Výsledky vyhledávání - "LÜTKEBOHMERT, EVA"

Report

Robust Bernoulli mixture models for credit portfolio risk

Autor: Ansari, Jonathan, Lütkebohmert, Eva

This paper presents comparison results and establishes risk bounds for credit portfolios within classes of Bernoulli mixture models, assuming conditionally independent defaults that are stochastically increasing with a common risk factor. We provide

Externí odkaz: http://arxiv.org/abs/2411.11522

Zobrazit plný text záznamu

Report

Measuring Name Concentrations through Deep Learning

Autor: Lütkebohmert, Eva, Sester, Julian

We propose a new deep learning approach for the quantification of name concentration risk in loan portfolios. Our approach is tailored for small portfolios and allows for both an actuarial as well as a mark-to-market definition of loss. The training

Externí odkaz: http://arxiv.org/abs/2403.16525

Zobrazit plný text záznamu

Report

On the Relevance and Appropriateness of Name Concentration Risk Adjustments for Portfolios of Multilateral Development Banks

Autor: Lütkebohmert, Eva, Sester, Julian, Shen, Hongyi

Sovereign loan portfolios of Multilateral Development Banks (MDBs) typically consist of only a small number of borrowers and hence are heavily exposed to single name concentration risk. Based on realistic MDB portfolios constructed from publicly avai

Externí odkaz: http://arxiv.org/abs/2311.13802

Zobrazit plný text záznamu

Report

Improved Robust Price Bounds for Multi-Asset Derivatives under Market-Implied Dependence Information

Autor: Ansari, Jonathan, Lütkebohmert, Eva, Neufeld, Ariel, Sester, Julian

We show how inter-asset dependence information derived from market prices of options can lead to improved model-free price bounds for multi-asset derivatives. Depending on the type of the traded option, we either extract correlation information or we

Externí odkaz: http://arxiv.org/abs/2204.01071

Zobrazit plný text záznamu

Report

Robust deep hedging

Autor: Lütkebohmert, Eva, Schmidt, Thorsten, Sester, Julian

We study pricing and hedging under parameter uncertainty for a class of Markov processes which we call generalized affine processes and which includes the Black-Scholes model as well as the constant elasticity of variance (CEV) model as special cases

Externí odkaz: http://arxiv.org/abs/2106.10024

Zobrazit plný text záznamu

Akademický článek

Exploiting the Gap Between Implied and Realized Volatility.

Autor: Umarov, Javdat¹ javdatumarov@gmail.com, Lütkebohmert, Eva² eva.luetkebohmert@finance.uni-freiburg.de, Halbleib, Roxana³ roxana.halbleib@vwl.uni-freiburg.de

Publikováno v: Journal of Derivatives. Summer2024, Vol. 31 Issue 4, p12-42. 31p.