All Stories

  1. Parametric model risk and power plant valuation

    Article • Energy Economics, September 2016, Elsevier

    Dr. Matthias A Scherer

  2. Simulating Copulas

    Article • August 2016, World Scientific Pub Co Pte Lt

    Dr. Matthias A Scherer

  3. One-Factor Lévy-Frailty Copulas with Inhomogeneous Trigger Rates

    Article • July 2016, Springer Science + Business Media

    Dr. Matthias A Scherer

  4. EXTREMAL DEPENDENCE FOR BILATERAL CREDIT VALUATION ADJUSTMENTS

    Article • International Journal of Theoretical and Applied Finance, July 2016, World Scientific Pub Co Pte Lt

    Dr. Matthias A Scherer

  5. Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall–Olkin law

    Article • Statistics & Probability Letters, July 2016, Elsevier

    Dr. Matthias A Scherer

  6. A note on the valuation of CDS options and extension risk in a structural model with jumps

    Article • International Journal of Financial Engineering, June 2016, World Scientific Pub Co Pte Lt

    Dr. Matthias A Scherer

  7. Exchangeable exogenous shock models

    Article • Bernoulli, May 2016, Bernoulli Society for Mathematical Statistics and Probability

    Dr. Matthias A Scherer

  8. Stat Trek. An interview with Christian Genest

    Article • Dependence Modeling, January 2016, De Gruyter

    Dr. Matthias A Scherer

  9. Analyzing model robustness

    Article • Statistics & Risk Modeling, January 2016, De Gruyter

    Dr. Matthias A Scherer

  10. Two Novel Characterizations of Self-Decomposability on the Half-Line

    Article • Journal of Theoretical Probability, September 2015, Springer Science + Business Media

    Dr. Matthias A Scherer

  11. The density of distributions from the Bondesson class

    Article • The Journal of Computational Finance, March 2015, Incisive Media

    Dr. Matthias A Scherer

  12. A Journey from Statistics and Probability to Risk Theory An interview with Ludger Rüschendorf

    Article • Dependence Modeling, January 2015, De Gruyter

    Dr. Matthias A Scherer

  13. On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions

    Article • Dependence Modeling, January 2015, De Gruyter

    Dr. Matthias A Scherer

  14. Building bridges between Mathematics, Insurance and Finance

    Article • Dependence Modeling, January 2015, De Gruyter

    Dr. Matthias A Scherer

  15. Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees

    Article • European Actuarial Journal, January 2015, Springer Science + Business Media

    Dr. Matthias A Scherer

  16. Innovations in Quantitative Risk Management

    Article • January 2015

    Dr. Matthias A Scherer

  17. Implied Recovery Rates—Auctions and Models

    Article • January 2015, Springer Science + Business Media

    Dr. Matthias A Scherer

  18. A Survey of Dynamic Representations and Generalizations of the Marshall–Olkin Distribution

    Article • January 2015, Springer Science + Business Media

    Dr. Matthias A Scherer

  19. The Mean of Marshall–Olkin-Dependent Exponential Random Variables

    Article • January 2015, Springer Science + Business Media

    Dr. Matthias A Scherer

  20. A Two-Sided BNS Model for Multicurrency FX Markets

    Article • January 2015, Springer Science + Business Media

    Dr. Matthias A Scherer

  21. On the calibration of distortion risk measures to bid-ask prices

    Article • Quantitative Finance, March 2014, Taylor & Francis

    Dr. Matthias A Scherer

  22. Sequential Modeling of Dependent Jump Processes

    Article • Wilmott, March 2014, Wiley

    Dr. Matthias A Scherer

  23. Financial Engineering with Copulas Explained

    Article • January 2014, Nature

    Dr. Matthias A Scherer

  24. How to Simulate Multivariate Distributions?

    Article • January 2014, Nature

    Dr. Matthias A Scherer

  25. What Are Popular Families of Copulas?

    Article • January 2014, Nature

    Dr. Matthias A Scherer

  26. How to Measure Dependence?

    Article • January 2014, Nature

    Dr. Matthias A Scherer

  27. What Are Copulas?

    Article • January 2014, Nature

    Dr. Matthias A Scherer

  28. Model Risk and Uncertainty—Illustrated with Examples from Mathematical Finance

    Article • January 2014, Springer Science + Business Media

    Dr. Matthias A Scherer

  29. Which Rules for Handling Copulas Do I Need?

    Article • January 2014, Nature

    Dr. Matthias A Scherer

  30. How to Construct a Portfolio-default Model?

    Article • January 2014, Nature

    Dr. Matthias A Scherer

  31. How to Deal with Uncertainty Concerning Dependence?

    Article • January 2014, Nature

    Dr. Matthias A Scherer

  32. How to Estimate Parameters of a Multivariate Model?

    Article • January 2014, Nature

    Dr. Matthias A Scherer

  33. Simulating from the Copula that Generates the Maximal Probability for a Joint Default Under Given (Inhomogeneous) Marginals

    Article • January 2014, Springer Science + Business Media

    Dr. Matthias A Scherer

  34. Efficiently pricing double barrier derivatives in stochastic volatility models

    Article • Review of Derivatives Research, November 2013, Springer Science + Business Media

    Dr. Matthias A Scherer

  35. Extendibility of Marshall–Olkin distributions and inverse Pascal triangles

    Article • Brazilian Journal of Probability and Statistics, August 2013, Institute of Mathematical Statistics

    Dr. Matthias A Scherer

  36. Simulating Copulas: Stochastic Models, Sampling Algorithms and Applications by Jan-Frederik Mai, Matthias Scherer, with contributions by Claudia Czado, Elke Korn, Ralf Korn, Jakob Stöber

    Article • International Statistical Review, August 2013, Wiley

    Dr. Matthias A Scherer

  37. A Multivariate Default Model with Spread and Event Risk

    Article • Applied Mathematical Finance, June 2013, Taylor & Francis

    Dr. Matthias A Scherer

  38. Characterization of extendible distributions with exponential minima via processes that are infinitely divisible with respect to time

    Article • Extremes, June 2013, Springer Science + Business Media

    Dr. Matthias A Scherer

  39. Capturing parameter risk with convex risk measures

    Article • European Actuarial Journal, May 2013, Springer Science + Business Media

    Dr. Matthias A Scherer

  40. A BNS-Type Stochastic Volatility Model With Two-Sided Jumps With Applications to FX Options Pricing

    Article • Wilmott, May 2013, Wiley

    Dr. Matthias A Scherer

  41. Multivariate geometric distributions, (logarithmically) monotone sequences, and infinitely divisible laws

    Article • Journal of Multivariate Analysis, March 2013, Elsevier

    Dr. Matthias A Scherer

  42. Sampling Exchangeable and Hierarchical Marshall-Olkin Distributions

    Article • Communication in Statistics- Theory and Methods, February 2013, Taylor & Francis

    Dr. Matthias A Scherer

  43. CIID Frailty Models and Implied Copulas

    Article • January 2013, Springer Science + Business Media

    Dr. Matthias A Scherer

  44. What makes dependence modeling challenging? Pitfalls and ways to circumvent them

    Article • Statistics & Risk Modeling, January 2013, De Gruyter

    Dr. Matthias A Scherer

  45. An Analytical Characterization of the Exchangeable Wide-Sense Geometric Law

    Article • January 2013, Springer Science + Business Media

    Dr. Matthias A Scherer

  46. Shot-noise driven multivariate default models

    Article • European Actuarial Journal, November 2012, Springer Science + Business Media

    Dr. Matthias A Scherer

  47. -extendible copulas

    Article • Journal of Multivariate Analysis, September 2012, Elsevier

    Dr. Matthias A Scherer

  48. Modeling credit portfolio derivatives, including both a default and a prepayment feature

    Article • Applied Stochastic Models in Business and Industry, July 2012, Wiley

    Dr. Matthias A Scherer

  49. Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications

    Article • Metrika, January 2012, Springer Science + Business Media

    Dr. Matthias A Scherer

  50. A note on first-passage times of continuously time-changed Brownian motion

    Article • Statistics & Probability Letters, January 2012, Elsevier

    Dr. Matthias A Scherer

  51. Simulating Copulas

    Article • November 2011

    Dr. Matthias A Scherer

  52. Portfolio Optimization in a Multidimensional Structural-Default Model with a Focus on Private Equity

    Article • The Journal of Private Equity, November 2011, Institutional Investor Journals

    Dr. Matthias A Scherer

  53. CDO pricing with nested Archimedean copulas

    Article • Quantitative Finance, May 2011, Taylor & Francis

    Dr. Matthias A Scherer

  54. Pricing corporate bonds in an arbitrary jump-diffusion model based on an improved Brownian-bridge algorithm

    Article • The Journal of Computational Finance, March 2011, Incisive Media

    Dr. Matthias A Scherer

  55. Reparameterizing Marshall–Olkin copulas with applications to sampling

    Article • Journal of Statistical Computation and Simulation, January 2011, Taylor & Francis

    Dr. Matthias A Scherer

  56. Efficiently pricing barrier options in a Markov-switching framework

    Article • Journal of Computational and Applied Mathematics, December 2010, Elsevier

    Dr. Matthias A Scherer

  57. Constructing hierarchical Archimedean copulas with Lévy subordinators

    Article • Journal of Multivariate Analysis, July 2010, Elsevier

    Dr. Matthias A Scherer

  58. Modeling the evolution of implied CDO correlations

    Article • June 2010, Springer Science + Business Media

    Dr. Matthias A Scherer

  59. Rüdiger Kiesel, Matthias Scherer, and Rudi Zagst (eds.): Alternative investments and strategies

    Article • June 2010, Springer Science + Business Media

    Dr. Matthias A Scherer

  60. Alternative Investments and Strategies

    Article • June 2010, World Scientific Pub Co Pte Lt

    Dr. Matthias A Scherer

  61. FRONT MATTER

    Article • June 2010, World Scientific Pub Co Pte Lt

    Dr. Matthias A Scherer

  62. BACK MATTER

    Article • June 2010, World Scientific Pub Co Pte Lt

    Dr. Matthias A Scherer

  63. CROSS ASSET PORTFOLIO DERIVATIVES

    Article • June 2010, World Scientific Pub Co Pte Lt

    Dr. Matthias A Scherer

  64. Jarrow-Lando-Turnbull Model

    Article • May 2010, Wiley

    Dr. Matthias A Scherer

  65. Structural Default Risk Models

    Article • May 2010, Wiley

    Dr. Matthias A Scherer

  66. Bivariate extreme-value copulas with discrete Pickands dependence measure

    Article • Extremes, April 2010, Springer Science + Business Media

    Dr. Matthias A Scherer

  67. The Pickands representation of survival Marshall–Olkin copulas

    Article • Statistics & Probability Letters, March 2010, Elsevier

    Dr. Matthias A Scherer

  68. Alternative Investments and Strategies

    Article • January 2010, World Scientific Pub Co Pte Lt

    Dr. Matthias A Scherer

  69. Modeling and pricing credit derivatives

    Article • January 2010, American Mathematical Society (AMS)

    Dr. Matthias A Scherer

  70. On Analytical Similarities of Archimedean and Exchangeable Marshall-Olkin Copulas

    Article • January 2010, Springer Science + Business Media

    Dr. Matthias A Scherer

  71. Pricing kth-to-default swaps in a Lévy-time framework

    Article • The Journal of Credit Risk, September 2009, Incisive Media

    Dr. Matthias A Scherer

  72. Efficiently sampling exchangeable Cuadras–Augé copulas in high dimensions

    Article • Information Sciences, August 2009, Elsevier

    Dr. Matthias A Scherer

  73. Lévy-frailty copulas

    Article • Journal of Multivariate Analysis, August 2009, Elsevier

    Dr. Matthias A Scherer

  74. Multivariate Hierarchical Copulas with Shocks

    Article • Methodology And Computing In Applied Probability, May 2009, Springer Science + Business Media

    Dr. Matthias A Scherer

  75. A TRACTABLE MULTIVARIATE DEFAULT MODEL BASED ON A STOCHASTIC TIME-CHANGE

    Article • International Journal of Theoretical and Applied Finance, March 2009, World Scientific Pub Co Pte Lt

    Dr. Matthias A Scherer

  76. Portfolio selection under changing market conditions

    Article • International Journal of Financial Services Management, January 2009, Inderscience Publishers

    Dr. Matthias A Scherer

  77. Robust Calibration of a Structural-Default Model with Jumps

    Article • SSRN Electronic Journal, Elsevier

    Dr. Matthias A Scherer

  78. Model Risk and Power Plant Valuation

    Article • SSRN Electronic Journal, Elsevier

    Dr. Matthias A Scherer

  79. Consistent Iterated Simulation of Multi-Variate Default Times: A Markovian Indicators Characterization

    Article • SSRN Electronic Journal, Elsevier

    Dr. Matthias A Scherer