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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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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
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Deep calibration of financial models : turning theory into practice
Büchel, Patrick; Kratochwil, Michael; Nagl, Maximilian; … - In: Review of derivatives research 25 (2022) 2, pp. 109-136
Persistent link: https://www.econbiz.de/10013457606
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A Bayesian Re-Interpretation of "significant" empirical financial research
Kellner, Ralf; Rösch, Daniel - In: Finance research letters 38 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10012485268
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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
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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
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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
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A country specific point of view on international diversification
Kellner, Ralf; Rösch, Daniel - In: Journal of international money and finance 98 (2019), pp. 1-13
Persistent link: https://www.econbiz.de/10012140073
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The role of model risk in extreme value theory for capital adequacy
Kellner, Ralf; Rösch, Daniel; Scheule, Harald - In: Journal of risk 18 (2016) 6, pp. 39-70
Persistent link: https://www.econbiz.de/10011620651
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Quantifying market risk with Value-at-Risk or Expected Shortfall? : consequences for capital requirements and model risk
Kellner, Ralf; Rösch, Daniel - In: Journal of economic dynamics & control 68 (2016), pp. 45-63
Persistent link: https://www.econbiz.de/10011708407