Uwe Wehrspohn

Wehrspohn GmbH & Co. KG

Spiegelstraße 39

Mannheim, D-68305

Germany

http://www.wehrspohn.de

University of Wuerzburg

Josef-Stangl-Platz 2

Wuerzburg, Bavaria 97070

Germany

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

SCHOLARLY PAPERS

17

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0

CROSSREF CITATIONS

11

Scholarly Papers (17)

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 2,892 (3,862)

Abstract:

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

2.

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 1,509 (11,497)

Abstract:

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3.

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 1,480 (11,839)

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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 1,359 (13,585)
Citation 6

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 1,329 (14,065)

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 1,326 (14,116)

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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 Reseaarch and Wehrspohn GmbH & Co. KG
Downloads 1,311 (14,355)
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 1,266 (15,141)

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 1,185 (16,788)

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 1,081 (19,281)
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 881 (25,984)
Citation 2

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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 588 (45,080)

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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 Reseaarch and Wehrspohn GmbH & Co. KG
Downloads 538 (50,391)

Abstract:

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Banking supervision, Basel 2, IRB

14.

Rapid Prototyping of Monte-Carlo Simulations

Number of pages: 58 Posted: 05 May 2011
Uwe Wehrspohn and Sergey Zhilyakov
Wehrspohn GmbH & Co. KG and Wehrspohn GmbH & Co. KG
Downloads 435 (65,742)

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 419 (68,772)

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 338 (88,354)

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 208 (146,194)

Abstract:

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Default probabilities, validation, credit risk