Klaas Schulze

Deutsche Bundesbank

Wilhelm-Epstein-Str. 14

Frankfurt/Main, 60431

Germany

SCHOLARLY PAPERS

4

DOWNLOADS

552

SSRN CITATIONS

2

CROSSREF CITATIONS

8

Scholarly Papers (4)

1.

Existence and Computation of the Aumann-Serrano Index of Riskiness and Its Extension

Journal of Mathematical Economics, Vol. 50, No. 1, 2014
Number of pages: 12 Posted: 14 Jul 2008 Last Revised: 22 Jun 2016
Klaas Schulze
Deutsche Bundesbank
Downloads 249 (175,100)
Citation 8

Abstract:

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riskiness, risk aversion, expected utility, laplace transform, duality

2.

Asymptotic Maturity Behavior of the Term Structure

Number of pages: 15 Posted: 06 Mar 2008 Last Revised: 06 Oct 2010
Klaas Schulze
Deutsche Bundesbank
Downloads 116 (333,615)
Citation 8

Abstract:

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bond markets, yield curve, long forward rates, no arbitrage, asymptotic maturity

3.

General Dual Measures of Riskiness

Theory and Decision, Forthcoming
Number of pages: 15 Posted: 22 Jun 2008 Last Revised: 22 Jun 2016
Klaas Schulze
Deutsche Bundesbank
Downloads 106 (355,032)
Citation 2

Abstract:

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risk measures, duality, risk aversion, expected utility, decision-making under risk

4.

Advances in Multivariate Back-testing for Credit Risk Underestimation

ECB Working Paper No. 1885
Number of pages: 35 Posted: 05 Jul 2016
National Bank of Belgium, Oesterreichische Nationalbank (OeNB), European Central Bank (ECB), Oesterreichische Nationalbank (OeNB), European Central Bank (ECB) and Deutsche Bundesbank
Downloads 81 (419,818)

Abstract:

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credit ratings, probability of default, back-testing, one-sided