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…
math.AP2023
Convergence of infinitesimal generators and stability of convex monotone semigroups
Jonas Blessing, Michael Kupper, Max Nendel
Based on the convergence of their infinitesimal generators in the mixed topology, we provide a stability result for strongly continuous convex monotone semigroups on spaces of cont…
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…