Von mir

List of my publications
Measuring Interest Rate Risk Using a Duration Vector
This paper uses a generalization of the duration suggested by Diebold at al. (2006) that takes the variations of the level, the slope and the curvature of the yield curve into account. Compared with other approaches that take non-parallel shifts into account the approach considered here is very intuitive as it is similar to the classical duration. A case study exemplifies that in addition to the level the risk factors slope and curvature matter.
Closed Form Solutions of Measures of Systemic Risk
This paper derives - considering a Gaussian setting - closed form solutions of the statistics that Adrian and Brunnermeier, Acharya et al. and Engle and Brownlees have suggested as measures of systemic risk to be attached to individual banks.