Dr. Maximilian Nagl

Research topics

Credit Risk (EAD | LGD | Assetcorrelation)
Machine Learning applications in finance
Explainable Artificial Intelligence (XAI)
Bayesian Statistics

Teaching goals

Supervision of theses (B.Sc. and M.Sc.)
Tutorials for Data Science & Machine Learning
Lectures for Applied Data Science

Short biography

since 2022: Postdoctoral Researcher (Post-Doc) at the chair of statistics and risk management, Universität Regensburg
since 2021: Representative of the scientific staff
2018-2022: Research assistant at the chair of statistics and risk management, Universität Regensburg
2017: Semester abroad, Università Cattolica del Sacro Cuore, Milan
2015 – 2018: Business administration | M.Sc. (corporate finance and quantitative finance), Universität Regensburg
2012 – 2015: Business administration | B.Sc. (financial management and reporting), Universität Regensburg

Publications

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Working Papers

Introducing and Interpreable Deep Learning Approach to Domain-Specific Dictionary Creation: A Use Case for Conflict Prediction Forthcomming In Politcal Analysis (2022)

Sonja Häffner, Martin Hofer, Maximilian Nagl and Julian Walterskirchen

The Impact of Qualitative Information on Corporate Creditworthiness (2022)

Maximilian Nagl, Johannes Raab and Daniel Rösch

Non-linearity and the distribution of market based loss rates (2022)

Matthias Nagl, Maximilian Nagl and Daniel Rösch

Does non-linearity in risk premiums vary over time? (2021)

Maximilian Nagl

Conferences

16th International Conference on Computational and Financial Econometrics (CFE) 2022, London (UK)

Global Credit Data (GCD) European Conference 2022, London (UK)

Brown Bag Seminar AFT 2022, University of Passau

14th International Risk Management Conference 2021 (Cagliari, virtual)

Finance Research Letters Annual Event 2021 (presentation & session chair)

Global Credit Data (GCD) European Conference 2021 (virtual)

14th International Conference on Computational and Financial Econometrics (CFE) 2020, London (United Kingdom, virtual)

33th Australasian Finance and Banking Conference (AFBC) 2020, Sydney (Australia, virtual)

9th International Conference on Futures and other Derivatives (ICFOD) 2020, Zhuhai (China, virtual)

FIRM Round Table Artificial Intelligence 2020, Frankfurt (Germany, virtual)

13th International Conference on Computational and Financial Econometrics (CFE) 2019, London (United Kingdom)

Global Credit Data (GCD) European Conference 2019, Vienna (Austria)

Software

R Packages

AssetCorr: Package for estimating asset correlations from default data.