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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

Correlated default and parameter risk

Schmelzle, Martin - 2018

Persistent link: https://www.econbiz.de/10012167010

Valuation of systematic risk in the cross-section of credit default swap spreads

Claußen, Arndt; Löhr, Sebastian; Rösch, Daniel; … - In: The quarterly review of economics and finance : journal … 64 (2017), pp. 183-195

Persistent link: https://www.econbiz.de/10011792305

A simple econometric approach for modeling stress event intensities

Jobst, Rainer; Rösch, Daniel; Scheule, Harald; … - In: The journal of futures markets 35 (2015) 4, pp. 300-320

Persistent link: https://www.econbiz.de/10011348422

Dynamic implied correlation modeling and forecasting in structured finance

Löhr, Sebastian; Mursajew, Olga; Rösch, Daniel; … - In: The journal of futures markets 33 (2013) 11, pp. 994-1023

Persistent link: https://www.econbiz.de/10010255106

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

Forecasting probabilities of default and loss rates given default in the presence of selection

Rösch, Daniel; Scheule, Harald - In: Journal of the Operational Research Society : OR 65 (2014) 3, pp. 393-407

Persistent link: https://www.econbiz.de/10010251696

Fortgeschrittene Modellierung von Abhängigkeiten im Kreditrisiko - Neue Erkenntnisse zu der Verlustquote, dem erwarteten Verlust über die Restlaufzeit und den Kapitalanforderungen...

Krüger, Steffen - 2017

Persistent link: https://www.econbiz.de/10012792779

What drives the time to resolution of defaulted bank loans?

Betz, Jennifer; Kellner, Ralf; Rösch, Daniel - In: Finance research letters 18 (2016), pp. 7-31

Persistent link: https://www.econbiz.de/10011656489

Credit Risk Factor Modeling and the Basel II IRB Approach

Hamerle, Alfred; Liebig, Thilo; Rösch, Daniel - 2003

Default probabilities (PDs) and correlations play a crucial role in the New Basel Capital Accord. In commercial credit risk models they are an important constituent. Yet, modeling and estimation of PDs and correlations is still under active discussion. We show how the Basel II one factor model...

Persistent link: https://www.econbiz.de/10010295887