Matthias Scherer

Finance · 2011–2020

A researcher in the Science corpus: 3 papers; trusts 7 researchers and is trusted by 4 researchers here, as inferred from the citation graph.

Subfields

• Finance — 18 citations into it; #3,537 of 10,518 by trust here, #7,575 by citations
• Economics and Econometrics — 7 citations into it
• Statistics and Probability — 7 citations into it
• Artificial Intelligence — 5 citations into it
• Management Science and Operations Research — 5 citations into it

Whom Matthias Scherer trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. David X. Li
2. John C. Hull
3. Haijun Li
4. Alexander J. McNeil
5. Philipp J. Schönbucher
6. Paul Embrechts

Who trusts Matthias Scherer overall

1. Andrew J. Patton
2. Marius Hofert
3. Eike C. Brechmann
4. Yanqin Fan

Papers from Matthias Scherer's perspective

Ordered by how strongly the researchers Matthias Scherer trusts endorse each paper. Same corpus, a different order for every researcher.

1. Sampling nested Archimedean copulas
2. On Default Correlation: A Copula Function Approach
3. Tail Dependence Comparison of Survival Marshall–Olkin Copulas
4. Extreme value properties of multivariate t copulas
5. Quantitative Risk Management: Concepts, Techniques, and Tools
6. On the extremal dependence coefficient of multivariate distributions
7. Credit Derivatives Pricing Models: Models, Pricing and Implementation
8. An Introduction to Copulas
9. Multivariate Archimedean copulas, $d$-monotone functions and $\ell_1$-norm symmetric distributions
10. An Introduction to Probability Theory and Its Applications

Their papers

• Simulating Copulas: Stochastic Models, Sampling Algorithms and Applications (2020) — 99 citations
• CDO pricing with nested Archimedean copulas (2011) — 124 citations
• Reparameterizing Marshall–Olkin copulas with applications to sampling (2011) — 53 citations