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Rüdiger FreyMember: Fitch Academic Advisory Board.
Mathematisches Institut
Fakultät für Mathematik und Informatik
Universität Leipzig
Augustusplatz 10/11
D-04109 Leipzig
Germany - University of Bonn, Ph. D. (Financial Economics) (1996)
- Research interest is in financial economics, financial mathematics, financial risk management and related problems in probability theory and statistics
| Contact: | | Email address secured by Enkoder. | | Phone | +49-341-97 32181 | | Fax | +49-341-97 32197 | | e-mail |
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Publications: that are posted on DefaultRisk.comCredit Pricing Pricing Corporate Securities under Noisy Asset Information
by Rüdiger Frey of the University of Leipzig, and
Thorsten Schmidt of the University of Leipzig
(504K PDF) -- 18 pages -- May 7, 2007 Credit Modeling Pricing and Hedging of Portfolio Credit Derivatives with Interacting Default Intensities
by Rüdiger Frey of the University of Leipzig, and
Jochen Backhaus of the University of Leipzig
(360K PDF) -- 22 pages -- September 29, 2008 Interacting Defaults and Counterparty Risk: a Markovian Approach
by Rüdiger Frey of the University of Leipzig, and
Jochen Backhaus University of Leipzig
(313K PDF) -- 20 pages -- July 2003 VaR and Expected Shortfall in Portfolios of Dependent Credit Risks: Conceptual and Practical Insights
by Rüdiger Frey of the University of Zurich, and
Alexander J. McNeil of the Federal Institute of Technology
(326K PDF) -- 15 pages -- January 23, 2002 Collateralized Debt Obligations Dynamic Hedging of Synthetic CDO Tranches with Spread Risk and Default Contagion
by Rüdiger Frey of the Universität Leipzig, and
Jochen Backhaus of the Universität Leipzig
(308K PDF) -- 20pages -- December 17, 2007 Advanced Credit Portfolio Modeling and CDO Pricing
by Ernst Eberlein of the University of Freiburg,
Rüdiger Frey of the University of Leipzig, and
Ernst August von Hammerstein of the University of Freiburg
(329K PDF) -- 27 pages -- September 14, 2007 Credit Correlation Dependent Defaults in Models of Portfolio Credit Risk
by Rüdiger Frey of the University of Leipzig, and
Alexander J. McNeil of ETH Zentrum
(386K PDF) -- 27 pages -- June 16, 2003 Modelling Dependent Defaults
by Rüdiger Frey of the University of Zurich, and
Alexander J. McNeil of the Federal Institute of Technology
(490K PDF) -- 30 pages -- August 13, 2001 Other Mathematics in Financial Risk Management
by Ernst Eberlein of the Universität Freiburg,
Rüdiger Frey of the Universität Leipzig,
Michael Kalkbrener of Deutsche Bank AG, and
Ludger Overbeck of Universität Giessen
(381K PDF) -- 25 pages -- March 31, 2007 Books & Book Chapters: | Quantitative Risk Management: Concepts, Techniques, and Tools (Princeton Series in Finance)
by Alexander J. McNeil, Rudiger Frey, Paul Embrechts, Princeton University Press, (September 26, 2005), Hardcover, 608 pages |  | Credit Risk Modelling: The Cutting-edge Collection - Technical Papers published in Risk 1999-2003
by Michael Gordy (Editor), Risk Books, April 30, 2003, Hardcover, 278 pages |
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