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A short list of my most relevant publications.
For a full list please click here.

Market states

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)

D. Chetalova, R. Schäfer and T. Guhr
Zooming into market states
preprint: arXiv:1406.5386

M.C. Münnix, R. Schäfer and O. Grothe
Estimating correlation and covariance matrices by weighting of market similarity
Quantitative Finance, 14, 931-939 (2014)

T.A. Schmitt, D. Chetalova, R. Schäfer and T. Guhr
Non-Stationarity in Financial Time Series and Generic Features
Europhysics Letters 103, 58003 (2013)

Credit risk

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)

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

M.C. Münnix, R. Schäfer and T. Guhr
A Random Matrix Approach on Credit Risk
PLOS ONE, 9, e98030 (2014)

T.A. Schmitt, D. Chetalova, R. Schäfer and T. Guhr
Credit risk and the instability of the financial system: An ensemble approach
Europhysics Letters 105, 38004 (2014)

Copulas and correlations

M. Wollschläger and R. Schäfer
Empirical dependencies of daily stock returns: A copula study
submitted for publication, available on request

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)