Thomas Breuer

University of Applied Sciences Vorarlberg

Hochschulstr. 1

Dornbirn, A-6850

Austria

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Scholarly Papers (7)

1.

Stress Tests: From Arts to Science

Number of pages: 29 Posted: 10 Jan 2010 Last Revised: 28 Sep 2010
Thomas Breuer and Imre Csiszar
University of Applied Sciences Vorarlberg and Hungarian Academy of Sciences (HAS) - Alfréd Rényi Institute of Mathematics
Downloads 658 (38,796)
Citation 2

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scenario analysis, worst case, risk measures, multiple priors, model risk, ambiguity aversion, relative entropy, maximum entropy principle, Levenberg-Marquardt algorithm

2.

Macroeconomic Stress and Worst Case Analysis of Loan Portfolios

Number of pages: 31 Posted: 23 Jun 2008
University of Applied Sciences Vorarlberg, University of Applied Sciences Vorarlberg, University of Applied Sciences Vorarlberg and Oesterreichische Nationalbank (OeNB)
Downloads 325 (92,356)
Citation 2

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macro stress test, worst case, Maximum Loss, risk integration, scenario analysis, foreign currency loans

3.

A Systematic Approach to Multi-Period Stress Testing of Portfolio Credit Risk

Banco de Espana Working Paper No. 1018
Number of pages: 26 Posted: 18 Jun 2010
University of Applied Sciences Vorarlberg, University of Applied Sciences Vorarlberg, Banco de España and Oesterreichische Nationalbank (OeNB)
Downloads 261 (116,978)
Citation 48

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Stress Testing, Credit Risk, Worst Case Search, Maximum Loss

4.

Temporal Aggregation of GARCH Models: Conditional Kurtosis and Optimal Frequency

Number of pages: 30 Posted: 07 Mar 2007 Last Revised: 28 Sep 2010
Thomas Breuer and Martin Jandacka
University of Applied Sciences Vorarlberg and University of Applied Sciences Vorarlberg
Downloads 231 (132,424)
Citation 2

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GARCH, temporal aggregation, high frequency data, density forecasts, conditional kurtosis

5.

Overcoming Dimensional Dependence of Worst Case Scenarios and Maximum Loss

Number of pages: 16 Posted: 06 Mar 2007
Thomas Breuer
University of Applied Sciences Vorarlberg
Downloads 144 (202,223)
Citation 3

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risk measures, maximum loss, worst case scenarios, multivariate confidence intervals

6.

Regulatory Capital for Market and Credit Risk Interaction: Is Current Regulation Always Conservative?

Bundesbank Series 2 Discussion Paper No. 2008,14
Number of pages: 44 Posted: 08 Jun 2016
University of Applied Sciences Vorarlberg, University of Applied Sciences Vorarlberg, University of Applied Sciences Vorarlberg and Oesterreichische Nationalbank (OeNB)
Downloads 29 (472,786)

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integrated analysis of market and credit risk, risk management, foreign currency loans, banking regulation

7.

Measuring Distribution Model Risk

Mathematical Finance, Vol. 26, Issue 2, pp. 395-411, 2016
Number of pages: 17 Posted: 10 Mar 2016
Thomas Breuer and Imre Csiszar
University of Applied Sciences Vorarlberg and Hungarian Academy of Sciences (HAS) - Alfréd Rényi Institute of Mathematics
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multiple priors, divergence preferences, relative entropy, f‐divergence, Bregman distance, maximum entropy principle, convex integral functional, generalized exponential family