57 citations · 110 across the 7 of their papers we have counts for
3 papers · 1 filter
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…