21 citations · 48 across the 18 of their papers we have counts for
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q-fin.MF2023
Risk measures based on weak optimal transport
Michael Kupper, Max Nendel, Alessandro Sgarabottolo
In this paper, we study convex risk measures with weak optimal transport penalties. In a first step, we show that these risk measures allow for an explicit representation via a non…
q-fin.MF2023
An axiomatic approach to default risk and model uncertainty in rating systems
Max Nendel, Jan Streicher
In this paper, we deal with an axiomatic approach to default risk. We introduce the notion of a default risk measure, which generalizes the classical probability of default (PD), a…
q-fin.MF2022★ 1 cited
Lower semicontinuity of monotone functionals in the mixed topology on
Max Nendel
The main result of this paper characterizes the continuity from below of monotone functionals on the space of bounded continuous functions on an arbitrary Polish space as low…