Financial mathematics, Quantitative risk management, Stochastics, Financial economics
Frey, R., Kurt, K., Damian, C. (2020): How safe are european safe bonds? An analysis from the perspective of modern credit risk models. Journal of Banking and Finance 119, 1-18; this paper won the WU Best Paper Award 2021 in category 1: “quantitative-analytical or theoretical work”.
Ceci, C., Colaneri, K., Frey, R., Köck, V. (2020): Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk. SIAM Journal on Financial Mathematics 11 (3), 788-814.
Colaneri, K., Eksi-Altay, Z., Frey, R., Szölgyenyi, M. (2020): Optimal Liquidation under Partial Information with Price Impact. Stochastic Processes and their Applications 130 (4), 1913-1946.
Frey, R., Rösler, L., Lu, D. (2019): Corporate security prices in structural credit risk models with incomplete information. Mathematical Finance 29, 84-116.
Damian, C., Eksi-Altay, Z., Frey, R. (2018): EM algorithm for Markov chains observed via Gaussian noise and point process information: Theory and case studies. Statistics and Risk Modeling 35 (1-2), 51-72.
Book: McNeil, A., Frey, R., Embrechts, P. (2015): Quantitative Risk Management: Concepts, Techniques, and Tools. 2nd fully revised edition in Princeton Series in Finance. New Jersey: Princeton University Press.
VCMF 2019 - Vienna Congress on Mathematical Finance, September 9-13, 2019, WU Wien (& TU Wien, Universität Wien, Wolfgang Pauli Institute Vienna), Leader Organizing and Scientific Committee.