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~person:"He, Zhiguo"
~person:"Rösch, Daniel"
~person:"Welzel, Peter"
~subject:"Basler Eigenkapitalvereinbarung <2001>"
~subject:"Kreditrisiko"
~subject:"Theory"
~type:"article"
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Basler Eigenkapitalvereinbarung <2001>
Kreditrisiko
Theory
Credit risk
49
Theorie
20
Basel Accord
16
Basler Akkord
16
Risikomanagement
13
Credit rating
12
Insolvency
12
Insolvenz
12
Kreditwürdigkeit
12
Risk management
12
Bank lending
9
Kreditgeschäft
9
Derivat
8
Derivative
8
Forecasting model
7
Portfolio selection
7
Portfolio-Management
7
Prognoseverfahren
7
Estimation
6
Hypothek
6
Mortgage
6
Schätzung
6
Business cycle
5
Konjunktur
5
Loss
5
Verlust
5
Credit derivative
4
Hedging
4
Korrelation
4
Kreditderivat
4
Securitization
4
Verbriefung
4
Asset-Backed Securities
3
Asset-backed securities
3
CAPM
3
Corporate bond
3
Correlation
3
Credit
3
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Undetermined
27
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Article
Book / Working Paper
55
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Article in journal
48
Aufsatz in Zeitschrift
48
Conference paper
1
Konferenzbeitrag
1
Language
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English
45
German
7
Author
All
He, Zhiguo
Rösch, Daniel
Welzel, Peter
Altman, Edward I.
33
Fabozzi, Frank J.
29
Scheule, Harald
27
Jarrow, Robert A.
25
Ongena, Steven
24
Schulte-Mattler, Hermann
23
Capponi, Agostino
21
Gouriéroux, Christian
21
Crook, Jonathan N.
20
Wang, Xingchun
20
Jacobs, Michael <Jr.>
19
Ghosh, Saibal
17
Norden, Lars
17
Saunders, Anthony
17
Acharya, Viral V.
16
Chi, Guotai
16
Lucas, André
16
Andreeva, Galina
15
Brigo, Damiano
15
Goodman, Laurie Sharon
15
Hamerle, Alfred
15
Hasan, Iftekhar
15
Schuermann, Til
15
Schäfer, Dorothea
15
Thomas, Lyn C.
15
Wu, Chunchi
15
Crépey, Stéphane
14
Das, Sanjiv R.
14
Grundke, Peter
14
Gürtler, Marc
14
Jeanblanc, Monique
14
Mayordomo, Sergio
14
Monfort, Alain
14
Resti, Andrea
14
Turnbull, Stuart M.
14
Van Vuuren, Gary
14
Giesecke, Kay
13
Schiereck, Dirk
13
Bielecki, Tomasz R.
12
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Univeristy of Regensburg / Department of Statistics, Faculty of Business and Economics
1
University of Regensburg / Department of Statistics, Faculty of Business and Economics
1
Universität <Regensburg> / Institut für Banken und Finanzierung
1
Published in...
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Journal of banking & finance
5
European journal of operational research : EJOR
4
International journal of forecasting
2
Review of derivatives research
2
Schmalenbach business review : sbr
2
The American economic review
2
The journal of fixed income
2
The review of financial studies
2
Zeitschrift für das gesamte Kreditwesen : Pflichtblatt der Frankfurter Wertpapierbörse
2
Credit and capital markets : Kredit und Kapital
1
Die Bank
1
Die Betriebswirtschaft : DBW
1
Die Unternehmung : Swiss journal of business research and practice ; Organ der Schweizerischen Gesellschaft für Betriebswirtschaft (SGB)
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Economics and business review
1
European financial management : the journal of the European Financial Management Association
1
Finance research letters
1
Financial markets and portfolio management
1
Financial markets, institutions & instruments
1
Global finance journal
1
In: Central European Journal of Operations Research, Vol. 10/2, July 2002, pp. 163-186.
1
International review of finance
1
Journal of Risk ; 8 (1), 2005, pp 41-58
1
Journal of empirical finance
1
Journal of financial stability
1
Journal of risk
1
Journal of the Operational Research Society : OR
1
Pacific-Basin finance journal
1
Schmalenbachs Zeitschrift für betriebswirtschaftliche Forschung : ZfbF
1
The Basel II risk parameters : estimation, validation, and stress testing : with 58 tables
1
The European journal of finance
1
The journal of finance : the journal of the American Finance Association
1
The journal of futures markets
1
The journal of real estate finance and economics
1
The journal of risk model validation
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
1
Wirtschaftswissenschaftliches Studium : WiSt ; Zeitschrift für Studium und Forschung
1
to appear in: Journal of Credit Risk
1
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ECONIS (ZBW)
49
USB Cologne (business full texts)
3
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1
Opening the black box : quantile neural networks for loss given default prediction
Kellner, Ralf
;
Nagl, Maximilian
;
Rösch, Daniel
- In:
Journal of banking & finance
134
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013400086
Saved in:
2
Systematic credit risk in securitised mortgage portfolios
Lee, Yong Woong
;
Rösch, Daniel
;
Scheule, Harald
- In:
Journal of banking & finance
122
(
2021
),
pp. 1-19
Persistent link: https://www.econbiz.de/10012659310
Saved in:
3
Bayesian loss given default estimation for European sovereign bonds
Jobst, Rainer
;
Kellner, Ralf
;
Rösch, Daniel
- In:
International journal of forecasting
36
(
2020
)
3
,
pp. 1073-1091
Persistent link: https://www.econbiz.de/10012497723
Saved in:
4
Macroeconomic effects and frailties in the resolution of non-performing loans
Betz, Jennifer
;
Krüger, Steffen
;
Kellner, Ralf
; …
- In:
Journal of banking & finance
112
(
2020
),
pp. 1-26
Persistent link: https://www.econbiz.de/10012225295
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
Liquidity constraints, home equity and residential mortgage losses
Do, Hung Xuan
;
Rösch, Daniel
;
Scheule, Harald
- In:
The journal of real estate finance and economics
61
(
2020
)
2
,
pp. 208-246
Persistent link: https://www.econbiz.de/10012293163
Saved in:
7
Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model
Pfeuffer, Marius
;
Nagl, Maximilian
;
Fischer, Matthias
; …
- In:
Journal of risk
22
(
2019/2020
)
4
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012297503
Saved in:
8
A model of safe asset determination
He, Zhiguo
;
Krishnamurthy, Arvind
;
Milbradt, Konstantin
- In:
The American economic review
109
(
2019
)
4
,
pp. 1230-1262
Persistent link: https://www.econbiz.de/10012002135
Saved in:
9
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:
10
A copula sample selection model for predicting multi-year LGDs and Lifetime Expected Losses
Krüger, Steffen
;
Oehme, Toni
;
Rösch, Daniel
;
Scheule, …
- In:
Journal of empirical finance
47
(
2018
),
pp. 246-262
Persistent link: https://www.econbiz.de/10012103459
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