[1] Breuer, T., Jandacka, M. (2007), Portfolio Selection with Transaction Costs under Expected Shortfall Constraints, Computational Management Science, Volume 5, 305-316
[2] Breuer, T., Jandacka.,M. (2007), Adverse Interrisk Diversification Effects for FX Forwards, Numerical Methods for Finance, 53-62, edited by Appleby, J.A.D, Edelman, D.C., Miller, J.J.H., Published by Chapman & Hall/CRC Financial Mathematics Series
[3] Breuer, T., Jandacka, M. (working paper), Temporal Aggregation of GARCH Models: Conditional Kurtosis and Optimal Frequency, ssrn.com/abstract=967824
[4] Breuer, T., Jandacka, M., Krenn. G. (working paper), Towards an Integrated Measurement of Credit and Market Risk, www.bis.org/bcbs/events/rtf05breuer.pdf
Breuer, T., Jandacka, M., Rheinberger, K., Summer, M. (2008), Compounding Effects between Market and Credit Risk: The Case of Variable-Rate Loans, Pillar II in the New Basel Accord, The Challenge of Economic Capital, 371- 384, edited by Resti, A., Risk Books
[4] Breuer, T., Jandacka, M., Rheinberger, K., Summer, M. (2008), Hedge the Stress: Using Stress Tests to Design Hedges of Foreign Currency Loans, Stresstesting for Financial Institutions, Applications, Regulations and Techniques, 111-126, edited by Rosch, D., Scheule, H., Risk Books
[5] Breuer, T., Jandacka, M., Rheinberger, K., Summer, M. (2009), How to Find Plausible, Sever, and Useful Stress Scenarios, International Journal of Central Banking, Volume 5, Number 3 (September 2009) 205-224
[6] Breuer, T., Jandacka, M., Rheinberger, K., Summer, M. (2008), Regulatory capital for market and credit risk integration: is current regulation always conservative?, Discussion Paper Series 2: Banking and financial Studies No 14/2008
[7] Breuer, T., Jandacka, M., Rheinberger, K., Summer, M. (working paper), InterRisk Diversification Effects of Integrated Market and Credit Risk Analysis, download
[8] Breuer, T., Jandacka, M., Rheinberger, K., Summer, M. (2008), Is Current Capital Regulation Based on Conservative Risk Assessment?, Summer Financial Stability Report 15, Oestereichische Nationalbank 2008, 112-118 download
[9] Breuer, T., Jandacka, M., Rheinberger, K., Summer, M. (forthcoming 2009), Does adding up of economic capital for market- and credit risk amount to coservative risk assessment?, Journal of Banking and Finance (forthcoming 2009)
[10] Jandacka, M.,Sevcovic, D. (2005), On the risk adjusted pricing methodology based valuation of vanilla options and explanation of the volatility smile, Journal of Applied Mathematics 3, 235-258 download