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Modeling liquidity risk, with implications for traditional market risk measurement and management
Bangia, Anil; Diebold, Francis X.; Schuermann, Til; … - In: Risk management : the state of the art, (pp. 3-13). 2002
Persistent link: https://www.econbiz.de/10001698270
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Firm heterogeneity and credit risk diversification
Hanson, Samuel G.; Pesaran, M. Hashem; Schuermann, Til - In: Journal of empirical finance 15 (2008) 4, pp. 583-612
Persistent link: https://www.econbiz.de/10003759687
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Credit losses in economic downturns : empirical evidence for Hong Kong mortgage loans
Rösch, Daniel; Scheule, Harald - 2008
Persistent link: https://www.econbiz.de/10003770585
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Global business cycles and credit risk
Pesaran, M. Hashem; Schuermann, Til; Treutler, Björn-Jakob - In: The risks of financial institutions : [...papers and …, (pp. 419-473). 2006
Persistent link: https://www.econbiz.de/10003445609
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The empirical relation between credit quality, recovery, and correlation
Rösch, Daniel; Scheule, Harald - 2009
Persistent link: https://www.econbiz.de/10003975032
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Default and recovery risk dependencies in a simple credit risk model
Bade, Benjamin; Rösch, Daniel; Scheule, Harald - In: European financial management : the journal of the … 17 (2011) 1, pp. 120-144
Persistent link: https://www.econbiz.de/10008990956
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Empirical performance of loss given default prediction models
Bade, Benjamin; Rösch, Daniel; Scheule, Harald - In: The journal of risk model validation 5 (2011) 2, pp. 25-44
Persistent link: https://www.econbiz.de/10009356823
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Stress testing banks
Schuermann, Til - In: International journal of forecasting 30 (2014) 3, pp. 717-728
Persistent link: https://www.econbiz.de/10010515587
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An analytical approach for systematic risk sensitivity of structured finance products
Claußen, Arndt; Löhr, Sebastian; Rösch, Daniel - In: Review of derivatives research 17 (2014) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10010519296
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Stress testing bank profitability
Duane, Michael; Schuermann, Til; Reynolds, Peter - In: Journal of risk management in financial institutions 7 (2014) 1, pp. 72-84
Persistent link: https://www.econbiz.de/10010259555