293 citations · 487 across the 20 of their papers we have counts for
3 papers · 1 filter
Systemic Greeks: Measuring risk in financial networks
Nils Bertschinger, Julian Stobbe
Since the latest financial crisis, the idea of systemic risk has received considerable interest. In particular, contagion effects arising from cross-holdings between interconnected…
Applications of Gaussian Process Latent Variable Models in Finance
Rajbir-Singh Nirwan, Nils Bertschinger
Estimating covariances between financial assets plays an important role in risk management. In practice, when the sample size is small compared to the number of variables, the empi…
Reality-check for Econophysics: Likelihood-based fitting of physics-inspired market models to empirical data
Nils Bertschinger, Iurii Mozzhorin, Sitabhra Sinha
The statistical description and modeling of volatility plays a prominent role in econometrics, risk management and finance. GARCH and stochastic volatility models have been extensi…