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    Chapter

    Sensitivity analysis of credit portfolio models

    To assess the riskiness of credit-risky portfolios is one of the most challenging tasks in contemporary finance. The decision by the Basel Committee for Banking Supervision to allow sophisticated banks to use ...

    Rüdiger Kiesel, Torsten Kleinow in Applied Quantitative Finance (2002)

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    Reference Work Entry In depth

    Martingales

    Rüdiger Kiesel in International Encyclopedia of Statistical Science (2011)

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    Chapter

    Electricity Options and Additional Information

    Electricity markets feature a non-storable underlying, which implies the break down of traditional cash-and-carry arguments as well as the well-known spot-forward relationship. We introduce the notion of infor...

    Fred E. Benth, Richard Biegler-König, Rüdiger Kiesel in Quantitative Energy Finance (2014)

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    Chapter

    Climate Risk in Structural Credit Models

    This survey article reviews the current state of literature on how structural models of credit risk are employed to model the impact of climate risk on financial markets. We discuss how the two prominent types...

    Alexander Blasberg, Rüdiger Kiesel in Quantitative Energy Finance (2024)