Zobrazeno 1 - 10
of 132
pro vyhledávání: '"Frey, Rüdiger"'
Autor:
Frey, Rüdiger, Traxler, Theresa
We study the impact of regulatory capital constraints on fire sales and financial stability in a large banking system using a mean field game model. In our model banks adjust their holdings of a risky asset via trading strategies with finite trading
Externí odkaz:
http://arxiv.org/abs/2406.17528
We study the problem of a profit maximizing electricity producer who has to pay carbon taxes and who decides on investments into technologies for the abatement of carbon emissions in an environment where carbon tax policy is random and where the inve
Externí odkaz:
http://arxiv.org/abs/2406.01088
In this paper we study parameter estimation via the Expectation Maximization (EM) algorithm for a continuous-time hidden Markov model with diffusion and point process observation. Inference problems of this type arise for instance in credit risk mode
Externí odkaz:
http://epub.wu.ac.at/6952/1/damian%2Deksi%2Dfrey%2Dstatistics%2Dand%2Drisk%2Dmodelling.pdf
Autor:
Frey, Rüdiger, Hledik, Juraj
In this paper, we study the implications of diversification in the asset portfolios of banks for financial stability and systemic risk. Adding to the existing literature, we analyse this issue in a network model of the interbank market. We carry out
Externí odkaz:
http://epub.wu.ac.at/6334/1/risks%2D06%2D00054.pdf
The paper studies structural credit risk models with incomplete information of the asset value. It is shown that the pricing of typical corporate securities such as equity, corporate bonds or CDSs leads to a nonlinear filtering problem. This problem
Autor:
Damian, Camilla, Frey, Rüdiger
In this paper, we focus on the estimation of historical volatility of asset prices from high-frequency data. Stochastic volatility models pose a major statistical challenge: since in reality historical volatility is not observable, its current level
Externí odkaz:
http://arxiv.org/abs/2302.12612
In this paper, we consider a discrete-time stochastic SIR model, where the transmission rate and the true number of infectious individuals are random and unobservable. An advantage of this model is that it permits us to account for random fluctuation
Externí odkaz:
http://arxiv.org/abs/2212.13443
Autor:
Frey, Rüdiger, Rösler, Lars
The paper is concerned with counterparty credit risk management for credit default swaps in the presence of default contagion. In particular, we study the impact of default contagion on credit value adjustments such as the BCCVA (Bilateral Collateral
Externí odkaz:
http://epub.wu.ac.at/3770/1/preprint_freyroesler.pdf
Autor:
Frey, Rüdiger, Köck, Verena
High-dimensional parabolic partial integro-differential equations (PIDEs) appear in many applications in insurance and finance. Existing numerical methods suffer from the curse of dimensionality or provide solutions only for a given space-time point.
Externí odkaz:
http://arxiv.org/abs/2206.01597
This paper investigates optimal portfolio strategies in a market with partial information on the drift. The drift is modelled as a function of a continuous-time Markov chain with finitely many states which is not directly observable. Information on t
Externí odkaz:
http://epub.wu.ac.at/3844/1/Frey.pdf