Matthias Scherer

Prof. Dr. rer. nat.

20092024

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  • 2017

    One-factor lévy-frailty copulas with inhomogeneous trigger rates

    Engel, J., Scherer, M. & Spiegelberg, L., 2017, Soft Methods for Data Science. Vantaggi, B., Ferraro, M. B., Giordani, P., Gil, M. Á., Gagolewski, M., Grzegorzewski, P. & Hryniewicz, O. (eds.). Springer Verlag, p. 205-212 8 p. (Advances in Intelligent Systems and Computing; vol. 456).

    Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

    2 Scopus citations
  • 2016

    FVA and electricity bill valuation adjustment—much of a difference?

    Brigo, D., Fries, C. P., Hull, J., Scherer, M., Sommer, D. & Werner, R., 2016, Innovations in Derivatives Markets - Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation. Grbac, Z., Glau, K., Scherer, M. & Zagst, Z. (eds.). Springer New York LLC, p. 147-168 22 p. (Springer Proceedings in Mathematics and Statistics; vol. 165).

    Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

    Open Access
  • 2015

    A survey of dynamic representations and generalizations of the Marshall–Olkin distribution

    Bernhart, G., Fernández, L., Mai, J. F., Schenk, S. & Scherer, M., 2015, Marshall–Olkin Distributions - Advances in Theory and Applications. Durante, F., Cherubini, U. & Mulinacci, S. (eds.). Springer New York LLC, p. 1-13 13 p. (Springer Proceedings in Mathematics and Statistics; vol. 141).

    Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

    4 Scopus citations
  • A Two-sided BNS model for multicurrency FX Markets

    Bannör, K. F., Scherer, M. & Schulz, T., 2015, Innovations in Quantitative Risk Management, 2013. Glau, K., Scherer, M. & Zagst, R. (eds.). Springer New York LLC, p. 93-107 15 p. (Springer Proceedings in Mathematics and Statistics; vol. 99).

    Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

    Open Access
    1 Scopus citations
  • Implied Recovery Rates—Auctions and models

    Höcht, S., Kunze, M. & Scherer, M., 2015, Innovations in Quantitative Risk Management, 2013. Glau, K., Scherer, M. & Zagst, R. (eds.). Springer New York LLC, p. 147-162 16 p. (Springer Proceedings in Mathematics and Statistics; vol. 99).

    Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

    Open Access
    2 Scopus citations
  • Innovations in Quantitative Risk Management

    Glau, K., Scherer, M. & Zagst, R., 2015, Innovations in Quantitative Risk Management, 2013. Glau, K., Scherer, M. & Zagst, R. (eds.). Springer New York LLC, (Springer Proceedings in Mathematics and Statistics; vol. 99).

    Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

    Open Access
    1 Scopus citations
  • The mean of Marshall–Olkin-dependent exponential random variables

    Fernández, L., Mai, J. F. & Scherer, M., 2015, Marshall–Olkin Distributions - Advances in Theory and Applications. Durante, F., Cherubini, U. & Mulinacci, S. (eds.). Springer New York LLC, p. 33-50 18 p. (Springer Proceedings in Mathematics and Statistics; vol. 141).

    Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

    Open Access
    2 Scopus citations
  • 2014

    Simulating from the Copula that Generates the Maximal Probability for a Joint Default Under Given (Inhomogeneous) Marginals

    Mai, J. F. & Scherer, M., 2014, Topics in Statistical Simulation - Research Papers from the 7th International Workshop on Statistical Simulation. Melas, V. B., Mignani, S. & Monari, P. (eds.). Springer New York LLC, p. 333-341 9 p. (Springer Proceedings in Mathematics and Statistics; vol. 114).

    Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

    6 Scopus citations
  • 2013

    An analytical characterization of the exchangeable wide-sense geometric law

    Mai, J. F., Scherer, M. & Shenkman, N., 2013, Synergies of Soft Computing and Statistics for Intelligent Data Analysis. Springer Verlag, p. 331-340 10 p. (Advances in Intelligent Systems and Computing; vol. 190 AISC).

    Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

    1 Scopus citations