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person:"Scaillet, Olivier"
subject:"Credit risk"
~person:"Rösch, Daniel"
~subject:"Nichtlineare Optimierung"
~subject:"Risk measure"
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Credit risk
Nichtlineare Optimierung
Risk measure
Risikomanagement
40
Risk management
29
Kreditrisiko
17
risk management
15
Nichtparametrisches Verfahren
10
Theorie
10
Theory
10
Nonparametric statistics
8
Risikomaß
8
Basel Accord
7
Basler Akkord
7
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Estimation theory
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Hedging
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Statistical distribution
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Bank risk
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Credit rating
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3
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Kreditwürdigkeit
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English
22
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Scaillet, Olivier
Rösch, Daniel
Stoja, Evarist
25
McAleer, Michael
22
Wang, Ruodu
20
Broll, Udo
18
Schuermann, Til
18
Polanski, Arnold
17
Embrechts, Paul
16
Saunders, Anthony
15
Härdle, Wolfgang
14
Mao, Tiantian
14
Rudolph, Bernd
13
Arora, Anju
12
Brigo, Damiano
12
Fabozzi, Frank J.
12
Daníelsson, Jón
11
Giudici, Paolo
11
Lucas, André
11
Pesaran, M. Hashem
11
Dowd, Kevin
10
Engle, Robert F.
10
Farkas, Walter
10
Hammoudeh, Shawkat
10
Christoffersen, Peter F.
9
Diebold, Francis X.
9
Gatzert, Nadine
9
Hurlin, Christophe
9
Jacobs, Michael <Jr.>
9
Li, Jianping
9
Olson, David L.
9
Overbeck, Ludger
9
Righi, Marcelo Brutti
9
Skoglund, Jimmy
9
Straetmans, Stefan
9
Vries, Casper G. de
9
Wu, Desheng Dash
9
Allen, David E.
8
Cai, Jun
8
Engelmann, Bernd
8
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Gottfried Wilhelm Leibniz Universität Hannover
1
International Center for Financial Asset Management and Engineering
1
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FAME research paper series
3
Cahier de recherches / Faculté des Sciences Economiques et Sociales, Hautes Etudes Commerciales, Université de Genève
2
European journal of operational research : EJOR
2
Journal of banking & finance
2
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1
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Die Bank
1
International journal of forecasting
1
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1
Journal of economic dynamics & control
1
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1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Review of derivatives research
1
Schmalenbachs Zeitschrift für betriebswirtschaftliche Forschung : ZfbF
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ECONIS (ZBW)
24
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1
Statistical and machine learning for credit and market risk management
Nagl, Maximilian
-
2022
Persistent link: https://www.econbiz.de/10012880193
Saved in:
2
Resolution of defaulted loan contracts : an empirical analysis of default resolution time and loss given default
Betz, Jennifer
-
2018
Persistent link: https://www.econbiz.de/10012198130
Saved in:
3
Backtesting marginal expected shortfall and related systemic risk measures
Banulescu-Radu, Denisa
;
Hurlin, Christophe
;
Leymarie, …
- In:
Management science : journal of the Institute for …
67
(
2021
)
9
,
pp. 5730-5754
Persistent link: https://www.econbiz.de/10012650157
Saved in:
4
Correlated default and parameter risk
Schmelzle, Martin
-
2018
Persistent link: https://www.econbiz.de/10012167010
Saved in:
5
Computing valuation adjustments for counterparty credit risk using a modified supervisory approach
Büchel, Patrick
;
Kratochwil, Michael
;
Rösch, Daniel
- In:
Review of derivatives research
23
(
2020
)
3
,
pp. 273-322
Persistent link: https://www.econbiz.de/10012303233
Saved in:
6
Credit risk analytics : measurement techniques, applications, and examples in SAS
Baesens, Bart
;
Rösch, Daniel
;
Scheule, Harald
-
2016
Persistent link: https://www.econbiz.de/10011533876
Saved in:
7
Hedging parameter risk
Claußen, Arndt
;
Rösch, Daniel
;
Schmelzle, Martin
- In:
Journal of banking & finance
100
(
2019
),
pp. 111-121
Persistent link: https://www.econbiz.de/10012162464
Saved in:
8
Systematic effects among loss given defaults and their Implications on downturn estimation
Betz, Jennifer
;
Kellner, Ralf
;
Rösch, Daniel
- In:
European journal of operational research : EJOR
271
(
2018
)
3
,
pp. 1113-1144
Persistent link: https://www.econbiz.de/10011903289
Saved in:
9
The role of model risk in extreme value theory for capital adequacy
Kellner, Ralf
;
Rösch, Daniel
;
Scheule, Harald
- In:
Journal of risk
18
(
2016
)
6
,
pp. 39-70
Persistent link: https://www.econbiz.de/10011620651
Saved in:
10
Quantifying market risk with Value-at-Risk or Expected Shortfall? : consequences for capital requirements and model risk
Kellner, Ralf
;
Rösch, Daniel
- In:
Journal of economic dynamics & control
68
(
2016
),
pp. 45-63
Persistent link: https://www.econbiz.de/10011708407
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