3 citations · 5 across the 3 of their papers we have counts for
4 papers
Risk Measures in a Regime Switching Model Capturing Stylized Facts
Rainer Haidinger, Richard Warnung
We pick up the regime switching model for asset returns introduced by Rogers and Zhang. The calibration involves various markets including implied volatility in order to gain addit…
Scaling portfolio volatility and calculating risk contributions in the presence of serial cross-correlations
Nikolaus Rab, Richard Warnung
In practice daily volatility of portfolio returns is transformed to longer holding periods by multiplying by the square-root of time which assumes that returns are not serially cor…
Hiding a drift
Miklós Rásonyi, Walter Schachermayer, Richard Warnung
In this article we consider a Brownian motion with drift of the form \[dS_t=μ_t dt+dB_t\qquadfor t\ge0,\] with a specific nontrivial , predictable with respect to $…
Finding Efficient Recursions for Risk Aggregation by Computer Algebra
S. Gerhold, R. Warnung
We derive recursions for the probability distribution of random sums by computer algebra. Unlike the well-known Panjer-type recursions, they are of finite order and thus allow for…