78 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- Bank of JapanJP1 paper
- Federal Department of FinanceCH1 paper
- King's College LondonGB1 paper
- Kyoto UniversityJP1 paper
- Osnabrück UniversityDE1 paper
- University of Applied Sciences St. GallenCH1 paper
- University of Cape TownZA1 paper
- University of OxfordGB1 paper
- University of St.GallenCH1 paper
- University of TurinIT1 paper
13 papers
Diffusion-Scheduled Denoising Autoencoders for Anomaly Detection in Tabular Data
Timur Sattarov, Marco Schreyer, Damian Borth
Anomaly detection in tabular data remains challenging due to complex feature interactions and the scarcity of anomalous examples. Denoising autoencoders rely on fixed-magnitude noi…
A Structural Model for Fluctuations in Financial Markets
Kartik Anand, Jonathan Khedair, Reimer Kuehn
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form…
Unimodular triangulations of simplicial cones by short vectors
Michael von Thaden, Winfried Bruns
We establish a bound for the length of vectors involved in a unimodular triangulation of simplicial cones. The bound is exponential in the square of the logarithm of the multiplici…
Dynamic Interaction Between Asset Prices and Bank Behavior: A Systemic Risk Perspective
Aki-Hiro Sato, Paolo Tasca, Takashi Isogai
Systemic risk in banking systems remains a crucial issue that it has not been completely understood. In our toy model, banks are exposed to two sources of risks, namely, market ris…
Contagious Synchronization and Endogenous Network Formation in Financial Networks
Christoph Aymanns, Co-Pierre Georg
When banks choose similar investment strategies the financial system becomes vulnerable to common shocks. We model a simple financial system in which banks decide about their inves…
Affine processes on positive semidefinite d x d matrices have jumps of finite variation in dimension d > 1
Eberhard Mayerhofer
The theory of affine processes on the space of positive semidefinite d x d matrices has been established in a joint work with Cuchiero, Filipović and Teichmann (2011). We confirm t…
On the existence of non-central Wishart distributions
Eberhard Mayerhofer
This paper deals with the existence issue of non-central Wishart distributions which is a research topic initiated by Wishart (1928), and with important contributions by e.g., Lévy…
Calculating credit risk capital charges with the one-factor model
Susanne Emmer, Dirk Tasche
Even in the simple one-factor credit portfolio model that underlies the Basel II regulatory capital rules coming into force in 2007, the exact contributions to credit value-at-risk…
Remarks on the monotonicity of default probabilities
Dirk Tasche
The consultative papers for the Basel II Accord require rating systems to provide a ranking of obligors in the sense that the rating categories indicate the creditworthiness in ter…
Credit Risk Contributions to Value-at-Risk and Expected Shortfall
Alexandre Kurth, Dirk Tasche
This paper presents analytical solutions to the problem of how to calculate sensible VaR (Value-at-Risk) and ES (Expected Shortfall) contributions in the CreditRisk+ methodology. V…
A shortcut to sign Incremental Value-at-Risk for risk allocation
Dirk Tasche, Luisa Tibiletti
Approximate Incremental Value-at-Risk formulae provide an easy-to-use preliminary guideline for risk allocation. Both the cases of risk adding and risk pooling are examined and bet…
Expected Shortfall and Beyond
Dirk Tasche
Financial institutions have to allocate so-called "economic capital" in order to guarantee solvency to their clients and counter parties. Mathematically speaking, any methodology o…
On the coherence of Expected Shortfall
Carlo Acerbi, Dirk Tasche
Expected Shortfall (ES) in several variants has been proposed as remedy for the defi-ciencies of Value-at-Risk (VaR) which in general is not a coherent risk measure. In fact, most…