Uwe Wehrspohn

Wehrspohn GmbH & Co. KG

Nietzschestraße 20

Mannheim, D-68165

Germany

http://www.wehrspohn.info

University of Wuerzburg

Sanderring 2

Wuerzburg, Bavaria 97070

Germany

http://www.fzrm.uni-wuerzburg.de

SCHOLARLY PAPERS

20

DOWNLOADS
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Top 2,343

in Total Papers Downloads

18,516

SSRN CITATIONS
Rank 48,082

SSRN RANKINGS

Top 48,082

in Total Papers Citations

2

CROSSREF CITATIONS

12

Scholarly Papers (20)

1.

Credit Risk Evaluation: Modeling - Analysis - Management

Center for Risk & Evaluation, 2002-2003
Number of pages: 195 Posted: 14 Jun 2005
Uwe Wehrspohn
Wehrspohn GmbH & Co. KG
Downloads 2,956 (5,222)

Abstract:

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Default probability, exposure, pricing, portfolio management, risk measure, portfolio improvement

2.

Estimation of Default Probabilities - Part 4: Default Probabilities Through the Business Cycle: Credit Portfolio View

RiskNEWS, November 2002
Number of pages: 20 Posted: 20 Mar 2003
Uwe Wehrspohn
Wehrspohn GmbH & Co. KG
Downloads 1,536 (14,950)
Citation 1

Abstract:

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3.

Estimation of Default Probabilities ­ Part 3: Stochastic Default Probabilities: Credit Risk+

RiskNEWS, 2002
Number of pages: 9 Posted: 20 Mar 2003
Uwe Wehrspohn
Wehrspohn GmbH & Co. KG
Downloads 1,520 (15,202)

Abstract:

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4.

Analytic Loss Distributions of Heterogeneous Portfolios In The Asset Value Credit Risk Model

Number of pages: 19 Posted: 07 May 2003
Uwe Wehrspohn
Wehrspohn GmbH & Co. KG
Downloads 1,369 (17,901)
Citation 7

Abstract:

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credit portfolio risk, analytical loss distribution, country risk, microeconomic risk, asset value model

5.

Visual Portfolio Analysis

Number of pages: 19 Posted: 23 Mar 2004
Uwe Wehrspohn
Wehrspohn GmbH & Co. KG
Downloads 1,343 (18,392)

Abstract:

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Credit portfolio risk, risk measure, portfolio analysis, portfolio improvement, portfolio optimization

6.

Estimation of Default Probabilities - Part 2: Market Factor Based Techniques

RiskNEWS, July 2002
Number of pages: 15 Posted: 20 Mar 2003
Uwe Wehrspohn
Wehrspohn GmbH & Co. KG
Downloads 1,334 (18,569)

Abstract:

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7.

Lean IRB Approaches and Transition Design: The Basel Ii Proposal

Number of pages: 37 Posted: 19 Nov 2001
Hans Gersbach and Uwe Wehrspohn
ETH Zurich - CER-ETH -Center of Economic Research and Wehrspohn GmbH & Co. KG
Downloads 1,321 (18,847)
Citation 5

Abstract:

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Basel II, lean IRB-approaches, credit portfolio risk, transition design, banking

8.

Estimation of Default Probabilities - Part 5: Integrated Models - the Credit Risk Evaluation Model

RiskNEWS, January 2003
Number of pages: 14 Posted: 20 Mar 2003
Uwe Wehrspohn
Wehrspohn GmbH & Co. KG
Downloads 1,281 (19,729)

Abstract:

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9.

Estimation of Default Probabilities - Part 1: The Mean Value Model

RiskNEWS, May 2002
Number of pages: 12 Posted: 20 Mar 2003
Uwe Wehrspohn
Wehrspohn GmbH & Co. KG
Downloads 1,187 (22,132)

Abstract:

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10.

Strategic Risk and Cost Adjusted Pricing

RiskNEWS, March 2003
Number of pages: 12 Posted: 18 Apr 2003
Uwe Wehrspohn
Wehrspohn GmbH & Co. KG
Downloads 1,086 (25,236)
Citation 1

Abstract:

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11.

Generalized Asset Value Credit Risk Models and Risk Minimality of the Classical Approach

Number of pages: 30 Posted: 21 May 2003
Uwe Wehrspohn
Wehrspohn GmbH & Co. KG
Downloads 889 (33,489)
Citation 3

Abstract:

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credit risk, credit portfolio modeling, credit portfolio risk, asset value model, elliptical distribution, asymptotic loss distribution, loss density, value at risk, model error, economic capital

12.

Optimal Simultaneous Validation Tests of Default Probabilities, Dependencies, and Credit Risk Models

Number of pages: 11 Posted: 18 Sep 2004
Uwe Wehrspohn
Wehrspohn GmbH & Co. KG
Downloads 595 (57,394)

Abstract:

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Rating validation, backtesting, model validation, banking regulation

13.

The Risk Weights of the IRB Approaches

RiskNEWS, pp. 3-32, November 2001
Number of pages: 30 Posted: 20 Jan 2005
Hans Gersbach and Uwe Wehrspohn
ETH Zurich - CER-ETH -Center of Economic Research and Wehrspohn GmbH & Co. KG
Downloads 543 (64,342)

Abstract:

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Banking supervision, Basel 2, IRB

14.

Monte-Carlo Simulation with Risk Kit

Number of pages: 59 Posted: 05 May 2011 Last Revised: 20 Apr 2021
Uwe Wehrspohn and Sergey Zhilyakov
Wehrspohn GmbH & Co. KG and Wehrspohn GmbH & Co. KG
Downloads 503 (70,835)

Abstract:

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Monte-Carlo simulation, rapid prototyping, risk management

15.

Market Study Rating-Software for Companies

RatingAktuell, 06/2004
Number of pages: 37 Posted: 30 Dec 2004
Uwe Wehrspohn and Frank Romeike
Wehrspohn GmbH & Co. KG and RiskNET
Downloads 428 (85,959)

Abstract:

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Rating, software evaluation

16.

Nonlinear GARCH Models and Volatility Spillover

Number of pages: 65 Posted: 03 Nov 2005
Uwe Wehrspohn
Wehrspohn GmbH & Co. KG
Downloads 343 (110,692)
Citation 1

Abstract:

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GARCH, heteroskedasticity, volatility spillover

17.

A View into the Past - Efficient Validation of Default Probabilities

RiskNews, pp. 22-27, February 2005
Number of pages: 6 Posted: 20 Jun 2005
Uwe Wehrspohn
Wehrspohn GmbH & Co. KG
Downloads 211 (181,440)

Abstract:

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Default probabilities, validation, credit risk

18.

Monte-Carlo Simulation mit Risk Kit (Monte-Carlo Simulation with Risk Kit)

Number of pages: 61 Posted: 18 Feb 2021 Last Revised: 20 Apr 2021
Uwe Wehrspohn and Sergey Zhilyakov
Wehrspohn GmbH & Co. KG and Wehrspohn GmbH & Co. KG
Downloads 51 (474,417)

Abstract:

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Monte-Carlo simulation, rapid prototyping, risk analysis, risk management

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Market Data, Public Data Sources, API, ECB, FRED, Eurostat, World Bank, Apilayer Marketstack

20.

Live Access to Large International Data Sources With Risk Kit Data – Case Study: Impact of the Oil Price and FX and Interest Rates on Profit and Loss

Number of pages: 34 Posted: 22 Mar 2021 Last Revised: 20 Apr 2021
Uwe Wehrspohn and Sergey Zhilyakov
Wehrspohn GmbH & Co. KG and Wehrspohn GmbH & Co. KG
Downloads 9 (724,338)

Abstract:

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market data feed, data consolidation, model selection, calibration, simulation