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Jaschke, Stefan R.’ AUTHOR PAGE
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E-Mail: stefan.jaeschke@rwe.com
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webpage: http://www.jaschke-net.de/
Employer: Fakultät für Statistik
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Affiliation: Technische Universität Dortmund
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Nonparametric Tests for Constant Tail Dependence with an Application to Energy and Finance 2014
Bucher, Axel
Jaschke, Stefan R.
Wied, Dominik
 
The present paper proposes new tests for detecting structural breaks in the tail dependence of multivariate time series using the concept of tail copu...
Estimation of Risk Measures in Energy Portfolios Using Modern Copula Techniques 2014
Jaschke, Stefan R.
 
The dependence structure between WTI and Brent crude oil spot log-returns is analysed using modern copula techniques. In a first step, to account for ...
Modeling Dependence of Extreme Events in Energy Markets Using Tail Copulas 2013
Jaschke, Stefan R.
Silburg, Karl F.
Stoimenov, Pavel
 
This paper studies, for the ?rst time, the dependence of extreme events in energy markets. Based on a large data set comprising daily quotes of crude ...
Approximating Value at Risk in Conditional Gaussian Models 2002
Jaschke, Stefan R.
Jiang, Yuze
 
Financial institutions are facing the important task of estimating and controlling their exposure to market risk, which is caused by changes in prices...
Value-at-risk forecasts under scrutiny—the German experience 2007
Jaschke, Stefan R.
Stahl, Gerhard
Stehle, Richard
 
We present an analysis of the VaR forecasts and the P&L series of all 12 German banks that used internal models for regulatory purposes throughout the...
Value-at-risk forecasts under scrutiny—the German experience 2006
Jaschke, Stefan R.
Stahl, Gerhard
Stehle, Richard
 
We present an analysis of the VaR forecasts and the P&L-series of all 12 German banks that used internal models for regulatory purposes throughout the...
Error Analysis of Quantile-Approximations Using Fourier Inversion in the Context of Delta-Gamma-Norm 2002
Jaschke, Stefan R.
 
One of the main methods to compute Value at Risk within delta-gamma-normal-methods is an FFT-based approximation of the inversion integral, us...
Quadratic Forms of Gaussian Vectors 2002
Jaschke, Stefan R.
Kluppelberg, Claudia
Lindner, Alexander
 
We derive results on the ssymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors. They appear in particular in delta-gamma ...
Stratified Sampling for Risk Management 2004
Jaschke, Stefan R.
Mathe, Peter
 
The authors discuss the approximation of Value atRisk (VaR) and other quantities relevant to risk management. Oneof the core problems in this context ...
Evaluating VaR Forecasts under Stress - The German Experience 2003
Jaschke, Stefan R.
Stahl, Gerhard
Stehle, Richard
 
Abstract. We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory purposes in the year ...
The Cornish-Fisher Expansion in the Context of Delta-Gamma-Normal Approximations 2001
Jaschke, Stefan R.
 
Qualitative and quantitative properties of the Cornish-Fisher-Expansion in the context of Delta-Gamma-Normal approaches to the computation of Value at...
Quantile-VaR is the Wrong Measure to Quantify Market Risk for Regulatory Purposes 2001
Jaschke, Stefan R.
 
Starting from the objective of banking supervision {to minimize the overall costs of banking to the general public} we show that the current standard ...
Coherent Risk Measures and Good-Deal Bounds 2001
Jaschke, Stefan R.
Kuchler, Uwe
 
The relation between coherent risk measures, valuation bounds, and certain classes of portfolio optimization problems is established. One of the key r...
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