Daniel Roesch

University of Regensburg

Professor

Chair of Statistics and Risk Management

Faculty of Business, Economics and BIS

Regensburg, 93040

Germany

http://www-risk.ur.de/

SCHOLARLY PAPERS

51

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CITATIONS
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57

Scholarly Papers (51)

1.

Stress-Testing Credit Risk Parameters: An Application to Retail Loan Portfolios

Journal of Risk Model Validation, Vol. 1, No. 1, pp. 55-75, 2007
Number of pages: 20 Posted: 01 Nov 2011
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 980 (21,922)

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Basel II, Business Cycle, Capital Adequacy, Correlation, Credit Risk, Default Probability, Expected Loss, Stress-test, Value-at-Risk

2.

Parameterizing Credit Risk Models

Journal of Credit Risk, Vol. 2, No. 4, 2006
Number of pages: 36 Posted: 13 May 2004 Last Revised: 21 Feb 2009
Alfred Hamerle and Daniel Roesch
University of Regensburg - Faculty of Business, Economics & Information Systems and University of Regensburg
Downloads 949 (22,988)
Citation 11

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Credit Risk Models, Default Correlations, Basel II

Rating Performance and Agency Incentives of Structured Finance Transactions

Paolo Baffi Centre Research Paper No. 2010-78
Number of pages: 42 Posted: 24 Jul 2010 Last Revised: 20 Nov 2010
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 552 (47,601)

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Asset-backed Security, Collateralized Debt Obligation, Economic Downturn, Fee Revenue, Forecasting, Global Financial Crisis, Home Equity Loans, Impairment Rate, Mortgage-backed Security, Structured Finance Rating

Rating Performance and Agency Incentives of Structured Finance Transactions

Finlawmetrics 2010 Conference Paper
Number of pages: 41 Posted: 05 Aug 2009 Last Revised: 31 Jan 2010
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 360 (80,495)

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asset-backed security, collateralized debt obligation, economic downturn, fee revenue, forecasting, home equity loans, impairment rate, mortgage-backed security, structured finance rating, Global Financial crisis

Securitization Rating Performance and Agency Incentives

Finance and Corporate Governance Conference 2011 Paper
Number of pages: 52 Posted: 30 Aug 2010 Last Revised: 15 Feb 2011
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 309 (95,804)

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Asset-backed Security, Credit Rating Agency, Collateralized Debt Obligation, Economic Downturn, Fee Revenue, Forecasting, Global Financial Crisis, Home Equity Loans, Impairment, Mortgage-backed Security, Rating, Securitization, Structured Finance Transaction

Securitization Rating Performance and Agency Incentives

HKIMR Working Paper No.18/2011
Number of pages: 52 Posted: 28 Jun 2011
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 272 (109,974)

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asset-backed security, credit rating agency, collateralized debt obligation, economic downturn, fee revenue, forecasting, Global Financial Crisis, home equity loans, impairment, mortgage-backed security, rating, securitization

Securitization Rating Performance and Agency Incentives

Number of pages: 52 Posted: 01 Mar 2011
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 107 (251,240)

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Credit Ratings, Collateralized Debt Obligations, Asset Backed Securities, Financial Crisis

5.

Empirical Performance of LGD Prediction Models

Journal of Risk Model Validation, Vol. 5, No. 2, 2011, pp. 25-44
Number of pages: 26 Posted: 11 Apr 2011 Last Revised: 13 Nov 2013
Leibniz Universität Hannover, University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 408 (70,145)
Citation 1

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Asset Value, Correlation, Credit Portfolio, Loss Given Default, Probability of Default, Recovery, Forecasting

6.

The Path to Impairment: Do Credit Rating Agencies Anticipate Default Events of Structured Finance Transactions?

European Journal of Finance 19(9), 2013, 841-860
Number of pages: 29 Posted: 06 Jun 2011 Last Revised: 19 Nov 2015
University of Cambridge - Judge Business School, University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 339 (86,993)

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Anticipation Coefficient, Credit Rating Agencies, Rating Quality, Global Financial Crisis, Structured Finance Rating

7.

Downturn Risk: Another View on the Current Financial Crisis

Number of pages: 15 Posted: 19 Mar 2011
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 331 (89,337)

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Credit Portfolio Risk, Economic Downturn, Financial Crisis, Model Risk, Securitization

8.

The Empirical Relation between Credit Quality, Recovery, and Correlation

HKIMR Working Paper No.22/2009
Number of pages: 38 Posted: 03 Sep 2009
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 323 (91,744)

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Asset Value, Correlation, Credit Portfolio, Loss Given Default, Merton Model, Probability of Default, Recovery, Volatility

9.

Modelling and Predicting of Australian Mortgage Delinquency Risk: A Preliminary Data Analysis

Number of pages: 25 Posted: 30 Jan 2013
University of Regensburg, University of Technology Sydney (UTS) - School of Finance and Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 246 (122,600)

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Basel III, correlation, credit risk, default probability, delinquency, exposure at default, loss given default, mortgage, mortgage-backed security

Misspecified Copulas in Credit Risk Models: How Good is Gaussian?

Journal of Risk 8 (1), 2005, pp. 41-58
Number of pages: 29 Posted: 31 Oct 2013
Alfred Hamerle and Daniel Roesch
University of Regensburg - Faculty of Business, Economics & Information Systems and University of Regensburg
Downloads 238 (126,291)
Citation 12

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Credit Risk Models, Correlations, Copulas, Basel II

Misspecified Copulas in Credit Risk Models: How Good is Gaussian?

Journal of Risk, Vol. 8, No. 1, Fall 2005
Posted: 08 Nov 2005
Alfred Hamerle and Daniel Roesch
University of Regensburg - Faculty of Business, Economics & Information Systems and University of Regensburg

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Gaussian CreditMetrics, Basel II model, copulas, credit risk, loss distributions, fatter tails ceteris paribus, latent variable distribution

11.

Systemic Risk in Commercial Bank Lending

Number of pages: 47 Posted: 28 Feb 2014
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 221 (136,323)

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Asset correlation; Bank capital buffer; Basel Committee on Banking Supervision; Credit portfolio risk; Commercial banks; Regulation; Systemic risk.

Default and Recovery Risk Dependencies in a Simple Credit Risk Model

European Financial Management, Vol. 17, No. 1, 2011, pp. 120-144
Number of pages: 36 Posted: 10 Nov 2013
Leibniz Universität Hannover, University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 211 (142,227)

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Asset Value, Correlation, Credit Portfolio, Loss Given Default, Merton Model, Probability of Default, Recovery, Volatility

13.

Uses and Misuses of Measures for Credit Rating Accuracy

Number of pages: 28 Posted: 17 Nov 2013
Alfred Hamerle, Robert Rauhmeier and Daniel Roesch
University of Regensburg - Faculty of Business, Economics & Information Systems, KfW Bankengruppe and University of Regensburg
Downloads 212 (141,854)
Citation 10

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Credit Rating, Basel II, Performance Measurement, CAP, ROC, Accuracy Ratio, Power Curve, Gini

14.

Forecasting Probabilities of Default and Loss Rates Given Default in the Presence of Selection

Journal of the Operational Research Society 65, 2014, 393-407
Number of pages: 51 Posted: 10 Nov 2013 Last Revised: 19 Nov 2015
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 192 (155,657)
Citation 2

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Asset Value, Correlation, Credit Portfolio, Loss Given Default, Merton Model, Probability of Default, Recovery, Tobit Model, Volatility

15.

Decomposing the Smile: Systematic Credit Risk in Mortgage Portfolios

CIFR Paper No. 012/2014
Number of pages: 48 Posted: 24 May 2014 Last Revised: 29 May 2014
Department of International Finance, Hankuk University of Foreign Studies, University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 172 (171,764)

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Asset correlation, Basel capital, Loss given default, Mortgage portfolio, Probability of default, State space model, Systematic risk.

16.

Myth and Reality of Discriminatory Power for Rating Systems

Wilmott Magazine, 2005, pp. 2-6
Number of pages: 12 Posted: 10 Nov 2013
Deutsche Bundesbank, University of Regensburg - Faculty of Business, Economics & Information Systems, Bank for International Settlements (BIS), KfW Bankengruppe and University of Regensburg
Downloads 131 (215,268)
Citation 1

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17.

Valuation of Systematic Risk in the Cross-Section of Credit Default Swap Spreads

Number of pages: 58 Posted: 17 Nov 2013
Leibniz Universität Hannover, Leibniz Universität Hannover, University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 126 (221,767)
Citation 1

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Credit Derivatives, Cross-section of Credit Default Swap Spreads, Systematic Risk

18.

Ratings Based Capital Adequacy for Securitizations

Journal of Banking and Finance, 37, 2013, 5236-5247, CIFR Paper No. 010/2014
Number of pages: 39 Posted: 10 Nov 2013 Last Revised: 15 Nov 2015
Leibniz University of Hannover, University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 117 (234,429)

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Asset-Backed Security, Basel II and III, Collateralized Debt Obligation, Economic Downturn, Mortgage-Backed Securities, Home Equity Loan Securities, Ratings-Based Approach, Regulation, Regulatory Capital, Risk Weights, Securitization

19.

Dynamic Implied Correlation Modeling and Forecasting in Structured Finance

Journal of Futures Markets 33 (11), 994-1023 (2013)
Number of pages: 47 Posted: 10 Nov 2013 Last Revised: 19 Nov 2015
Leibniz Universität Hannover, Leibniz Universität Hannover, University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 112 (241,887)

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Base Correlations, Dynamic Panel Regression, Implied Correlations, Single-tranche Collateralized Debt Obligations, Spread Forecast

20.

Benchmarking Asset Correlations

Risk, Vol. 16, No. 11, 2003, pp. 77-81
Number of pages: 27 Posted: 10 Nov 2013
Alfred Hamerle, Thilo Liebig and Daniel Roesch
University of Regensburg - Faculty of Business, Economics & Information Systems, Deutsche Bundesbank and University of Regensburg
Downloads 111 (243,429)
Citation 12

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Credit Risk Models, Default Correlations, Asset Correlations, Basel II, Portfolio Credit Risk

21.

A Multi-Factor Approach for Systematic Default and Recovery Risk

Journal of Fixed Income, Vol. 15, No. 2, 2005, pp. 63-75, The Basel II Risk Parameters, 2006, pp. 105-126
Number of pages: 32 Posted: 10 Nov 2013 Last Revised: 13 Nov 2013
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 98 (265,219)
Citation 1

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22.

Forecasting Mortgage Securitization Risk under Systematic Risk and Parameter Uncertainty

Journal of Risk and Insurance, 81, 2013, 563-586, CIFR Paper No. 009/2014
Number of pages: 39 Posted: 30 Oct 2013 Last Revised: 19 Nov 2015
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 94 (272,417)
Citation 1

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Economic Capital, Global Financial Crisis, Home Equity Loan Security, Mortgage-backed Security, Parameter Uncertainty, Rating, Securitization, Systematic Risk, Value-at-Risk

23.

Correlations and Business Cycles of Credit Risk: Evidence from Bankruptcies in Germany

Financial Markets and Portfolio Management, Vol. 17, No. 3, 2003, pp. 309-331
Number of pages: 28 Posted: 10 Nov 2013
Daniel Roesch
University of Regensburg
Downloads 84 (292,447)
Citation 1

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Credit Risk, Bankruptcy, Correlations, Basel II

24.

An Empirical Comparison of Default Risk Forecasts from Alternative Credit Rating Philosophies

International Journal of Forecasting, Vol. 21, No. 1, 2005, pp. 37-51
Number of pages: 42 Posted: 10 Nov 2013
Daniel Roesch
University of Regensburg
Downloads 84 (292,447)
Citation 1

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Credit Rating, Basel II, Backtesting, Risk Management, Credit Risk Modeling

25.

Liquidity Constraints, Home Equity and Residential Mortgage Losses

CIFR Paper No. 122/2016
Number of pages: 50 Posted: 02 Sep 2016 Last Revised: 22 Jul 2018
Massey University, Albany campus, University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 83 (294,556)

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Cure, Loss Given Default, Liquidity Constraints, Home Equity, Mortgage, Selection

26.

Downturn Credit Portfolio Risk, Regulatory Capital and Prudential Incentives

International Review of Finance, Vol. 10, No. 2, 2010, pp. 185-207
Number of pages: 36 Posted: 10 Nov 2013
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 75 (312,769)
Citation 1

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Basel II, Business Cycle, Capital Adequacy, Correlation, Credit Portfolio Risk, Credit Value-at-Risk, Economic Downturn, Expected Loss, Loss Given Default, Probability of Default, Value-at-Risk

Credit Portfolio Loss Forecasts for Economic Downturns

Financial Markets, Institutions & Instruments, Vol. 18, No. 1, 2009, pp. 1-26
Number of pages: 29 Posted: 10 Nov 2013
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 68 (334,080)

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Basel II, Business Cycle, Capital Adequacy, Corporate Bond, Correlation, Credit Risk, Economic Downturn, Expected Loss, Fixed Income, Loss Given Default,Probability of Default, Value-at-Risk

Credit Portfolio Loss Forecasts for Economic Downturns

Financial Markets, Institutions & Instruments, Vol. 18, Issue 1, pp. 1-26, February 2009
Number of pages: 26 Posted: 25 Jan 2009
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 7 (618,512)
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28.

Risikofaktoren und Korrelationen für Bonitätsveränderungen (Risk Factors and Correlations for Credit Quality Changes)

Schmalenbachs Zeitschrift für betriebswirtschaftliche Forschung (ZfbF), Vol. 55, 2003, pp. 199-223
Number of pages: 31 Posted: 10 Nov 2013
Alfred Hamerle and Daniel Roesch
University of Regensburg - Faculty of Business, Economics & Information Systems and University of Regensburg
Downloads 70 (324,998)
Citation 3

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29.

Mitigating Procyclicality in Basel II: A Value at Risk Based Remedy

Number of pages: 25 Posted: 17 Nov 2013
Daniel Roesch
University of Regensburg
Downloads 57 (360,957)
Citation 2

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Basel II, Procyclicality, Credit Risk, Bank Regulation, Capital Requirements

30.

Estimating Credit Contagion in a Standard Factor Model

Risk, Vol. 21, No. 8, August 2008, pp. 78-82, Asia Risk, October 2008, pp. 74-79
Number of pages: 12 Posted: 10 Nov 2013 Last Revised: 13 Nov 2013
Daniel Roesch and Birker Winterfeldt
University of Regensburg and University of Regensburg
Downloads 54 (370,342)

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Credit Risk Models, Credit Contagion

31.

Capital Incentives and Adequacy for Securitizations

Journal of Banking and Finance, Vol. 36, No. 3, 2012, pp. 733-748
Number of pages: 50 Posted: 10 Nov 2013
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 53 (373,368)

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Bank capital, Financial crisis, Rating, Securitization

32.

A Re-Interpretation of 'Significant' Empirical Financial Research

Number of pages: 29 Posted: 16 Nov 2018
Ralf Kellner and Daniel Roesch
Saarland University and University of Regensburg
Downloads 49 (386,467)

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p-value; t statistic; empirical finance; CAPM; Bayesian statistics

33.

Multiyear Risk of Credit Losses in SME Portfolios

Journal of Financial Forecasting, Vol. 1, No. 2, Fall 2007, pp. 25-53
Number of pages: 39 Posted: 10 Nov 2013
University of Regensburg - Faculty of Business, Economics & Information Systems, University of Regensburg, Deutsche Bundesbank and University of Regensburg
Downloads 44 (403,942)
Citation 1

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34.

A Simple Econometric Approach for Modeling Stress Event Intensities

Journal of Futures Markets, Vol. 35, No. 4, pp. 300-320, 2015
Number of pages: 29 Posted: 14 Nov 2015
University of Regensburg, University of Regensburg, University of Technology Sydney (UTS) - School of Finance and Economics and University of Regensburg
Downloads 42 (411,319)

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stress event intensity, systemic risk, credit derivative

35.

Credit Rating Impact on CDO Evaluation

Global Finance Journal, Vol. 19, No. 3, 2009, pp. 235-251
Number of pages: 41 Posted: 10 Nov 2013
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 33 (447,368)

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Business Cycle, Collateralized Debt Obligation, Correlation, Credit Risk, Default Probability, Point-in-Time, Portfolio, Through-the-Cycle

36.

The Informational Content of Credit Ratings and Cyclical Patterns of Default Rates

Central European Journal of Operations Research, Vol. 10, No. 2, 2002, pp. 163-186
Number of pages: 27 Posted: 14 Nov 2013
Daniel Roesch
University of Regensburg
Downloads 27 (475,904)
Citation 3

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Credit Risk, Credit Rating, Default Rates, Bank Regulation

37.

Asset Portfolio Securitizations and Cyclicality of Regulatory Capital

European Journal of Operational Research, 237, 2014, 289-302
Number of pages: 33 Posted: 18 Nov 2015
Leibniz University of Hannover, University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 22 (503,271)

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Asset-backed security, Economic downturn, Impairment, Regulation, Regulatory capital, Mortgage-backed security

38.

Credit Risk Factor Modeling and the Basel Ii IRB Approach

Bundesbank Series 2 Discussion Paper No. 2003,02
Number of pages: 32 Posted: 08 Jun 2016
Alfred Hamerle, Thilo Liebig and Daniel Roesch
University of Regensburg - Faculty of Business, Economics & Information Systems, Deutsche Bundesbank and University of Regensburg
Downloads 17 (532,096)
Citation 7

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Credit Risk, Credit Ratings, Probability of Default, Bank Regulation

39.

The Role of Loan Portfolio Losses and Bank Capital for Asian Financial System Resilience

HKIMR Working Paper No. 9/2018
Number of pages: 44 Posted: 31 Mar 2018
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 9

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Asia, Bank Capital, Bank Lending, Commercial Banks, Credit Portfolio Risk, Systemic Risk

40.

Downturn Credit Portfolio Risk, Regulatory Capital and Prudential Incentives

International Review of Finance, Vol. 10, Issue 2, pp. 185-207, June 2010
Number of pages: 23 Posted: 04 Jun 2010
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 5 (605,538)
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41.

The Impact of Loan Loss Provisioning on Bank Capital Requirements

Journal of Financial Stability, Forthcoming
Posted: 28 Feb 2018
Independent, University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics

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GAAP 326, IFRS 9, lifetime expected loss, loan loss provisioning, regulatory capital

42.

Accuracy of Mortgage Portfolio Risk Forecasts During Financial Crises

European Journal of Operational Research 249 (2016), 440-456
Posted: 28 Feb 2018
Department of International Finance, Hankuk University of Foreign Studies, University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics

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Bayesian estimation, Maximum likelihood estimation, Model risk, Mortgage Value-at-risk

43.

Systematic Credit Risk and Pricing for Fixed Income Instruments

Journal of Fixed Income, Vol. 26, No. 1, 2016
Posted: 28 Feb 2018
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics

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Corporate Bond, Credit Risk, Financial Crisis, Fixed Income, Pricing, Rating, Securitization, Systematic Risk, Yield Spread

44.

What Drives the Time to Resolution of Defaulted Bank Loans?

Finance Research Letters, Vol. 18, 2016
Posted: 28 Feb 2018
Jennifer Betz, Ralf Kellner and Daniel Roesch
Independent, Saarland University and University of Regensburg

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credit risk, bankruptcy, resolution of financial distress, time to resolution, resolution bias

45.

Quantifying Market Risk with Value-at-Risk or Expected Shortfall? - Consequences for Capital Requirements and Model Risk

Journal of Economic Dynamics and Control, Vol. 68, 2016
Posted: 28 Feb 2018
Ralf Kellner and Daniel Roesch
Saarland University and University of Regensburg

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Model risk, Capital requirements, Value-at-Risk, Expected Shortfall

46.

Downturn LGD Modeling Using Quantile Regression

Journal of Banking and Finance, Vol. 79, 2017
Posted: 28 Feb 2018
Steffen Krueger and Daniel Roesch
Independent and University of Regensburg

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Loss given default, Downturn, Quantile regression, Recovery, Validation

47.

Macroeconomic Effects and Frailties in the Resolution of Non-Performing Loans

Journal of Banking and Finance, Forthcoming
Posted: 27 Feb 2018
Independent, University of Regensburg, Saarland University and Independent

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bank loans, default resolution time, credit risk, systematic effects, latent factors

The Role of Model Risk in Extreme Value Theory for Capital Adequacy

Journal of Risk, Forthcoming
Number of pages: 32 Posted: 08 Jul 2016
Saarland University, University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
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extreme value theory, model risk, capital requirements, value-at-risk, expected shortfall

The Role of Model Risk in Extreme Value Theory for Capital Adequacy

Journal of Risk 18(6), 2016, 39-70
Posted: 28 Feb 2018
Saarland University, University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics

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Extreme Value Theory, Model Risk, Capital Requirements, Value-at-Risk, Expected Shortfall

49.

Cure Events in Default Prediction

European Journal of Operational Research, No. 238, 2014, p. 846-857
Posted: 18 Nov 2015
Marcus Wolter and Daniel Roesch
Leibniz Universität Hannover and University of Regensburg

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50.

Forecasting Mortgage Securitization Risk Under Systematic Risk and Parameter Uncertainty

Journal of Risk and Insurance, Vol. 81, Issue 3, pp. 563-586, 2014
Number of pages: 24 Posted: 20 Aug 2014
Daniel Roesch and Harald (Harry) Scheule
University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 0 (661,060)
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51.

An Analytical Approach for Systematic Risk Sensitivity of Structured Finance Products

Review of Derivatives Research 17, 2014, 1-37
Posted: 30 Oct 2013 Last Revised: 15 Nov 2015
Arndt Claussen, Sebastian Löhr and Daniel Roesch
Leibniz Universität Hannover, Leibniz Universität Hannover and University of Regensburg

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Credit derivatives, CDO, Bond, Ratings, Systematic risk