Alfred Hamerle

University of Regensburg - Faculty of Business, Economics & Information Systems

Universitstrasse 31

Regensberg D-93053

Germany

SCHOLARLY PAPERS

12

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Top 19,328

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5

CROSSREF CITATIONS

43

Scholarly Papers (12)

1.

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 986 (24,559)
Citation 6

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Credit Risk Models, Default Correlations, Basel II

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 254 (131,561)
Citation 3

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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

3.

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 233 (143,951)
Citation 14

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

4.

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 150 (213,773)
Citation 1

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5.

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 120 (254,524)

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

6.

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 (358,650)
Citation 1

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7.

Systematic Risk of Cdos and Cdo Arbitrage

Bundesbank Series 2 Discussion Paper No. 2009,13
Number of pages: 52 Posted: 08 Jun 2016
Alfred Hamerle, Thilo Liebig and Hans-Jochen Schropp
University of Regensburg - Faculty of Business, Economics & Information Systems, Deutsche Bundesbank and BMW Bank of North America - BMW Financial Services
Downloads 44 (445,258)

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Collateralized debt obligations (CDO), arbitrage CDOs, credit rating, expected loss profile, bond representation, systematic risk of CDO tranches, CDO pricing

8.

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
Alfred Hamerle, Rainer Jobst, Thilo Liebig and Daniel Roesch
University of Regensburg - Faculty of Business, Economics & Information Systems, University of Regensburg, Deutsche Bundesbank and University of Regensburg
Downloads 44 (445,258)

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9.

Forecasting Credit Portfolio Risk

Bundesbank Series 2 Discussion Paper No. 2004,01
Number of pages: 44 Posted: 08 Jun 2016
Alfred Hamerle, Thilo Liebig and Harald (Harry) Scheule
University of Regensburg - Faculty of Business, Economics & Information Systems, Deutsche Bundesbank and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 21 (561,404)
Citation 1

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asset correlation, bank regulation, Basel II, credit risk, default correlation, default probability, logit model, probit model

10.

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 20 (567,692)

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

11.

Incorporating Prediction and Estimation Risk in Point-in-Time Credit Portfolio Models

Bundesbank Series 2 Discussion Paper No. 2005,13
Number of pages: 40 Posted: 08 Jun 2016
University of Regensburg - Faculty of Business, Economics & Information Systems, University of Regensburg, Deutsche Bundesbank and University of Regensburg
Downloads 16 (593,608)

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probability of default, PD, credit risk, default correlation, asset correlation, point in time, value at risk, estimation risk

12.

The Impact of Collateralized Debt Obligation Arbitrage on Tranching and Financial Leverage of Structured Finance Securities

Journal of Risk, Vol. 16, No. 1, 2013
Number of pages: 32 Posted: 07 Jun 2016
Alfred Hamerle, Thilo Liebig and Hans-Jochen Schropp
University of Regensburg - Faculty of Business, Economics & Information Systems, Deutsche Bundesbank and BMW Bank of North America - BMW Financial Services
Downloads 0 (727,214)
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collateralized debt, arbitrage collateralized debt obligations, securitization