Christoph Frei

University of Alberta - Department of Mathematical and Statistical Sciences

Professor

Edmonton, Alberta T6G 2G1

Canada

http://www.math.ualberta.ca/~cfrei/

SCHOLARLY PAPERS

14

DOWNLOADS

1,749

SSRN CITATIONS

16

CROSSREF CITATIONS

22

Scholarly Papers (14)

1.

Principal Trading Arrangements: When Are Common Contracts Optimal?

Management Science, Forthcoming
Number of pages: 56 Posted: 24 May 2018 Last Revised: 14 Feb 2021
Markus Baldauf, Christoph Frei and Joshua Mollner
University of British Columbia (UBC) - Division of Finance, University of Alberta - Department of Mathematical and Statistical Sciences and Northwestern University - Kellogg School of Management
Downloads 417 (91,630)
Citation 3

Abstract:

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benchmark manipulation, dealer-client agency conflict, front-running, principal trading, volume-weighted average price (VWAP)

2.

Principal Trading Arrangements: Optimality under Temporary and Permanent Price Impact

Number of pages: 71 Posted: 18 Feb 2021 Last Revised: 01 Nov 2021
Markus Baldauf, Christoph Frei and Joshua Mollner
University of British Columbia (UBC) - Division of Finance, University of Alberta - Department of Mathematical and Statistical Sciences and Northwestern University - Kellogg School of Management
Downloads 166 (231,562)
Citation 1

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agency conflict, dealer-client relationship, principal trading, price impact

3.

Managing Counterparty Risk in OTC Markets

FEDS Working Paper No. 2017-083
Number of pages: 42 Posted: 07 Sep 2017 Last Revised: 29 Apr 2020
Christoph Frei, Agostino Capponi and Celso Brunetti
University of Alberta - Department of Mathematical and Statistical Sciences, Columbia University and Board of Governors of the Federal Reserve System
Downloads 166 (231,562)

Abstract:

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Over-the-counter markets, Conterparty concentration, Counterparty risk, Negative externalities

4.

How Wall Street's 'Dirty Little Secret' Affects Investor Portfolios

Number of pages: 13 Posted: 03 Jul 2021 Last Revised: 11 Jan 2022
Christoph Frei and Liam Welsh
University of Alberta - Department of Mathematical and Statistical Sciences and University of Alberta - Department of Mathematical and Statistical Sciences
Downloads 163 (235,066)

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Portfolio Allocation, ETFs, Mutual Funds, Capital Gains Tax

Moment Estimators for Autocorrelated Time Series and Their Application to Default Correlations

Journal of Credit Risk 14 (2018), 1-29
Number of pages: 25 Posted: 10 May 2017 Last Revised: 19 Mar 2018
Christoph Frei and Marcus Wunsch
University of Alberta - Department of Mathematical and Statistical Sciences and UBS AG
Downloads 154 (247,089)

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autocorrelation, credit risk, latent asset return correlation, method of moments

Moment Estimators for Autocorrelated Time Series and Their Application to Default Correlations

Journal of Credit Risk, Vol. 14, No. 1, 2018
Number of pages: 30 Posted: 16 Mar 2018
Christoph Frei and Marcus Wunsch
University of Alberta - Department of Mathematical and Statistical Sciences and Zurich University of Applied Sciences (ZHAW)
Downloads 2 (835,617)
Citation 4
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autocorrelation, credit risk, latent asset return correlation, method of moments (MoM), bias correction.

6.

Systemic Influences on Optimal Equity-Credit Investment

Management Science, Forthcoming
Number of pages: 40 Posted: 31 Jan 2015 Last Revised: 08 Jan 2016
Agostino Capponi and Christoph Frei
Columbia University and University of Alberta - Department of Mathematical and Statistical Sciences
Downloads 155 (245,210)
Citation 2

Abstract:

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systemic risk, credit risk, mixed equity-credit strategies, calibration

7.

Optimal Execution in Hong Kong Given a Market-on-Close Benchmark

Quantitative Finance 18 (2018), 655-671
Number of pages: 29 Posted: 12 Jun 2015 Last Revised: 12 Mar 2018
Christoph Frei and Nicholas Westray
University of Alberta - Department of Mathematical and Statistical Sciences and Courant Institute of Mathematical Sciences
Downloads 148 (254,750)

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Optimal trade execution, Hong Kong Exchange, median benchmark, algorithmic trading

8.

Optimal Closing Benchmarks

Finance Research Letters 40 (2021), 101674
Number of pages: 14 Posted: 09 Oct 2019 Last Revised: 26 Apr 2021
Christoph Frei and Joshua Mitra
University of Alberta - Department of Mathematical and Statistical Sciences and University of Alberta - Department of Mathematical and Statistical Sciences
Downloads 126 (288,542)

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benchmark stability, closing auction, volume weighted average price, VWAP

9.

The Success of Cannabis Legalization: Evidence from Banking Transactions

Number of pages: 20 Posted: 13 Sep 2021 Last Revised: 27 Dec 2021
Bohdan Horak and Christoph Frei
University of Alberta - Department of Mathematical and Statistical Sciences and University of Alberta - Department of Mathematical and Statistical Sciences
Downloads 79 (391,847)

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cannabis legalization, recreational cannabis, black market, marijuana

10.

Traditional and Digital Currencies in Over-the-Counter Markets

Number of pages: 43 Posted: 28 Jan 2021 Last Revised: 10 May 2021
Christoph Frei and Qianhong Huang
University of Alberta - Department of Mathematical and Statistical Sciences and University of Alberta - Department of Mathematical and Statistical Sciences
Downloads 71 (415,887)

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digital currency, payment systems, over-the-counter markets, stablecoins, central bank digital currency

11.

Dynamic Contracting: Accidents Lead to Nonlinear Contracts

SIAM Journal of Financial Mathematics, Forthcoming
Number of pages: 28 Posted: 12 Aug 2015 Last Revised: 15 Aug 2015
Agostino Capponi and Christoph Frei
Columbia University and University of Alberta - Department of Mathematical and Statistical Sciences
Downloads 46 (509,807)
Citation 1

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principal agent problems, optimal contracts, accident risk, moral hazard

12.

Recent Regulation in Credit Risk Management: A Statistical Framework

Risks (2019) 7, 40 DOI:10.3390/risks7020040
Number of pages: 19 Posted: 14 May 2019
Logan Ewanchuk and Christoph Frei
University of Alberta - Department of Mathematical and Statistical Sciences and University of Alberta - Department of Mathematical and Statistical Sciences
Downloads 45 (514,230)

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credit risk, risk modelling, IFRS 9, expected credit loss, early recognition, income volatility

13.

A New Approach to Risk Attribution and its Application in Credit Risk Analysis

Risks (2020) 8, 65 DOI:10.3390/risks8020065
Number of pages: 13 Posted: 10 Feb 2021
Christoph Frei
University of Alberta - Department of Mathematical and Statistical Sciences
Downloads 11 (726,637)

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risk attribution; risk allocation; credit risk; Euler principle; risk factors

14.

Optimal Execution of a VWAP Order: A Stochastic Control Approach

Mathematical Finance, Vol. 25, Issue 3, pp. 612-639, 2015
Number of pages: 28 Posted: 05 Jun 2015
Christoph Frei and Nicholas Westray
University of Alberta - Department of Mathematical and Statistical Sciences and Deutsche Bank AG
Downloads 0 (829,731)
Citation 4
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Abstract:

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optimal trade execution, VWAP, HJB equation, gamma bridge