Rüdiger Frey

Re­search In­terests

Fin­an­cial mathem­at­ics, Quant­it­at­ive risk man­age­ment, Stochastics, Fin­an­cial eco­nom­ics

Se­lec­ted Pub­lic­a­tions

• 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.

Con­fer­ences

• 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.