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Publications by Markus Leippold

Are Ratings the Worst Form of Credit Assessment Except for All the Others?

Journal of Financial and Quantitative Analysis

English

Second-Order Risk of Alternative Risk Parity Strategies

Journal of Risk

English

Fundamental Theorem of Asset Pricing on Measurable Spaces Under Uncertainty

SSRN Electronic Journal

English

Optimal Importance Sampling for Credit Portfolios With Stochastic Approximation

SSRN Electronic Journal

English

Design and Estimation of Multi-Currency Quadratic Models

SSRN Electronic Journal

English

Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models

SSRN Electronic Journal

English