71 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- Ludwig-Maximilians-Universität MünchenDE2 papers
- Aalto UniversityFI1 paper
- Australian National UniversityAU1 paper
- Carnegie Institution for ScienceUS1 paper
- Centre for Theoretical Physics and AstrophysicsUZ1 paper
- Christian-Albrechts-Universität zu KielDE1 paper
- Consejo Nacional de Investigaciones Científicas y TécnicasAR1 paper
- Deutsches Zentrum für Luft- und Raumfahrt e. V. (DLR)DE1 paper
- ETH ZurichCH1 paper
- Fraunhofer Institute for Industrial EngineeringDE1 paper
- Fraunhofer Institute for Transportation and Infrastructure SystemsDE1 paper
- Freie Universität BerlinDE1 paper
Showing 2018Show all
2 papers · 1 filter
q-fin.RM2018★ 13 cited
A factor-model approach for correlation scenarios and correlation stress-testing
Natalie Packham, Fabian Woebbeking
In 2012, JPMorgan accumulated a USD~6.2 billion loss on a credit derivatives portfolio, the so-called `London Whale', partly as a consequence of de-correlations of non-perfectly co…
q-fin.PM2018★ 2 cited
Optimal contracts under competition when uncertainty from adverse selection and moral hazard are present
N. Packham
In a continuous-time setting where a risk-averse agent controls the drift of an output process driven by a Brownian motion, optimal contracts are linear in the terminal output; thi…