Prof. Dr. Matthias Fischer

Prof. Dr. Matthias Fischer

Fischer
Room:
Telefon: +49 (0) 911 – 5302 -290
E-Mail: Matthias.Fischer@fau.de
Office hours: by appointment
Information:

Curriculum Vitae

Personal Data
Name: Matthias Fischer
Date of Birth: July, 3rd 1971
Place of Birth: Hof/Saale
Education
School: 1977 – 1981 Grundschule Bad Steben
1981 – 1990 Gymnasium Naila
1990 Final Examination
Studies: 1990 – 1996 Studies of mathematics and economics at the Friedrich-Alexander-University Erlangen-Nürnberg
SS 1996 Diploma
Promotion: July, 16th 2001
Academic / occupational Development
since Nov. 1997 Research Assistent at the Department of Statistics & Econometrics
2001 PhD-Thesis (Selected Infinitely Divisible Distributions as Models for Financial Return Data)
July 2001 Promotional Award of the Herman Gutmann-Stiftung
2001 – 2005 Research Assistent at the Department of Statistics & Econometrics
July 2005 Habilitation in Statistics and Econometrics
October 2005 Award of the WiSo-Fakultätsbund e.V.
2006, 2007 Temporal Professorship at the Helmut Schmidt University Hamburg, Department of Computational Statistics
since 2008
current		 Risik controlling Bayerische Landesbank
Team leader Credit Portfolio Risk: Measurement & Methodology
Cooperations with Industrial Partners and Work Experience
Work Experience: 1990 Commercial Work Experience, Gebrüder Munzert GmbH
1994 Commercial Work Experience, Hamburg-Mannheimer Versicherungs AG, Nürnberg
1994 Department of Controlling,Hamburg-Mannheimer Versicherungs AG, Hamburg
1996 Student Trainee, Bayerische Hypotheken- und Wechselbank AG, Munich
Cooperations: 2001 – 2002 Forecasting of Advertisement Spendings, Gruner & Jahr AG, Hamburg
2001 – 2002 Determinants of Advertisement Spendings, RTL-IP, Cologne
2004 Forecasting of Advertisement Spendings, Gruner & Jahr AG, Hamburg
2005 Quantifying Risk for Riester Products, Diploma Thesis in cooperation with Union Investment AG, Frankfurt
2006 Consulting Cooperation with GfK AG, Nürnberg
2006 Evaluation of Porfolio Optimazation Strategies, Diploma Thesis in cooperation with Nürnberger Versicherungs AG, Nürnberg

General Resarch Interests

  • Statistics of financial markets
  • Uni- and multivariate Stylized Facts of Financial Data
  • Forecasting Time Series
  • Valuation of Financial Derivates, e.g. Esscher-Pricing
  • Distributions of the explorativen Data Analysis, e.g. gh-distributions or gk-distributions
  • Highly parameterized distributions, e.g. generalized logistic or hyperbolic distributions
  • Modeling Time Dependencies, e.g. generalized GARCH models
  • Construction of Multivariate Distributions via Copulas

Publications

Journal Publications:

  • Fischer, M. and I. Klein: Kurtosis modelling by means of the J-Transformation.
    Journal of the German Statistical Society 88(1): 35-50, 2004.
  • Fischer, M.: Skew Generalized Secant Hyperbolic Distributions: Unconditional and Conditional Fit to Asset Returns. Austrian Journal of Statistics 33(3): 293-304, 2004.
  • Klein, I. and M. Fischer: Power Kurtosis Transformations: Definitions, Properties and Ordering. Journal of the German Statistical Society 90(3): 395-402, 2006.
  • Fischer, M. and I. Klein: Skweness by Splitting the Scale Parameter. Communications in Statistics (Theory and Methods) 35(7): 1159-1172, 2006.
  • Fischer, M.: A Skew Generalized Secant Hyperbolic Family. Austrian Journal of Statistics, 35(4): 437-444, 2006.
  • Fischer, M., Horn, A. and I. Klein: Tukey-type Distributions in the Context of Financial Data. Communications in Statistics (Theory and Methods), 36(1): 23-35, 2007.
  • Fischer, M. and I. Klein: Construction of Symmetric Generalized FGM Copulas by means of certain Univariate Distributions. Metrika 45(2): 243-260, 2007.
  • Klein, I. and M. Fischer: A note on the kurtosis ordering of the GSH distribution. Communications in Statistics (Theory and Methods), 37(1): 1-7, 2008.
  • Fischer M., C. Köck, S. Schlüter and F. Weigert: An empirical analysis of multivariate copula models. Quantitative Finance 9(7): 7:839-854, 2009.
  • Fischer M. and K. Herrmann: An Alternative Maximum Entropy Model for Time-Varying Moments with application to Financial Returns, Studies in Nonlinear Dynamics & Econometrics 14(3): 2-21, 2010.
  • Fischer, M.: Generalized Tukey-type Distribution with applications. Statisical Papers 51(1): 41-56, 2010.
  • Fischer, M. and M. Dörflinger: A Note on a Non-Parametric Tail Dependence Estimator. Far East Journal of Theoretical Statistics 32(1): 1-5, 2010.
  • Fischer, M. and D. Vaughan: The Beta-hyperbolic secant (BHS) distribution. Austrian Journal of Statistics 39(3): 245-158, 2010.
  • Fischer, M. and C. Köck: Constructing and generalizing given multivariate copulas: A unifying approach. Statistics 46(1): 1-12, 2012.
  • Fischer, M. and S. Schlüter: A Tail Quantile Approximation formula for the Student t distribution. Communications in Statistics (Theory and Methods) 41(15): 2617-2625, 2012.
  • Schlüter, S. and M. Fischer: The weak tail dependence coefficient of the GH distribution. Extremes 15(2), 159-174, 2012.
  • Fischer, M. and C. Dietz: Modeling sector correlation with CR+ – The CBV model. Journal of Credit Risk 7(4): 1-20, 2011/2012.
  • Fischer, M. and A. Mertel: Quantifying model risk within a CreditRisk+ framework, Journal of Risk Model Validation 6(1): 1-29, 2012 .
  • Dorfleitner, G., M. Fischer and M. Geidosch: Specifcation risk and calibration effects of a multi-factor portfolio model, Journal of Fixed Income 22(1): 7-24,4, 2012.
  • Fischer, M. and K. Herrmann: The HS-SAS and GSH-SAS Distribution as Model for Unconditional and Conditional Return Distributions, Austrian Journal of Statistics 42(1): 33-45, 2013.
  • Fischer, M. and K. Jakob: Quantifying the impact of different copulas in a generalized CreditRisk+ framework – An empirical study, Dependence Modeling 2: 1-21, 2014.
  • Fischer, M. and M. Pfeuffer: A Statistical Repertoire for Quantitative LGD Validation: Overview, Illustration, Pitfalls, Extensions, Journal of Risk Model Validation 8(1): 1-27, 2014.
  • Fischer, M. and G. Hinzmann: A new class of copulas with tail dependence, South African Journal of Statistics, 48(2), 229-236, 2014.
  • Fischer, M. and Kaufmann, F.: An analytic approach to quantify the sensitivity of CreditRisk+ with respect to its underlying assumptions, Journal of Risk Model Validation 8(2), 23–37, 2014.
  • Pfeuffer, M. and M. Fischer: IFRS 9 Impairment von Finanzinstrumenten: Schätzung konjunkturabhängiger PD-Kurven, Risiko Manager 25-26: 1,7-10, 2015.
  • Fischer, M. and K. Jakob: GCPM: A Flexible Package to Explore Credit Portfolio Risk, Austrian Journal of Statistics, 45(1): 25-44, 2016.
  • Fischer, M., C. Köstler und K. Jakob: Modelling stochastic recovery rates and dependence between default rates and recovery rates within a generalized credit portfolio framework, Journal of Statistical Theory and Practice 10(2): 342-356, 2016.
  • Eckert, J., K. Jakob and M. Fischer: A Credit Portfolio Framework under Dependent Risk Parameters PD, LGD and EAD, Journal of Credit Risk 12(1): 97-119, 2016.
  • Fischer, M. and K. Jakob: pTAS Distributions with Application to Risk Management, Journal of Statistical Distributions and Applications 3(11), 2016.
  • Pfeuffer, M. and M. Fischer: Connecting Rating Migration Matrices and the Business Cycle By Means of Generalized Regression Models, Applied Stochastic Models in Business and Industry 32(5):639-647, 2016.
  • Geidosch, M. and M. Fischer: Application of Vine Copulas to Credit Portfolio Risk Modeling, Journal of Risk and Financial Management 9(2): 4, 1-15, 2016.
  • M. Fischer and M. Pfeuffer: IFRS 9 Impairment von Finanzinstrumenten: Parametrische Modellierung von PD-Kurven. Risiko Manager 11(7): 10-14, 2016.
  • Fischer, M., A. Hui and S. Hösle: wHS-type distributions with application to Finance, Journal of Statistics & Management Systems 20 (1): 67-89, 2017.
  • Fischer, M., T. Moser and M. Pfeuffer: A Discussion on Recent Risk Measures with Application to Credit Risk: Calculating Risk Contributions and Identifying Risk Concentrations. Risks 6, 142; doi:10.3390/risks6040142, 2018.
  • Fischer, M., I. Klein und T. Pleier: Weighted power mean copulas: theory and application, Model Assisted Statistics and Applications 13:253- 270, 2018.
  • Fischer, M. and S. Hösle: Beyond Beta and Vasicek: A comparative analysis of continuous distributions on [0,1] International Journal of Statistics: Advances in Theory and Application, 2018.
  • Pfeuffer, M., L. Möstel and Fischer. M. (2018): An Extended Likelihood Framework for Modeling Discretely Observed Credit Rating Transitions, Quantitative Finance (to appear)
  • Möstel, L., M. Fischer, F. Pfälzner und M. Pfeuffer (2018): Parameter Estimation of Tukey-Type Distributions: A Comparative Analysis, Communications in Statistics – Simulation and Computation (to appear)
  • Pfeuffer, M., M. Nagl, M. Fischer and D. Rösch: Parameter Estimation, Bias Correction and Uncertainty Quantification in the Vasicek Credit Portfolio Model (under revision), 2018.
  • Möstel, L., M. Fischer and M. Pfeuffer: Composite Tukey-Type Distributions with Application to Insurance and Risk Management (under revision), 2018.
  • Fischer, M., K. Herrmann, A. Kreuzer und D. Kraus: Empirical Insights into the Dependence Structure of Daily and Intraday Crypto-Currency Data, submitted (under revision), 2018.

Monographs:

  • Fischer, M.: Bewertung amerikanischer Zufallsforderungen. Master Thesis, Erlangen, 1996.
  • Fischer, M.: Selected infinitely divisible distributions as models for financial return data – Unconditional fit and option pricing, in S. Mittnik (Editor), Quantitative Finanzwirtschaft Band 2, Pro Business GmbH, Berlin, 2002.
  • Fischer, M.: Copula-based time-varying patchwork distributions with application to financial data, Habilitationsschrift, 2005.
  • Fischer, M.: Generalized GSH distributions with application to finance, Springer Brief, 2014.

Book Reviews:

  • Schmid, F., Trede, M.: Finanzmarktstatistik.
    in: Journal of the German Statistical Society, 90(4): 623-624, 2006.
  • Zivot, E., Wang, J.: Modeling Financial Time Series with S-PLUS.
    in: Journal of the German Statistical Society, 90(4): 631-632, 2006.
  • Scherer, B., Martin, R.D.: Introduction to Modern Portfolio Optimization with NUOPT and S-PLUS and S-Bayes, in: Statistical Papers, 48(1): 163-164, 2007.
  • Cizek, P.; Härdle, W.; Weron, D.: Statistical Tools for Finance and Insurance.
    in : Statistical Papers, 48(1): 168-170, 2007.
  • Gao, J.: Nonlinear time series – Semiparametric and nonparametric methods.
    in: Statistical Papers, 51(3), 751, 2010.
  • Madsen, H.: Time series analysis.
    in: Statistical Papers, 51(3), 753-754, 2010.

Book Chapters:

  • Klein, I. and M. Fischer: Symmetrical gh-transformed distributions, in Mittnik, S. and I. Klein (Hrsg.): Contributions to Modern Econometrics, Kluwer Academic Publishers (2002).
  • Klein, I. and M. Fischer: Tailabhängigkeit und Asymmetrie in multivariaten Finanzmarktdaten, in: Bank/Schiller (Hrsg.): Finanzintermediation: Theoretische, wirtschaftspolitische und praktische Aspekte aktueller Entwicklungen im Bank- und Börsenwesen. Festschrift for Wolfgang Gerke. S. 69-101, (2004).
  • Fischer, M.: Generalized hyperbolic distributions, in: M. Lovric (Hrsg.): International Encyclopedia of Statistical Sciences, Springer, 2009.
  • Fischer, M.: Hyperbolic secant distributions and generalizations, in: M. Lovric (Hrsg.): International Encyclopedia of Statistical Sciences, Springer, 2009.
  • Fischer, M.: Financial return distributions, in: M. Lovric (Hrsg.): International Encyclopedia of Statistical Sciences, Springer, 2009.
  • Fischer, M.: A primer on multivariate copula models, in: D. Kurowicka (Hrsg.): Handbook of Vine copulas, S. 19-36, 2009.
    Fischer, M. and A. Möst: Stresstesting und Risikokonzentrationen, in: R. Eller (2011) ,Jahrbuch Treasury and Private Banking, Roland Eller, Karlsruhe, 217-238.
  • Fischer, M.: Stochastische Volatilitätsmodelle, in: P. Mertens and S. Rässler (2012), Prognoserechnung, Spinger.
  • Fischer, M. and Jakob, K.: Copula-Specific Credit Portfolio Modeling: How the Sector Copula Affects the Tail of the Portfolio Loss Distribution, in: K. Glau et al. (eds.), Innovations in Quantitative Risk Management,
    Proceedings in Mathematics & Statistics 99, Chapter 8, Springer, 2014.

Referee in:

  • Statistics & Probability Letters, Metrika, Austrian Journal of Statistics, Journal of Multivariate Analyis, Kredit und Kapital.
  • Journal of Applied Statistics, Pakistan Journal of Statistics.
  • Test, International Journal of Information Technology & Decision Making, Advances in Statistical Analysis (AStA), Communications in Statistics (Simulation and Computation), Journal of Appied Econometrics.

Discussion papers and Expertises:

  • Fischer, M.: The Esscher-EGB2 option pricing model.
    Discussion Papier 31/2000.
  • Fischer, M.: The CEGB2 distribution and its application to financial return data.
    Discussion Papier 32/2000.
  • Klein, I., Fischer, M. und M. Grottke: GARCH Modelle mit allgemeinen Fehlerverteilungen – MATLAB und S-PLUS Routinen. Discussion Papier 38/2000.
  • Klein, I., Fischer, M.: Determinanten der zeitlichen Entwicklung von Werbeaufwendungen, Teil 1: Deskriptive Zeitreihenanalyse von ACNielsen- und makroökonomischen Daten. Nürnberg, 2001
  • Fischer, M.: The NEF-GHS option pricing model.
    Discussion Papier 42/2002. (Download: d0042a)
  • Klein, I., Fischer, M.: Determinanten der zeitlichen Entwicklung von Werbeaufwendungen, Teil 2: Automatisiertes System univariater Prognosen [UNIPRAUT] und kausalanalytische Untersuchungen. Nürnberg, 2002
  • Fischer, M., Vaughan, D.: Classes of Skew Generalized Hyperbolic Secant Distributions.
    Discussion Papier 45/2002. (Download: d0045)
  • Fischer, M.: Skew Generalized Secant Hyperbolic Distributions: Unconditional and Conditional Fit to Asset Returns. Discussion Papier 46/2002.
  • Klein, I., Fischer, M.: Determinanten der zeitlichen Entwicklung von Werbeaufwendungen, Teil 3: Univariate und multivariate Prognosen und Backtesting für ausgewählte Werbereihen. Nürnberg, 2002
  • Fischer, M.: Tailoring Copula-based Multivariate Skew Generalized Hyperbolic Secant Distributions to Financial Return Data: An Empirical Investigation.
    Discussion Papier 47/2003.
  • Fischer, M., Igel, S.: Generalized GARCH models with infinitely divisible error distributions.
    Discussion Papier 50/2003.
  • Fischer, M., Klein, I.: Kurtosis modelling by means of the j-transformation.
    Diskussionspapier 51/2003. (Download: d0051).
  • Fischer, M., Horn, A., Klein, I.: Tukey-type distributions: The interplay between skewness and Kurtosis transformation in the context of financial returns data.
    Discussion Papier 52/2003. (Download: d0052)
  • Klein, I., Fischer, M.: Kurtosis transformation and kurtosis ordering.
    Discussion Papier 53/2003. (Download: d0053).
  • Klein, I., Fischer, M.: Kurtosis ordering of the generalized secant hyperbolic distribution: A technical note.
    Discussion Papier 54/2003. (Download: d0054).
  • Klein, I., Fischer, M.: Skewness by splitting the scale parameter.
    Discussion Papier 55/2003. (Download: d0055).
  • Fischer, M.: Tailoring Copula-based Multivariate Skew Generalized Hyperbolic Secant Distributions to Financial Return Data: An Empirical Investigation. In: ‘Bulletin of the International Statistical Institute 54th Session’, Berlin, 2003.
  • Fischer, M., Klein, I.: Construction of symmetric generalized FGM copulas by means of certain Univariate Distributions. Discussion Papier 61/2004. (Download: d0061).
  • Klein, I., Fischer, M.: Dependence Structure of Product Copulas.
    Discussion Papier 62/2004.
  • Fischer, M.: The L Distribution and Skew Generalizations.
    Discussion Papier 63/2004. (Download: d0063).
  • Fischer, M., Vaughan, D.: The Beta-Hyperbolic Secant (BHS) Distribution: Definition, Properties and Applications. Discussion Papier 64/2004. (Download: d0064).
  • Klein, I., Fischer, M.: Determinanten der zeitlichen Entwicklung von Werbeaufwendungen, Teil 4: Univariate und multivariate Prognosen und Backtesting für ausgewählte Werbereihen. Nürnberg, 2004
  • Fischer, M.: Multivariate Laplace Normal Distributions.
    Discussion Papier 67/2004.
  • Fischer, M.: Autoregressive Conditional Density Models under different Error Distributions with Application to Exchange Rate Data. Discussion Papier 68/2004.
  • Fischer, M., Klein, I., Körber, A.: Multivariate Aggregational Gaussianity and Multivariate Aggregational Copula-Gaussianity for Exchange Rate Data — an Empirical Investigation.
    Forschungsprojekt der Hans-Frisch-Stiftung, Abschlußbericht, 2004.
  • Fischer, M.: Generalized Tukey-type distributions with application to financial and teletraffic data. Discussion Papier 72/2006.
  • Fischer, M.: A note on the construction of generalized Tukey-type transformations.
    Discussion Papier 73/2006.
  • Fischer, M.: Testing for constant correlation by means of trigonometric functions.
    Discussion Papier 74/2006.
  • Fischer, M.: Constructing Distribution Families with closed-form pdf and cdf.
    Discussion Papier 75/2006.
  • Fischer, M., Dörflinger, M.: A note on a non-parametric tail dependence estimator.
    Discussion Papier 76/2006.
  • Fischer, M., Hinzmann, G.: A new class of copulas with tail dependence and a generalized tail dependence estimator. Discussion Papier 77/2006.
  • Fischer, M., Klein, I.: Some results on weak and strong tail dependence coefficients for means of copulas. Discussion Papier 78/2007.
  • Fischer, M., Köck, C.; Schlüter, S.; Weigert, F.: Multivariate Copula Models at Work: Outperforming the “desert island copula”? Discussion Papier 79/2007.
  • Fischer, M., Köck, C.: Constructing and generalizing multivariate copulas: A generalizing approach. Discussion Papier 80/2007.
  • Fischer, M.: Are correlations constant over time? Application of the CC-Trig-t-test to financial return series from different asset classes. SFB 649 Discussion Paper Series 12/2007, Humboldt-Universität Berlin.
  • Fischer, M.; Herrmann, K.: An Alternative Model for Time-varying Moments using Maximum Entropy. Discussion Papier 84/2009.
  • Fischer, M., Gao, Y. and Herrmann, K.: Volatility Models with Innovations from New Maximum Entropy Densities at Work, Discussion Papier 03/2010.
  • Klein, I.: Fischer, M. and Pleier, Th.: Weighted Power Mean Copulas: Theory and Application, Discussion Papier 01/2011.
  • Fischer, M.: A skew and leptokurtic distribution with polynomial tails and characterizing functions in closed form, Discussion Papier 03/2012.

Talks:

  • The EGB2 Option Pricing Model. Workshop in Financal Econometrics, Jagdschloß Glienicke, Berlin, March 2000.
  • Applications of Infinitely Divisible Distributions: Modeling Return Distributions and Option Pricing. Autumn Conference of the German Statistical Society in Nürnberg, September 2000.
  • Tailoring Copula-based Multivariate Skew Generalized Hyperbolic Secant Distributions to Financial Return Data: An Empirical Investigation. 54. Session of the International Statistical Institute in Berlin, August 2003.
  • Construction of Multivariate Copula-based SGSH-Distributions as Models for Financial Returns. Autumn Conference of the German Statistical Society in Potdam, August 2003.
  • Applications of Copulas in Finance. University of Münster, January 2004.
  • Multivariate Stylized Facts of Financial Returns. Statistisches Kolloqium in Würzburg, March 2004.
  • Are correlation constant in time? Statistisches Kolloqium in Passau, March 2006.
  • Automatic Lag-order Selection and Forecasting with VAR-Models. Poster presentation with S. Unkuri, R User Conference in Vienna, June 2006.
  • Testing for constant correlation by means of trigonometric functions. European Meeting of Statisticians in Torun, Poland, July 2006.
  • Generalized Mean Copulas: Definition, Properties and Tail Dependence. DAGStat 2007, Bielefeld, March 2007.
  • Tail Dependence Coefficients for Means of Copulas. ISI 2007, Lisboa, August 2007.
  • Multivariate Copula Models at Work: Dependence Structure of Energy Prices. EcoMod 2007, Moskau, September 2007.
  • Measuring dependence . University of Bamberg, December 2007.
  • An empirical analysis of multivariate copula models. Copula Workshop, Humboldt-University Berlin, December 2007.
  • Multivariate Copula Models at Work, R-Metrics Workshop, Zürich, 2009.
  • Models for Time-Varying Moments using Maximum Entropy, Poster presentation with K. Herrmann. Humboldt-Copenhagen Conference, Berlin, 2009.

Visits and research stays:

  • Guest researcher at SFB 649 (Economic Risk) at Humboldt-Universität, Berlin in August 2006.
  • Research stay at ETH Zürich, 26 – 28 November 2007.
  • Guest researcher at University of Tampere, Finland, Teaching Staff Mobility, EU, November 2008.

Professional Memberships:

  • German Statistical Society (DStG)
  • German Society of Finance (DGF)
  • Verein für Socialpoltik
  • International Statistical Institute (ISI, elected member)
  • PRMIA (Professional Risk Manager’s Internal Association)
  • GARP (Global Association of Risk Professionals)

External Teaching:

  • Fall 2002: Mathematics for Economists. School of Applied Sciences, Künzelsau.
  • Spring 2003: Mathematics for Economists. School of Applied Sciences, Künzelsau.
  • Fall 2003: Mathematics for Economists. School of Applied Sciences, Künzelsau.

Teaching Experience:

    • Undergraduate Courses (Lectures, Tutorials)

 

    • Statistics I (Fall 1997,Fall 2001)
    • Statistics II (Spring 1998, Fall 2006, Spring 2007)
    • Statistics for Politicians (Spring 2007, HSU Hamburg)
    • Undergraduate Courses (Lectures, Tutorials)

 

    • Analysis of Panel Data (Spring 2000, Spring 2001)
    • Fundamentals of Econometrics (Fall 2000)
    • Univariate Analysis of (Financial) Time Series (WS 99/01, SS 02, SS 03, SS 04, SS 05, SS 06)
    • Multivariate Analysis of (Financial) Time Series (Fall 2001, Fall 2002, Fall 2003, Springl 2004, Spring 2005)
    • Extreme Value Statistics (Fall 2005, Fall 2006, Fall 2007, Spring 2009, Spring 2010, spring 2011, Spring 2012)
    • Samples from Normal Distributions (Spring 06)
    • Risk Management and Insurance (Spring 2008)
    • Computational Statistics (Fall 2008, Fall 2009, Fall 2010, Fall 2012)
    • Several Courses in R, Matlab and S-PLUS
    • Multivariate Data Analysis (WT 2007)
    • Introduction to R (Spring 2007)

Supervision of Diploma/Master Thesis

    In process:
  • Construction of Asset Price Indicators
  • Some Aspects of Tail Dependence
  • Copulas as Models for Time Dependencies
  • Multivariate Tukey-type Distributions
    Already terminated:
  • Dynamic Modeling of Interest Rates (Kilian, 2001)
  • Generalized GARCH-models with Infinitely Divisible Error Distributions (Igel, 2002).
  • Distribution of the Explorative Data Analysis with Applications (Horn, 2002).
  • Price Processes and Effcient Markets (Reinhardt, 2002).
  • Forecasting Advertisement Spendings (Izakson, 2002)
  • Multivariate Models and Dependence Concepts for Credit Risk (Körber, 2003)
  • Testing for Long Memory (Wang, 2003)
  • Statistical Properties of Commodities (Bivolaru, 2003)
  • Applications of Distortion Functions in Finance: Risk Measures and Copulas (Köck, 2004)
  • Portfolio-Optimization under different Risk Measures (Bierkamp, 2004)
  • Multivariate Option Pricing (Hassold, 2004)
  • Liquidity Risk: An Empircal Analysis (Ermer, 2004)
  • Testing for Ellipticity (Gogokhia, 2005)
  • Multivariate GARCH-Models with Generalized Error Distributions (Wildegger, 2005)
  • Extremal Dependence versus Tail Dependence (Dörflinger, 2005)
  • Automatic Forecasting with VAR models (Unkuri, 2005)
  • Asymmetry in Financial Returns: An Empirical Investigation (Brugger, 2005)
  • Testing for Time-varying Correlations (Stadler, 2005)
  • Generalized Jarque-Bera Tests (Pu, 2005)
  • High-dimensional Integration versus Simulation (Hinzmann, 2006)
  • Forecasting High-dimensional Times Series Factor Models (Hu, 2006)
  • Simulative Portfolio-Optimization by means of Copulas (Li, 2006)
  • Portfolio-Optimization under different Risk Measures (He, 2006)
  • On the Existence of Relative Trends (Höfling, 2006)
  • Construction of n-variate Copulas (Köhnsen, 2006)
  • Forecasting High-dimensional Times Series Factor Models (Baumgarten, 2006)
  • Quantifizierung von Garantierisiken bei einem Riester-Produkt (Liu, 2006)
  • Analysis of Turkish High Frequeny Data by means of ACD-Models (Gülec, 2006)
  • Non-Stationarity and Unit roots in Dynamic Panel Models (Dedekarginoglu, 2007)
  • Construction of Asset Price Indices(Kotlasova, 2007)
  • Modelling and visualisation of dependence structures (Meiru, 2007)
  • Multivariate Tukey-Type distributions (Moumdhziev, 2007)
  • The weak tail dependence coefficient for the GHD distribution (Schlüter, 2008)
  • Copulas zur Modellierung von Abhängigkeiten im Zeitverlauf (Weigert, 2008)
  • Sensitivitätsanalyse eines simulationsbasierte Kreditrisikomodells (Geidosch, 2009)
  • Modellierung der konjunkturellen Schwankungen in CreditRisk+ (Feng, 2009)
  • Globale Vektorautoregressive Modelle mit Einsatz im Finanzmarkt (Martin, 2009)
  • Schätzung, Glättung und Konstruktion gestresster Migrationsmatrizen (Baumann, 2010)
  • Schätzung von Ausfallwahrscheinlichkeiten für Osteuropa (Bender, 2010)
  • Numerische Umsetzung einer Monte Carlo Variante von CR+ (Römer, 2010)
  • Integration von stochastischen Ausfallraten in CR+ (Köstler, 2011)
  • Einsatz von Sattelpunktapproximation in CR+ (Mertel, 2011)
  • Umsetzung einer effektiven simulativen Variante von CR+ (Petrisor, 2011)
  • Integration von Contagion Effekte in CR+ (Czerwinski, 2011)
  • Risikobeiträge in Kreditportfoliomodellen (Fischer, 2011)
  • Extremwertstatistische Ansätze in Kreditportfoliomodellen (Laas, 2011)
  • Quantifizierung von Credit Value Adjustments und Wrong-Way Risiko bei derivativen Produkten (Schulz, 2013)