Thomas Breuer
Welcome > Working Papers

Working Papers


T, Breuer, M. Summer
Systematic Systemic Stress Tests
Working Paper 225, Oesterreichische Nationalbank
https://www.oenb.at/dam/jcr:f4a72b04-d343-4e00-9c4d-89bdd0bdc848/WP225.pdf

T. Breuer, M. Summer
Solvency stress testing of banks: Current practice and novel options
Report for the Sveriges Riksbank and Finansinspektionen

T. Breuer, I. Csiszár: Information geometry in mathematical finance: Model risk, worst and almost worst scenarios

T. Breuer, R. Kovacevic
Multiperiod Maximum Loss Is Time Unit Invariant

T. Breuer, I. Csiszar

T. Breuer, I. Csiszar

T. Breuer, M. Jandacka, J. Mencia, M. Summer
Banco de Espana Working Paper 1018

T. Breuer, M. Jandacka

T. Breuer, M. Jandacka, K. Rheinberger, M. Summer
T. Breuer: 

T. Breuer


T. Breuer, M. Hellrigl, M. Herburger, B. Meusburger, R. Weiskopf, F. Wilms:
Szenarioanalyse mit unvollständiger Information:
Beispiel Pflegekostenmodell Vorarlberg



Thomas Breuer, Martin Jandacka:
Adverse Inter-Risk Diversification Effects for FX Forwards


Thomas Breuer, Martin Jandacka:
Temporal Aggregation of GARCH Models: Conditional Kurtosis and Optimal Frequency
 

Thomas Breuer and Martin Jandacka:
Portfolio Selection with Transaction Costs under Expected Shortfall Constraints