Intrinsic Risk Measures

Research paper in the Top10 at Social Science Research Network (SSRN). The paper is called Intrinsic Risk Measures, written by Prof. Walter Farkas and Alexander Smirnow, see also here Swiss Finance Institute (SFI).

Akkurate Messung der Portfoliorisiken im Pensionskassengeschäft

The paper from Sandro Schmid and Dr. Walter Farkas can be downloaded here.

Fast methods for large-scale non-elliptical portfolio optimization

Paper by Marc Paolella in: Annals of Financial Economics, Vol. 9 (No. 2), p. 1-32, September 2014. Download here.

Honigkuchen im Portfolio Management

Paper by Walter Farkas and Sandro Schmid, published in PRIVATE 12/15: Honigkuchen im Portfolio Management.

COMFORT: A common market factor non-gaussian returns model

Paper by Marc Paolella, Pawel Polak in: Journal of Econometrics, Vol. 187 (No. 2), p. 593-605, 08/2015

Capital levels and risk-taking propensity in financial institutions

G. Barone-Adesi, W. Farkas, P. Koch-Medina:
Paper published in journal of SSRN
Accounting and Finance Research, 3 (1), 85-89, (2014)

Weniger ist im Januar meist mehr

Paper published in PRIVATE 01/15: Weniger ist im Januar meist mehr
by Walter Farkas, Sandro Schmid

Handmade Quality Products

Paper by G. Drimus, W. Farkas, E. Gourier:  in the Journal of Computational Finance, SSRN

Multivariate asset return prediction with mixture models

Multivariate asset return prediction with mixture models
by Marc Paolella in: European Journal of Finance, Vol. 21 (No. 13-14), p. 1214-1252, Januar 2015.

Quantitative Risk Management: Concepts, Techniques and Tools

Alexander McNeil (AAAccell Advisory Board), Rüdiger Frey and Paul Embrechts wrote the book “Quantitative Risk Management: Concepts, Techniques and Tools“, published by Princeton University Press (2005/2015).

A Proximity Based Macro Stress Testing Framework
by Boris Waelchli in: Dependence Modeling, 4(1) Nov. 2016

In this a paper a non-linear macro stress testing methodology with focus on early warning is developed. Download paper of Dr. Boris Wälchli here.