Stefan Weber
Cited by
Cited by
Distribution‐invariant risk measures, information, and dynamic consistency
S Weber
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2006
Cyclical correlations, credit contagion, and portfolio losses
K Giesecke, S Weber
Journal of Banking & Finance 28 (12), 3009-3036, 2004
Credit contagion and aggregate losses
K Giesecke, S Weber
Journal of Economic Dynamics and Control 30 (5), 741-767, 2006
Measures of systemic risk
Z Feinstein, B Rudloff, S Weber
SIAM Journal on Financial Mathematics 8 (1), 672-708, 2017
Robust preferences and robust portfolio choice
A Schied, H Föllmer, S Weber
Handbook of numerical analysis 15, 29-87, 2009
The joint impact of bankruptcy costs, crossholdings and fire sales on systemic risk in financial networks
S Weber, K Weske
Probability, Uncertainty and Quantitative Risk 2 (9), 1-38, 2017
The axiomatic approach to risk measures for capital determination
H Föllmer, S Weber
Annual Review of Financial Economics 7 (1), 301-337, 2015
Pricing of cyber insurance contracts in a network model
MA Fahrenwaldt, S Weber, K Weske
ASTIN Bulletin: The Journal of the IAA 48 (3), 1175-1218, 2018
Utility maximization under a shortfall risk constraint
A Gundel, S Weber
Journal of Mathematical Economics 44 (11), 1126-1151, 2008
Robust utility maximization with limited downside risk in incomplete markets
A Gundel, S Weber
Stochastic Processes and their Applications 117 (11), 1663-1688, 2007
Solvency II, or How to Sweep the Downside Risk Under the Carpet
S Weber
Insurance: Mathematics and Economics 82, 191-200, 2018
Measuring the risk of large losses
K Giesecke, T Schmidt, S Weber
Journal of Investment Management (JOIM), Fourth Quarter, 2008
Stochastic root finding and efficient estimation of convex risk measures
J Dunkel, S Weber
Operations Research 58 (5), 1505-1521, 2010
Resilience decision-making for complex systems
J Salomon, M Broggi, S Kruse, S Weber, M Beer
ASCE-ASME Journal of Risk and Uncertainty in Engineering Systems, Part B …, 2020
Efficient Monte Carlo methods for convex risk measures in portfolio credit risk models
J Dunkel, S Weber
2007 Winter Simulation Conference, 958-966, 2007
Liquidity-adjusted risk measures
S Weber, W Anderson, AM Hamm, T Knispel, M Liese, T Salfeld
Mathematics and Financial Economics 7, 69-91, 2013
Modeling and pricing cyber insurance: Idiosyncratic, systematic, and systemic risks
K Awiszus, T Knispel, I Penner, G Svindland, A Voß, S Weber
European Actuarial Journal 13 (1), 1-53, 2023
Time parameters and Lorentz transformations of relativistic stochastic processes
J Dunkel, P Hänggi, S Weber
Physical Review E—Statistical, Nonlinear, and Soft Matter Physics 79 (1 …, 2009
Distribution-invariant risk measures, entropy, and large deviations
S Weber
Journal of Applied Probability 44 (1), 16-40, 2007
An approximation for credit portfolio losses
R Frey, M Popp, S Weber
The Journal of Credit Risk 4 (1), 3-20, 2008
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