2 citations · 2 across the 2 of their papers we have counts for
3 papers
q-fin.RM2019★ 2 cited
Multivariate risk measures in the non-convex setting
Andreas Haier, Ilya Molchanov
The family of admissible positions in a transaction costs model is a random closed set, which is convex in case of proportional transaction costs. However, the convexity fails, e.g…
q-fin.RM2015
Intragroup transfers, intragroup diversification and their risk assessment
Andreas Haier, Ilya Molchanov, Michael Schmutz
When assessing group solvency, an important question is to what extent intragroup transfers may be considered, as this determines to which extent diversification can be achieved. W…
q-fin.RM2012
Scenarios and their Aggregation in the Regulatory Risk Measurement Environment
Andreas Haier, Thorsten Pfeiffer
We define scenarios, propose different methods of aggregating them, discuss their properties and benchmark them against quadrant requirements.