Dr. Rudi Schäfer
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Eine kurze Liste meiner wichtigsten Publikationen und Working Papers. Eine vollständige Liste ist auf dieser Seite zu finden.


R. Schäfer, A.F.R. Koivusalo and T. Guhr
Credit Portfolio Risk and Diversification

invited contribution in:

Credit Securitisations and Derivatives - Challenges for the Global Markets (The Wiley Finance Series)
D. Rösch and H. Scheule (Eds.)
John Wiley & Sons, New York
(Publication Date: April 2013)

R. Schäfer and A.F.R. Koivusalo
Dependence of defaults and recoveries in structural credit risk models
Economic Modelling 30, 1-9 (2013)

A.F.R. Koivusalo and R. Schäfer
Calibration of structural and reduced-form recovery models
Journal of Credit Risk 8(4), 31-51 (2012) ,    preprint on DefaultRisk.com

A. Becker, A.F.R. Koivusalo and R. Schäfer
Empirical Evidence for the Structural Recovery Model
preprint on DefaultRisk.com

M.C. Münnix, T. Shimada, R. Schäfer, F. Leyvraz, T.H. Seligman, T. Guhr and H.E. Stanley
Identifying States of a Financial Market
Scientific Reports 2 : 644 (2012)

M.C. Münnix, R. Schäfer and T. Guhr
A Random Matrix Approach on Credit Risk
preprint on DefaultRisk.com

M.C. Münnix and R. Schäfer
A Copula Approach on the Dynamics of Statistical Dependencies in the US Stock Market
Physica A 390, 4251 (2011)

R. Schäfer and T. Guhr
Local normalization: Uncovering correlations in non-stationary financial time series
Physica A 389, 3856 (2010)

R. Schäfer, N. F. Nilsson and T. Guhr
Power mapping with dynamical adjustment for improved portfolio optimization
Quantitative Finance 10, 107 - 119 (2010)

R. Schäfer, M. Sjölin, A. Sundin, M. Wolanski and T. Guhr
Credit risk - A structural model with jumps and correlations
Physica A 383, 533 (2007) , preprint on DefaultRisk.com


R. Schäfer, U. Kuhl and H.-J. Stöckmann
Directed emission from a dielectric microwave billiard with quadrupolar shape
New Journal of Physics 8, 46 (2006)

R. Schäfer, H.-J. Stöckmann, T. Gorin and T. H. Seligman
Experimental verification of fidelity decay: From perturbative to Fermi golden rule regime
Phys. Rev. Lett. 95, 184102 (2005)

H.-J. Stöckmann and R. Schäfer
Fidelity Recovery in Chaotic Systems and the Debye-Waller Factor
Phys. Rev. Lett. 94, 244101 (2005)

R. Schäfer
Correlation functions and fidelity decay in chaotic systems
Ph. D. thesis (Dec. 2004)

R. Schäfer, T. Gorin, T. H. Seligman and H.-J. Stöckmann
Correlation functions of scattering matrix elements in microwave cavities with strong absorption
Journal of Physics A 36, 3289 (2003)