Dr. Rafael Schmidt
Kontakt: rafael.schmidt
uni-koeln.de
Research Interest:
Multivariate statistics
Dependence modelling (Copula theory)
Levy/Jump diffusion processes
Nonparametric statistics
Multivariate extreme value theory
Credit/Equity risk modelling
Risk based pricing
Industrial research Projects
Publikations:
- "Modelling dynamic portfolio risk using risk drivers of elliptical processes". 2007,
Insurance: Mathematics and Economics (to appear), jointly with C. Schmieder.
''Multivariate Conditional Versions of Spearman's Rho and Related Measures of Tail Dependence''. 2007,
The Journal of Multivariate Analysis 98, 1123-1140, jointly with F. Schmid [pdf]
- "Future life expectancy in Australia, Europe, Japan and North America". 2007,
The Journal of Population Research (to appear), jointly with E. Bomsdorf, B. Babel.
''Nonparametric Inference on Multivariate Versions of Blomqvist's Beta and Related Measures of Tail Dependence''. 2007,
Metrika (to appear), jointly with F. Schmid [pdf]
''On the Asymptotic Behavior of Spearman's Rho and Related Multivariate Extensions''. 2007,
Statistics and Probability Letters 77, 407–416, jointly with F. Schmid [pdf]
''Forecasting German mortality using panel data procedures''. 2007,
Journal of Population Economics (to appear), jointly with B. Babel, B. Bomsdorf [pdf]
''Bootstrapping Spearman's Multivariate Rho''. 2006,
Proc. Compstat 06, p. 759--766. jointly with F. Schmid, [pdf]
''Non-parametric estimation of tail dependence''. 2006,
Scandinavian Journal of Statistics, 33, 307--335, jointly with U. Stadtmüller [pdf]
''Multidimensional data modelling with generalized hyperbolic distributions''. 2006,
Journal of Computational Statistics and Data Analysis. 50, 2065-2096, Jointly with T. Hrycej, E. Stützle [pdf]
''Estimating the tail dependence coefficient''. 2005
Insurance: Mathematics and Economics. 37, 80-100. Jointly with G. Frahm, M. Junker, [pdf]
''High-Frequency Data - Interplay between distributional and temporal dependence''. 2005, in From
Stochastic Analysis to Mathematical Finance - Festschrift for A.N. Shiryaev (eds. Y. Kabanov and R. Lipster),
Springer Verlag, New York, (in print), jointly with N. Bingham.
''Tail dependence''. 2005 in
Statistical tools in finance and insurance (eds. P. Cizek, W. Härdle, and R. Weron), Springer Verlag New York. [pdf]
''Dependence Modelling in Finance: The copula concept''. 2004, in
Structured Credit Products - Pricing, Rating, Risk Management and Basel II (ed. W. Perraudin),
Risk Books, London, jointly with R. Kiesel.
''Semi-parametric modelling in finance''. 2003,
Quantitative Finance. 3 (6), 426-441. jointly with N. Bingham, R. Kiesel [pdf]
''Credit risk modelling and estimation via elliptical copulae''. 2003, in
Credit Risk: Measurement, Evaluation and Management (eds. G. Bohl, G. Nakhaeizadeh,
S.T. Rachev, T. Ridder and K.H. Vollmer), Physica Verlag Heidelberg, 267-289. [pdf]
''Tail dependence for elliptically contoured distributions''. 2002,
Math. Methods of Operations Research. 2002, 55 (2), 301-327. [pdf]
''Measuring Large Comovements in Financial Markets. 2006,
submitted, jointly with J. Penzer, F. Schmid.
''Future trends and dynamics of the occurrence of Down's Syndrome and Stillbirths''. 2006,
submitted. jointly with B. Babel, E. Bomsdorf.
''Mortality Maps based on Spatial Extrapolation''. 2006,
submitted, jointly with B. Babel, S. Eckel, V. Schmidt.
''Schur Unimodality of Distributions''. 2006,
submitted, jointly with R. Theodorescu.
''Dependencies of extreme events in finance - Modelling, statistics, and data analysis''. 2003,
Dissertation University of Ulm. 2003 [pdf]