Browsing Discussion papers of interdisciplinary research project 373 / Sonderforschungsbereich 373 by Author "Weber, Stefan"

Now showing items 1-3 of 3

2002-09-10Buch

Credit Contagion and Aggregate Losses

Giesecke, Kay; Weber, Stefan

Credit contagion refers to the propagation of economic distress from one firm or sovereign government to another. In this paper we model credit contagion phenomena and study the fluctuation of aggregate credit losses on ...
2003-01-17Buch

Cyclical Correlations, Credit Contagion, and Portfolio Losses

Giesecke, Kay; Weber, Stefan

We model aggregate credit losses on large portfolios of financial positions contracted with firms subject to both cyclical default correlation and direct default contagion processes. Cyclical correlation is due to the ...
2003-12-04Buch

Distribution-Invariant Dynamic Risk Measures

Weber, Stefan

The paper provides an axiomatic characterization of dynamic risk measures for multi-period financial positions. For the special case of a terminal cash flow, we require that risk depends on its conditional distribution ...