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Fasen, Vicky’ AUTHOR PAGE
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E-Mail: vicky.fasen@kit.edu
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webpage: http://www.math.kit.edu/stoch/~fasen/en
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Affiliation: Karlsuhe Institute of Technology
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Quantifying Extreme Risks 2013
Fasen, Vicky
Kluppelberg, Claudia
Menzel, Annette
 
This paper presents some of the probabilistic and statistical theory, which was developed to model and quantify extreme events. By the very nature of ...
Time Consistency of Multi-Period Distortion Measures 2011
Fasen, Vicky
Svejda, Adela
 
Dynamic risk measures play an important role for the acceptance or non-acceptance of risks in a bank portfolio. Dynamic consistency and weaker version...
Four Theorems and a Financial Crisis 2012
Embrechts, Paul
Das, Bikramjit
Fasen, Vicky
 
In this paper we give an academic assessment of the ?nancial crisis (crises) from our point of view and discuss where quantitative risk management wen...
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