Thomas Breuer
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Publications


In refereed journals


Csiszár I., Breuer T.:

Expected Value Minimization in Information Theoretic Multiple Priors Models,

IEEE Transactions on Information Theory 64 (2018), 3957-3974

DOI 10.1109/TIT.2018.2827364


Kovacevic R., Breuer T.:

Maximum Loss is Time-Unit Invariant

Springer Plus, 2016: 5, 1336

DOI 10.1186/s40064-016-2959-x


Breuer T., Jandačka M., Summer M., Vollbrecht H.-J.: Endogenous Leverage and Asset Pricing in Double Auctions, Journal of Economic Dynamics and Control 02/2015; 53. DOI:10.1016/j.jedc.2015.02.004


Breuer, T.: Robustness, Validity and Significance of the ECB's Asset Quality Review and Stress Test Exercise, In-Depth Analysis provided at the request of the Economic and Monetary Affairs Committee, European Parliament Think Tank, October 2014


H.-G. Beyer, St. Finck, T. Breuer: 

Evolution on trees: On the design of an evolution strategy for scenario-based multi-period portfolio optimization under transaction costs

Swarm and Evolutionary Computation, 17, 74-87, 2014,

DOI: 10.1016/j.swevo.2014.03.002


T. Breuer, I. Csiszar: Measuring Distribution Model Risk, Mathematical Finance 26 (2016), 395-411

DOI:10.1111/mafi.12050


T. Breuer, I. Csiszar: Systematic Stress Tests with Entropic Plausibility Constraints, Journal of Banking and Finance 37 (2013), 1552-1559

http://10.1016/j.jbankfin.2012.04.013


T. Breuer, M. Jandacka, J. Mencia, M. Summer
Journal of Banking and Finance 36 (2), 332-340 

Breuer T., M. Jandacka, K. Rheinberger, M. Summer: How to find plausible, severe, and useful stress scenarios, International Joural of Central Banking 5 (2009), 205-224


Breuer T., M. Jandacka, K. Rheinberger, M. Summer: Does Adding Up of Economic Capital for Market- and Credit Risk amount to Conservative Risk Assessment?, Journal of Banking and Finance 34 (2010), 703-712 

Breuer T.: Overcoming dimensional dependence of Maximum Loss, Journal of Risk 11(1), 79-92 (2008)

Breuer T., Jandacka M.: Portfolio Selection with Transaction Costs under Expected Shortfall Constraints, Computational Management Science, 5 (2008), 305-316, http://link.springer.com/content/pdf/10.1007%2Fs10287-007-0055-y  

Breuer T.:  Providing against the Worst: Risk Capital for Worst Case Scenarios, Managerial Finance 32 (2006), 716-730

Breuer T.: Another No-go Theorem for Hidden Variable Models, Philosophy of Science 70 (2003), 1368-1379

Breuer T.: Kochen-Specker Theorem for Finite Precision Spin 1-Measurements, Physical Review Letters, 88 (2002), 240402

Breuer T.: How the Classical Pointer Moves, International Journal of Theoretical Physics, 37 (1998), 235-240

Breuer T.: Universell und unvollständig: Theorien über alles?, Philosophia Naturalis 34 (1997), 1-20

Breuer T.: Ignorance of the Own Past, Erkenntnis 48 (1998), 39-46

Breuer T.: What Theories of Everything Don't Tell, Studies in the History and Philosophy of Modern Physics 28 (1997), 137-143

Breuer T.: Subjective Decoherence in Quantum Measurements, Synthese 107 (1996), 1-17

Breuer T.: Extension of Covariant POV-Measures in von Neumann Algebras, International Journal of Theoretical Physics 34 (1995), 1247-1254

Breuer T.: The impossibility of exact state self-measurements, Philosophy of Science 62 (1995), 197-214

Breuer T.: The simultaneous sharp measurability of position and momentum in infinite quantum systems, Physical Review A 50 (1994), 4565-4571

Breuer T.: Inaccurate measurements and environment-induced superselection rules, International Journal of Theoretical Physics 32 (1993), 2253-2259

Breuer T., Amann A., Landsman N. P.: Robustness in quantum measurements, Journal of Mathematical Physics 34 (1993), 5441-5450

Breuer T.: Inaccurate measurements can only be described by a classical pointer, Physics Letters A 168 (1992), 233-237


In edited volumes

Breuer T. (2019): Finanzderivate und Agrar-Preisschwankungen: Gleichgewicht und Selbstreferenz, 66-84 in T. Heinemann (ed.): Recht auf Leben. Recht auf Nahrung?, Verlag Karl Alber

Csiszar I., Breuer T. (2015): An Information Theory Problem in Mathematical Finance, 435-443 in: Frank Nielsen, Frederic Barbaresco (eds.): Geometric Science of Information. GSI 2015, Lecture Notes in Computer Science vol. 9389, Springer

Breuer T (2012): A Gödel-Turing Perspective on Quantum States Indistinguishable from Inside, 605-616 in H. Zenil (ed.): A Computable Universe, World Scientific (2013)

Breuer, T.; Jandacka, M.; Rheinberger, K. & Summer, M. (2008): Compounding effects between market and credit risk: The case of variable rate loans. 371-384 in: A. Resti (ed.): The Second Pillar in Basel II and the Challenge of Economic Capital, Risk Books, 2008

Breuer T., M. Jandacka, K. Rheinberger, M. Summer: Wird das Portfoliorisiko nach den derzeitigen Eigenkapitalvorschriften unterbewertet? Financial Stability Report 15, 123-129, Oesterreichsiche Nationalbank (2008)

T. Breuer, M. Jandacka, K. Rheinberger, M. Summer: Hedge the Stress. Using Stress Tests to Design Hedges for Foreign Currency Loans, 111-126 in: D. Rösch, H.  Scheule (eds.): Stress-testing for Financial Institutions – applications, regulations and techniques, Risk Books, 2008

T. Breuer, M. Jandacka: Adverse Interrisk Diversification Effects for FX-Forwards, 53-62 in J. A. D. Appleby, D. C. Edelman, J. J. H. Miller: Numerical Methods for Finance, Chapman & Hall, 2008

S. Bhulai, T. Breuer, E. Cator, F. Dekkers (2006):
Optimal Weighing Schemes, 85-94 in J. Hulshof (ed.): Proceedings of the fifity-second European Study Group with Industry, CWI Syllabus 55, Amsterdam: Centrum voor Wiskunde en Informatica

T. Breuer, A. Juen, H.-J. Vollbrecht (2006): Der Einsatz vagen Wissens in komplexen Entscheidungssituationen, 307 – 332 in W. E. P. Wilms (ed.): Szenariotechniken, Bern: Haupt

F. Pistovcak, T. Breuer (2004), Using Quasi Monte Carlo-Scenarios in Risk Management, 379-392 in H. Niederreiter (ed.): Monte Carlo and Quasi-Monte Carlo-Methods 2002, Berlin: Springer

Breuer T. (2003), Determinism and Kochen-Specker Theorems for Inaccurate Measurements, 19-37 in A. Hüttemann (ed.): Determinism in the Physical and Biological Sciences, Paderborn: Mentis

Breuer T., Krenn G., Pistovcak F. (2002), Stress Tests, Maximum Loss, and Value at Risk, 301-314 in B. Britzelmaier, S. Geberl, M. Menichetti, H.-R. Kaufmann (eds.): Regulierung oder Deregulierung der Finanzmärkte: Strategieimplikationen für Finanzdienstleister, Physica-Verlag (Springer)

Breuer T. (2001): A Kochen Specker Theorem for Unsharp Spin 1 Observables, in J. Butterfield, T. Placek (eds.): Modality, Probability, and Bell’s Theorem, NATO Advanced Study Series, Dordrecht: Kluwer

Breuer T. (2001): Kausalität – Entscheidung – Handlung, 35-52 in M. Lehner, F. E. P. Wilms (eds.): Problemsituationen als Gefüge von Wirkungen, Wissenschaftlicher Verlag Berlin, Berlin

Breuer T., Krenn G. (2001): What is a plausible stress scenario?, 215-221 in L. Kuncheva et al. (eds.): Computational Intelligence: Methods and Applications, ICSC Academic Press

Breuer T.: Limits to Self-Observation, in M. Carrier, L. Ruetsche, G. Massey (eds.): Science at Century’s End: Philosophical Questions on the Progress and Limits of Science, Pittsburgh & Konstanz. University of Pittsburgh Press & Universitätsverlag Konstanz

Breuer T.: Universal Causation and Predictability, pp. 163-173 in W. Spohn, M. Ledwig, M. Esfeld (eds.): Current Issues in Causation, Paderborn: Mentis, 2000

Breuer T.: Von Neumann, Gödel, and Quantum Incompleteness, in M. Rédei, M. Stöltzner (eds): John von Neumann on the Foundations of Quantum Physics, Vienna Circle Institute Yearbook 8 (2000), Dordrecht: Kluwer

Breuer T.: Quantisation by Systems of Covariance in von Neumann algebras, in A. Strasburger, S.T. Ali, J.-P. Antoine, A. Odzijewicz (eds.): Quantisation, Coherent States, and Poisson Structures, Warsaw: PWN, 1999

Breuer T., Krenn G.: Reliving Past Crises: Identifying Stress Scenarios from Historical Data, The Third International Stockholm Seminar on Risk Behaviour and Risk Management 1999, Complementary Papers, 111-119

Breuer T.: Macroscopic Limit of the Uncertainty Relations, pp. 677-680 in D. Han, J. Janszky, Y. S. Kim, V. 1. Man'ko (eds): Fifth International Conference on Squeezed States and Uncertainty Relations, NASA Conference Proceedings 1998- 206855, Greenbelt MD: NASA

Breuer T.: Steven Weinberg: The Quantum Theory of Fields, Vol: 11: Modern Applications, Physikalische Blätter 53 (1997), 1033-1034

Breuer T.: Martin Carrier: The Completeness of Scientific Theories, pp. 424-429, in W. Leinfellner, E. Köhler (eds.). Game Theory, Experience, Rationality. Vienna Circle Institute Yearbook 5 (1997), Dordrecht: Kluwer

Breuer T.: Theorien über alles - Ein Fall für Gödel?, pp. 114-118 in A. Schramm (ed.): Philosophie in Österreich 1996, Wien: Hölder-Pichler-Tempsky, 1996

Breuer T.: Kurt Gödel met John von Neumann: Undecidable Statements in Quantum Mechanics, pp. 159-170 in M. Dalla Chiara, R. Giuntini, F. Laudisa (eds.): Philosophy of Science in Florence 1995, Dordrecht: Kluwer

Breuer T.: Covariant POV-measures in W*-dynamical systems, pp. 393-399 in V. B. Belavkin, 0. Hirota, R. L. Hudson (eds.): Quantum Communication and Measurement, New York: Plenum, 1994

Breuer T., Amann A., Landsman N. P.: Disjoint final states in robust quantum measurements, pp. 118-124 in P. Busch, P. Lahti, P. Mittelstaedt (eds.): Proceedings of the Sym-posium on the Foundations of Modern Physics, Singapore: World Scientific, 1993

Breuer T.: Wittgenstein for Algebraists. Realism and Objects in Modern Physics, pp. 397-401 in P. Weingartner, G. Schurz (eds.): Proceedings of the 13th InternationalWittgenstein Symposium, Wien: Hölder-Pichler-Tempsky, 1989

Breuer T.: Ein Versuch über die Evolutionäre Erkenntnistheorie, pp. 293-299 in P. Feyerabend, C. Thomas (eds.): Leben mit den acht Todsünden der zivilisierten Menschheit, Zürich: VdF, 1987


Books, Monographs, Degree Work

Breuer T., Krenn G. (1999): Stress Testing, Guidelines on Market Risk, Volume 5, Oesterreichische Nationalbank

Breuer T.: Universalität und Unvollständigkeit: Die Grenzen Physikalischer Theorien, Habilitationsschrift, Universität Salzburg, 1998

Breuer T.: Quantenmechanik - Ein Fall für Gödel?, Heidelberg: Spektrum Akademischer Verlag, 1997

Breuer T.: Classical Observables, Measurement, and Quantum Mechanics, Dissertation, University of Cambridge, 1994



Other

Breuer T. (2017): What conclusions can be drawn from the EBA 2016 Market Risk Benchmarking Exercise?, Requested by the European Parliament's Economic and Monetary Affairs Committee, http://www.europarl.europa.eu/RegData/etudes/IDAN/2017/602103/IPOL_IDAN(2017)602103_EN.pdf

Breuer T. (2015): Capital Shortfalls in SSM Banks: How much Progress has been Made?, Requested by the European Parliament's Economic and Monetary Affairs Committee, 

Breuer T. (2014): Robustness, Validity and Significance of the ECB's Asset Quality Review and Stress Test Exercise , Requested by the European Parliament's Economic and Monetary Affairs Committee   
DOI: 10.13140/2.1.2004.9606

Breuer, T.; Csiszar I. (2009): If worst comes to worst: Systematic Stress Tests with discrete and other non-normal distributions, I.VW Management-Information 3.2009, 7-12