| Quantitative risk management: concepts, techniques and tools-revised edition AJ McNeil, R Frey, P Embrechts Princeton university press, 2015 | 7703 | 2015 |
| Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach AJ McNeil, R Frey Journal of empirical finance 7 (3-4), 271-300, 2000 | 2596 | 2000 |
| Dependent defaults in models of portfolio credit risk R Frey, AJ McNeil Journal of Risk 6, 59-92, 2003 | 494 | 2003 |
| VaR and expected shortfall in portfolios of dependent credit risks: conceptual and practical insights R Frey, AJ McNeil Journal of banking & finance 26 (7), 1317-1334, 2002 | 319 | 2002 |
| Modelling dependent defaults R Frey, AJ McNeil ETH Zurich, 2001 | 307 | 2001 |
| Market volatility and feedback effects from dynamic hedging R Frey, A Stremme Mathematical finance 7 (4), 351-374, 1997 | 306 | 1997 |
| Copulas and credit models R Frey, AJ McNeil, M Nyfeler Risk 10 (111114.10), 2001 | 260 | 2001 |
| Perfect option hedging for a large trader R Frey Finance and Stochastics 2, 115-141, 1998 | 230 | 1998 |
| Derivative asset analysis in models with level-dependent and stochastic volatility R Frey Discussion Paper Serie B, 1997 | 173 | 1997 |
| A nonlinear filtering approach to volatility estimation with a view towards high frequency data R Frey, WJ Runggaldier International Journal of Theoretical and Applied Finance 4 (02), 199-210, 2001 | 153 | 2001 |
| Risk management for derivatives in illiquid markets: A simulation study R Frey, P Patie Advances in finance and stochastics: essays in honour of Dieter Sondermann …, 2002 | 144 | 2002 |
| Bounds on European option prices under stochastic volatility R Frey, CA Sin Mathematical Finance 9 (2), 97-116, 1999 | 126 | 1999 |
| Pricing and hedging of portfolio credit derivatives with interacting default intensities R Frey, J Backhaus International Journal of Theoretical and Applied Finance 11 (06), 611-634, 2008 | 124 | 2008 |
| Market illiquidity as a source of model risk in dynamic hedging R Frey Model Risk, 125-136, 2000 | 122 | 2000 |
| Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach R Frey Journal of Empirical Finance 7, 271-300, 2000 | 105 | 2000 |
| Risk Minimization with Incomplete Information in a Model for High‐Frequency Data R Frey Mathematical Finance 10 (2), 215-225, 2000 | 87 | 2000 |
| Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering R Frey, T Schmidt Finance and Stochastics 16, 105-133, 2012 | 85 | 2012 |
| Portfolio credit risk models with interacting default intensities: a Markovian approach R Frey, J Backhaus Preprint, University of Leipzig, 2004 | 76 | 2004 |
| Pricing credit derivatives under incomplete information: a nonlinear-filtering approach R Frey, W Runggaldier Finance and Stochastics 14 (4), 495-526, 2010 | 71 | 2010 |
| Portfolio optimization under partial information with expert opinions R Frey, A Gabih, R Wunderlich International Journal of Theoretical and Applied Finance 15 (01), 1250009, 2012 | 67 | 2012 |
