Go to content
UR Home

Maximilian Nagl

Profil

Research topic

  • Credit Risk (EAD | LGD | Assetcorrelation)
  • Machine Learning applications in finance
  • Bayesian Statistics

Teaching goals

  • Supervision of theses (B.Sc. and M.Sc.)

  • Tutorials for Data Science & Machine Learning

  • Tutorials for Applied Data Science

Short biography

  • since 2018: 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

Publications

Parameter Estimation, Bias Correction and Uncertainty Quantification in the Vasicek Credit Portfolio Model,
Pfeuffer, M., Nagl, M., Fischer, M., Rösch, D., Journal of Risk 22, 1-29, (2020)

Talks

  • 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.


  1. Faculty of Business, Economics and Management Information Systems
  2. Department of Business Administration

Chair of Statistics and Risk Management

Research Assistant

Maximilian Nagl

Nagl 191 191

Room RW(S) 212

Phone +49 941 943-2752
Fax +49 941 943-4936
E-Mail
Office hours: Tue 10-11 and by arrangement