57 citations · 110 across the 7 of their papers we have counts for
8 papers
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…
Quantile Correlations: Uncovering temporal dependencies in financial time series
Thilo A. Schmitt, Rudi Schäfer, Holger Dette +1
We conduct an empirical study using the quantile-based correlation function to uncover the temporal dependencies in financial time series. The study uses intraday data for the S\&P…
Equilibrium Pricing in an Order Book Environment: Case Study for a Spin Model
Frederik Meudt, Thilo A. Schmitt, Rudi Schäfer +1
When modelling stock market dynamics, the price formation is often based on an equilbrium mechanism. In real stock exchanges, however, the price formation is goverend by the order…
Analysis of a decision model in the context of equilibrium pricing and order book pricing
Daniel C. Wagner, Thilo A. Schmitt, Rudi Schäfer +2
An agent-based model for financial markets has to incorporate two aspects: decision making and price formation. We introduce a simple decision model and consider its implications i…
Credit Risk and the Instability of the Financial System: an Ensemble Approach
Thilo A. Schmitt, Desislava Chetalova, Rudi Schäfer +1
The instability of the financial system as experienced in recent years and in previous periods is often linked to credit defaults, i.e., to the failure of obligors to make promised…
Portfolio return distributions: Sample statistics with non-stationary correlations
Desislava Chetalova, Thilo A. Schmitt, Rudi Schäfer +1
We consider random vectors drawn from a multivariate normal distribution and compute the sample statistics in the presence of non-stationary correlations. For this purpose, we cons…
Non-Stationarity in Financial Time Series and Generic Features
Thilo A. Schmitt, Desislava Chetalova, Rudi Schäfer +1
Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time w…
Microscopic understanding of heavy-tailed return distributions in an agent-based model
Thilo A. Schmitt, Rudi Schäfer, Michael C. Münnix +1
The distribution of returns in financial time series exhibits heavy tails. In empirical studies, it has been found that gaps between the orders in the order book lead to large pric…