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Scherer, Matthias’ AUTHOR PAGE
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E-Mail: matthias.scherer@alumni.uni-karlsruhe.de
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Affiliation: University of Karlsruhe
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Innovations in Quantitative Risk Management 2015
Scherer, Matthias
Zagst, Rudi
 
Discussed ?elds of application range from asset management, credit risk, and energy to risk management issues in insurance. Methodologically, dependen...
What Makes Dependence Modeling Challenging? Pitfalls and How to Circumvent Them 2013
Mai, Jan-Frederik
Scherer, Matthias
 
We present a list of challenges one faces when given the task of modeling dependence between stochastic objects, with a special focus on financial app...
Capturing Parameter Risk with Convex Risk Measures 2013
Scherer, Matthias
Bannor, Karl F.
 
This paper provides a new method based on convex risk measures to quantify parameter risk and to translate it into prices. We introduce the notion of...
Simulating Copulas 2012
Scherer, Matthias
Mai, Jan-Frederik
 
This book provides the reader with a background on simulating copulas and multivariate distributions in general. It unifies the scattered literature o...
Approximation of Skewed and Leptokurtic Return Distributions 2012
Scherer, Matthias
Rachev, Svetlozar
Kim, Young Shin
Fabozzi, Frank J.
 
The preprint of this document can be accessed here: http://www.gloriamundi.org/Library_Journal_View.asp?Journal_id=10267 There is considerable empiri...
A FFT-Based Approximation of Tempered Stable and Tempered Infinitely Divisible Distributions 2009
Rachev, Svetlozar
Kim, Young Shin
Fabozzi, Frank J.
Scherer, Matthias
 
There is considerable empirical evidence that financial returns exhibit leptokurtosis and non-zero skewness. As a result, alternative distributions fo...
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