Maximilian Nagl

Research topics

• Estimation of asset correlations

Teaching goals

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

• Multivariate Statistical Methods

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

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

Talks

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

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

R Packages

• AssetCorr: Package for estimating asset correlations from default data.