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Incorporating prediction and estimation risk in point-in-time credit portfolio models
Hamerle, Alfred; Knapp, Michael; Liebig, Thilo; … - 2005
In this paper we focus on the analysis of the effect of prediction and estimation risk on the loss distribution, risk measures and economic capital. When variables for the determination of probability of default and loss distribution have to be predicted because they are not available at the...
Persistent link: https://www.econbiz.de/10010295906
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Econometric methods for sector analysis
Boegelein, Leif; Hamerle, Alfred; Knapp, Michael; … - In: CreditRisk+ in the banking industry, (pp. 231-248). 2004
Persistent link: https://www.econbiz.de/10002108704
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Incorporating prediction and estimation risk in point-in-time credit portfolio models
Hamerle, Alfred; Knapp, Michael; Liebig, Thilo; … - 2005
Persistent link: https://www.econbiz.de/10003313001
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Modelling loss given default: a "point in time" approach
Hamerle, Alfred; Knapp, Michael; Wildenauer, Nicole - In: The Basel II risk parameters : estimation, validation, …, (pp. 127-142). 2006
Persistent link: https://www.econbiz.de/10003376030
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Contemporary auditing : real issues and cases
Knapp, Michael Chris - 2010 - updated 7. ed.
Persistent link: https://www.econbiz.de/10003955235
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VaR-Dekomposition und Diversifikationseffekte : systematische und idiosynkratische Risiken
Hamerle, Alfred; Knapp, Michael; Werndl, Thomas - In: Risiko-Manager (2011) 9, pp. 1,8-17
Persistent link: https://www.econbiz.de/10008991560
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Contemporary auditing : real issues and cases
Knapp, Michael Chris - 2015 - Tenth edition
Persistent link: https://www.econbiz.de/10011341954
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Entwicklung eines Kreditportfoliomodells für ein mittelständisches Kreditinstitut : Ermittlung von Schadensverteilungen mithilfe des Default-Mode-Ansatzes
Haas, Rainer; Knapp, Michael; Lerner, Matthias - In: Risiko-Manager (2008) 13, pp. 16-25
Persistent link: https://www.econbiz.de/10003722465
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The solitary auditor
Knapp, Michael Chris - 2016
Persistent link: https://www.econbiz.de/10011474349