Wolfgang M. Schmidt

Frankfurt School of Finance & Management

Prof.

Adickesallee 32-34

Frankfurt am Main, 60322

Germany

SCHOLARLY PAPERS

19

DOWNLOADS
Rank 6,376

SSRN RANKINGS

Top 6,376

in Total Papers Downloads

9,620

SSRN CITATIONS
Rank 40,517

SSRN RANKINGS

Top 40,517

in Total Papers Citations

3

CROSSREF CITATIONS

15

Scholarly Papers (19)

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 4,012 (3,553)
Citation 16

Abstract:

Loading...

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 904 (36,671)
Citation 3

Abstract:

Loading...

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 790 (44,282)
Citation 3

Abstract:

Loading...

interest rate options, convexity, quanto adjustment, change

4.

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 525 (74,750)
Citation 4

Abstract:

Loading...

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

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 521 (75,444)
Citation 2

Abstract:

Loading...

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 511 (77,259)
Citation 1

Abstract:

Loading...

interest rate options, volatility smile, convexity, option

7.

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 484 (82,505)

Abstract:

Loading...

Correlation, Volatility, Basel III, GARCH Models

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 333 (126,570)

Abstract:

Loading...

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 281 (151,101)

Abstract:

Loading...

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 263 (161,556)

Abstract:

Loading...

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 190 (219,321)
Citation 1

Abstract:

Loading...

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, Frankfurt School of Finance & Management and Frankfurt School of Finance & Management
Downloads 174 (236,615)

Abstract:

Loading...

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 128 (302,672)
Citation 2

Abstract:

Loading...

14.

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 119 (319,174)

Abstract:

Loading...

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

15.

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 118 (321,033)
Citation 1

Abstract:

Loading...

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

16.

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 110 (337,116)

Abstract:

Loading...

correlation, volatility, Basel III, GARCH models

17.

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 100 (359,264)

Abstract:

Loading...

static hedging, Levy processes, additive processes

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 57 (490,725)

Abstract:

Loading...

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

Abstract:

Loading...