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Correlated default and parameter risk
Schmelzle, Martin - 2018
Persistent link: https://www.econbiz.de/10012167010
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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
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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
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Statistical and machine learning for credit and market risk management
Nagl, Maximilian - 2022
Persistent link: https://www.econbiz.de/10012880193
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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
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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
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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
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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
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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