoll-Ross, Tree Approximation

13.

Heterogeneous T-Copula Implementation in a Credit Portfolio Model

Number of pages: 20 Posted: 20 Jan 2017
Carsten Binnenhei and Ludger Overbeck
DGZ-DekaBank and University of Giessen
Downloads 86 (539,922)
Citation 1

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Tail-dependency, heterogeneity, t-copula, credit portfolio, capital allocation

14.

Multivariate Markov Families of Copulas

Number of pages: 19 Posted: 08 Oct 2015
Ludger Overbeck and Wolfgang M. Schmidt
University of Giessen and Frankfurt School of Finance & Management
Downloads 86 (539,922)

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Markov process, copula, Chapman-Kolmogorov equation

15.

Effects of Regime Switching on Pricing Credit Options in a Shifted CIR Model

Number of pages: 11 Posted: 10 Jan 2017
Ludger Overbeck and Johannes Weckend
University of Giessen and Independent
Downloads 85 (543,757)
Citation 1

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Regime Switching, Credit Derivatives Pricing Models, CIR with Jumps

16.

Differentiability of BSVIEs and Dynamic Capital Allocations

Number of pages: 22 Posted: 17 Jan 2014 Last Revised: 03 Jun 2015
Eduard Kromer and Ludger Overbeck
University of California, Berkeley and University of Giessen
Downloads 73 (594,063)
Citation 4

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Dynamic risk capital allocation, dynamic risk measure, backward stochastic Volterra integral equation, backward stochastic differential equation, gradient allocation, dynamic entropic risk measure

17.

Copula Dynamics in CDOs

SFB 649 Discussion Paper 2012-032
Number of pages: 25 Posted: 07 Jan 2017
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin and University of Giessen
Downloads 69 (612,607)

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CDO, multivariate distributions, copula, implied correlations, Value-at- Risk

18.

Path-Dependent Backward Stochastic Volterra Integral Equations with Jumps, Differentiability and Duality Principle

Number of pages: 39 Posted: 12 Sep 2016 Last Revised: 21 Apr 2018
Ludger Overbeck and Jasmin Röder
University of Giessen and University of Giessen
Downloads 63 (642,127)

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path-dependent backward stochastic Volterra integral equation; jump diffusion; path-differentiability; duality principle

19.

Heterogeneous Archimedean Copula

Number of pages: 10 Posted: 07 Dec 2016
Ludger Overbeck
University of Giessen
Downloads 46 (741,201)

Abstract:

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Archimedean Copula, Heterogeneity, (Tail)-Dependency