Wolfgang M. Schmidt

Frankfurt School of Finance & Management

Prof.

Adickesallee 32-34

Frankfurt am Main, 60322

Germany

  • Frankfurt School of Finance & Management

SCHOLARLY PAPERS

19

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1

CROSSREF CITATIONS

15

Scholarly Papers (19)

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1.

Cross Currency Swap Valuation

Number of pages: 15 Posted: 09 Apr 2009
Wolfram Boenkost and Wolfgang M. Schmidt
Lucht Probst Associates GmbH and Frankfurt School of Finance & Management
Downloads 3,550 (2,921)
Citation 16

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interest rate swap, cross currency swap, basis spread

2.

Modeling Downturn LGD in a Basel Framework

Number of pages: 32 Posted: 11 Feb 2014
Nina Brumma, Konrad Urlichs and Wolfgang M. Schmidt
Global Credit Data, d-fine GmbH and Frankfurt School of Finance & Management
Downloads 818 (30,552)
Citation 2

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Loss given default, Basel accord, economic downturn

3.

Notes on Convexity and Quanto Adjustments for Interest Rates and Related Options

Number of pages: 36 Posted: 10 Apr 2009 Last Revised: 25 Feb 2017
Wolfram Boenkost and Wolfgang M. Schmidt
Lucht Probst Associates GmbH and Frankfurt School of Finance & Management
Downloads 601 (46,422)
Citation 3

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interest rate options, convexity, quanto adjustment, change

4.

Stressing Correlations and Volatilities – A Consistent Modeling Approach

Number of pages: 29 Posted: 18 Sep 2011
Christoph Becker and Wolfgang M. Schmidt
University of Applied Sciences Darmstadt and Frankfurt School of Finance & Management
Downloads 477 (62,092)

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Correlation, Volatility, Basel III, GARCH Models

5.

Measuring Model Risk in Financial Risk Management and Pricing

Number of pages: 26 Posted: 07 Feb 2018 Last Revised: 01 Jul 2019
Valeriane Jokhadze and Wolfgang M. Schmidt
Frankfurt School of Finance & Management and Frankfurt School of Finance & Management
Downloads 473 (62,755)

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Market risk measurement; Model risk measurement; Contingent claim pricing; Robust representation; Bayesian analysis; DCC-GARCH

6.

Interest Rate Convexity and the Volatility Smile

Number of pages: 28 Posted: 10 Apr 2009
Wolfram Boenkost and Wolfgang M. Schmidt
Lucht Probst Associates GmbH and Frankfurt School of Finance & Management
Downloads 450 (66,652)
Citation 1

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interest rate options, volatility smile, convexity, option

7.

Latin Hypercube Sampling with Dependence and Applications in Finance

Number of pages: 28 Posted: 18 Sep 2008 Last Revised: 02 Apr 2009
Natalie Packham and Wolfgang M. Schmidt
Berlin School of Economics and Law and Frankfurt School of Finance & Management
Downloads 434 (69,659)
Citation 1

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Monte Carlo simulation, variance reduction, Latin hypercube sampling, stratified sampling

8.

Volatility, Correlation, and the Market Trend

Number of pages: 37 Posted: 05 Sep 2012 Last Revised: 10 Oct 2012
Christoph Becker and Wolfgang M. Schmidt
University of Applied Sciences Darmstadt and Frankfurt School of Finance & Management
Downloads 318 (99,694)

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correlation, contagion, diversification, exceedance correlation, GARCH models, stochastic delay equations

9.

Value, Size, Momentum and the Average Correlation of Stock Returns

Number of pages: 46 Posted: 24 Nov 2015
Christoph Becker and Wolfgang M. Schmidt
University of Applied Sciences Darmstadt and Frankfurt School of Finance & Management
Downloads 251 (128,252)

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Correlation, Fama-French factors, Momentum

10.

CVA/DVA Wrong Way Risk Put into Practice

Number of pages: 20 Posted: 01 May 2014 Last Revised: 17 Feb 2015
Wolfram Boenkost and Wolfgang M. Schmidt
Lucht Probst Associates GmbH and Frankfurt School of Finance & Management
Downloads 250 (128,793)

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counterparty default, credit valuation adjustment (CVA), debt valuation adjustment (DVA), wrong way risk, correlation

11.

Credit Gap Risk in a First Passage Time Model with Jumps

Centre for Practical Quantitative Finance Working Paper No. 22
Number of pages: 39 Posted: 19 Nov 2009
Natalie Packham, Lutz Schloegl and Wolfgang M. Schmidt
Berlin School of Economics and Law, affiliation not provided to SSRN and Frankfurt School of Finance & Management
Downloads 170 (184,755)
Citation 1

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gap risk, credit spreads, credit dynamics, first passage time models, stochastic volatility, general Ornstein-Uhlenbeck processes

12.

Credit Modelling Under Jump Diffusions with Exponentially Distributed Jumps - Stable Calibration, Dynamics and Gap Risk

Number of pages: 22 Posted: 15 Sep 2010 Last Revised: 08 Oct 2015
Stefan Kassberger, Martin Hellmich and Wolfgang M. Schmidt
Frankfurt School of Finance & Management gemeinnützige GmbH, Frankfurt School of Finance & Management gemeinnützige GmbH and Frankfurt School of Finance & Management
Downloads 157 (197,756)

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credit default, structural model, credit default swap, hyper-exponential jump diffusion, spectrally negative Kou process, entropy-based calibration

13.

State-Dependent Dependencies: A Continuous-Time Dynamics for Correlations

Number of pages: 43 Posted: 01 Apr 2010 Last Revised: 08 Oct 2015
Christoph Becker and Wolfgang M. Schmidt
University of Applied Sciences Darmstadt and Frankfurt School of Finance & Management
Downloads 119 (246,257)
Citation 2

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14.

Credit Dynamics in a First Passage Time Model with Jumps

CPQF Working Paper Series No. 21
Number of pages: 21 Posted: 23 Sep 2009 Last Revised: 13 Aug 2010
Natalie Packham, Lutz Schloegl and Wolfgang M. Schmidt
Berlin School of Economics and Law, affiliation not provided to SSRN and Frankfurt School of Finance & Management
Downloads 113 (255,589)
Citation 1

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gap risk, credit spreads, credit dynamics, first passage time models, Levy processes, general Ornstein-Uhlenbeck process

15.

Stressing Correlations and Volatilities - A Consistent Modeling Approach

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 28 Posted: 14 Oct 2011
Christoph Becker and Wolfgang M. Schmidt
University of Applied Sciences Darmstadt and Frankfurt School of Finance & Management
Downloads 107 (265,547)

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correlation, volatility, Basel III, GARCH models

16.

Static Hedging Under Maturity Mismatch

Number of pages: 28 Posted: 14 Dec 2011 Last Revised: 04 Nov 2013
Philipp A. Mayer, Natalie Packham and Wolfgang M. Schmidt
Graz University of Technology, Berlin School of Economics and Law and Frankfurt School of Finance & Management
Downloads 90 (297,735)

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static hedging, Levy processes, additive processes

17.

A Functional Libor Market Model: Implementation and Application to Exposure Measurement

Number of pages: 18 Posted: 08 Oct 2015
Wolfram Boenkost and Wolfgang M. Schmidt
Lucht Probst Associates GmbH and Frankfurt School of Finance & Management
Downloads 88 (302,024)

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interest rate modelling, volatility smile/skew, Libor market model, Markov functional model, potential future exposure, counterparty default

18.

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 46 (421,512)

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Markov process, copula, Chapman-Kolmogorov equation

19.

On a General Class of One-Factor Models for the Term Structure of Interest Rates

FINANCE AND STOCHASTICS, Vol. I, No. 1, 1997
Posted: 02 Apr 1997
Wolfgang M. Schmidt
Frankfurt School of Finance & Management

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