Alexander von Felbert

Alexander von Felbert
  • Diplom Mathematiker
  • PhD Student at University of Mannheim

Generalized measure theory, sublinear expectation, capacities, math finance.

About

2
Publications
167
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3
Citations
Introduction
Skills and Expertise
Mathematical Statistics
Statistical Modeling
Probability
Data Analysis
R Statistical Package
Current institution
University of Mannheim
University of Mannheim
  • Lehrstuhl für Mathematik
  • Mannheim, Germany
Current position
  • PhD Student

Publications

Publications (2)
Counterparty Credit Risk in A Clearing Network
Article
  • Jun 2020
In this paper, we offer a network model that derives the expected counterparty risk of an arbitrary market after netting in a closed-form expression. Graph theory is used to represent market participants and their relationship among each other. We apply the powerful theory of characteristic functions (c.f.) and Hilbert transforms to determine the e...
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Figure 9: Contour C and the poles of φ Y (t) and 1 ω−t 5.1 Taking the...
Network Structure and Counterparty Credit Risk
Article
Full-text available
  • Apr 2015
In this paper we offer a novel type of network model, which is capable of capturing the precise structure of a financial market based, for example, on empirical findings. With the attached stochastic framework it is further possible to study how an arbitrary network structure and its expected counterparty credit risk are analytically related to eac...
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