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Breuer, Thomas (12)
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Department of Computer Science (Ende 2021 aufgelöst; Integration in die übergeordnete OE Technik) (12)
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English (12)
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Keywords
convex integral functional
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Bregman distance
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I-divergence
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Model risk
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Multiple priors
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Relative entropy
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f-divergence
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maximum entropy principle
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Algorithm Analysis and Problem Complexity
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Almost worst case densities
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Evolution on trees. On the design of an evolution strategy for scenario-based multi-period portfolio optimization under transaction costs
(2014)
Beyer, Hans-Georg
;
Finck, Steffen
;
Breuer, Thomas
An information geometry problem in mathematical finance
(2015)
Csiszar, Imre
;
Breuer, Thomas
Information geometry in mathematical finance. Model risk, worst and almost worst scenarios
(2013)
Breuer, Thomas
;
Csiszar, Imre
A systematic approach to multi-period stress testing of portfolio credit risk
(2012)
Breuer, Thomas
;
Jandačka, Martin
;
Mencía, Javier
;
Summer, Martin
Stress tests. From arts to science
(2010)
Breuer, Thomas
;
Csiszar, Imre
Temporal aggregation of GARCH models. Conditional kurtosis and optimal frequency
(2010)
Breuer, Thomas
;
Jandacka, Martin
Measuring distribution model risk. Veröffentlichungsdatum Web: 9 October 2013
(2016)
Breuer, Thomas
;
Csiszar, Imre
Robust risk management under model uncertainty
(2010)
Breuer, Thomas
;
Csiszar, Imre
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 Commitee
(2014)
Breuer, Thomas
Capital shortfalls in SSM banks. How much progress has been made? In-depth analysis. Provided at the request of the Economic and Monetary Affairs Commitee
(2015)
Breuer, Thomas
The interaction dynamics between market and credit risk
(2011)
Breuer, Thomas
;
Jandacka, Martin
;
Puhr, Rainer
;
Rheinberger, Klaus
;
Seeger, Markus
What conclusions can be drawn from the EBA 2016 Market Risk Benchmarking Exercise? Banking Union Scrutiny. In-depth analysis. Requested by the ECON committee
(2017)
Breuer, Thomas
1
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