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

DOWNLOADS
Rank 7,497

SSRN RANKINGS

Top 7,497

in Total Papers Downloads

11,592

SSRN CITATIONS
Rank 45,802

SSRN RANKINGS

Top 45,802

in Total Papers Citations

5

CROSSREF CITATIONS

15

Scholarly Papers (19)

Actions:
Email selected abstracts
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 4,694 (4,062)
Citation 16

Abstract:

Loading...

interest rate swap, cross currency swap, basis spread

2.

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 1,211 (34,171)
Citation 3

Abstract:

Loading...

interest rate options, convexity, quanto adjustment, change

3.

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 1,007 (44,479)
Citation 3

Abstract:

Loading...

Loss given default, Basel accord, economic downturn

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 655 (79,064)
Citation 9

Abstract:

Loading...

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

5.

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 607 (87,121)
Citation 1

Abstract:

Loading...

interest rate options, volatility smile, convexity, option

6.

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 542 (100,408)
Citation 2

Abstract:

Loading...

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

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 522 (105,105)

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 408 (140,702)

Abstract:

Loading...

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

9.

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 334 (175,529)

Abstract:

Loading...

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

10.

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 317 (185,471)

Abstract:

Loading...

Correlation, Fama-French factors, Momentum

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 244 (242,291)
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 217 (271,067)

Abstract:

Loading...

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

13.

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 169 (339,938)

Abstract:

Loading...

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

14.

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 156 (363,742)
Citation 2

Abstract:

Loading...

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 146 (383,951)
Citation 1

Abstract:

Loading...

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

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 139 (399,174)

Abstract:

Loading...

static hedging, Levy processes, additive processes

17.

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 132 (415,676)

Abstract:

Loading...

correlation, volatility, Basel III, GARCH models

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 92 (538,863)

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...