57 citations · 199 across the 16 of their papers we have counts for
21 papers
Concurrent Credit Portfolio Losses
Joachim Sicking, Thomas Guhr, Rudi Schäfer
We consider the problem of concurrent portfolio losses in two non-overlapping credit portfolios. In order to explore the full statistical dependence structure of such portfolio los…
Average cross-responses in correlated financial market
Shanshan Wang, Rudi Schäfer, Thomas Guhr
There are non-vanishing price responses across different stocks in correlated financial markets. We further study this issue by performing different averages, which identify active…
Credit risk: Taking fluctuating asset correlations into account
Thilo A. Schmitt, Rudi Schäfer, Thomas Guhr
In structural credit risk models, default events and the ensuing losses are both derived from the asset values at maturity. Hence it is of utmost importance to choose a distributio…
Price response in correlated financial markets: empirical results
Shanshan Wang, Rudi Schäfer, Thomas Guhr
Previous studies of the stock price response to individual trades focused on single stocks. We empirically investigate the price response of one stock to the trades of other stocks…
Impact of non-stationarity on estimating and modeling empirical copulas of daily stock returns
Marcel Wollschläger, Rudi Schäfer
All too often measuring statistical dependencies between financial time series is reduced to a linear correlation coefficient. However this may not capture all facets of reality. W…
Compounding approach for univariate time series with non-stationary variances
Rudi Schäfer, Sonja Barkhofen, Thomas Guhr +2
A defining feature of non-stationary systems is the time dependence of their statistical parameters. Measured time series may exhibit Gaussian statistics on short time horizons, du…