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• "The Path to Impairment: Do Credit Rating Agencies Anticipate Default Events of Structured Finance Transactions?", Bodenstedt, Rösch, Scheule, 2013

  Publikation

  The Global Financial Crisis (GFC) has led to a general discussion of the accuracy and declining standards of credit rating agency ratings. Substantial...

  Publikation auf epub.uni-regensburg.de: "The Path to Impairment: Do Credit Rating Agencies Anticipate Default Events of Structured Finance Transactions?" (externer Link, öffnet neues Fenster)

• "Credit Securitisations and Derivatives: Challenges for the Global Markets", 2013

  Publikation

  Publikation auf epub.uni-regensburg.de: "Credit Securitisations and Derivatives: Challenges for the Global Markets" (externer Link, öffnet neues Fenster)

• "Cure Events in Default Prediction", Rösch, Wolter, 2014

  Publikation

  This paper evaluates the resurrection event regarding defaulted firms and incorporates observable cure events in the default prediction of SME. Due to...

  Publikation auf epub.uni-regensburg.de: "Cure Events in Default Prediction" (externer Link, öffnet neues Fenster)

• "Forecasting Probabilities of Default and Loss Rates Given Default in the Presence of Selection", Rösch, Scheule, 2014

  Publikation

  This paper offers a joint estimation approach for forecasting probabilities of default and loss rates given default in the presence of selection. The...

  Publikation auf epub.uni-regensburg.de: "Forecasting Probabilities of Default and Loss Rates Given Default in the Presence of Selection" (externer Link, öffnet neues Fenster)

• "Forecasting Mortgage Securitization Risk Under Systematic Risk and Parameter Uncertainty", Rösch, Scheule, 2014

  Publikation

  The global financial crisis exposed financial institutions to severe unexpected losses in relation to mortgage securitizations and derivatives. This...

  Publikation auf epub.uni-regensburg.de: "Forecasting Mortgage Securitization Risk Under Systematic Risk and Parameter Uncertainty" (externer Link, öffnet neues Fenster)

• "Asset portfolio securitizations and cyclicality of regulatory capital", Lützenkirchen, Rösch, Scheule, 2014

  Publikation

  This paper analyzes the level and cyclicality of regulatory bank capital for asset portfolio securitizations in relation to the cyclicality of capital...

  Publikation auf epub.uni-regensburg.de: "Asset portfolio securitizations and cyclicality of regulatory capital" (externer Link, öffnet neues Fenster)

• "An Analytical Approach for Systematic Risk Sensitivity of Structured Finance Products", Claussen, Löhr, Rösch, 2014

  Publikation

  The global financial crisis has shown that many financial institutions dealing with credit derivatives were exposed to severe unexpected losses. This...

  Publikation auf epub.uni-regensburg.de: "An Analytical Approach for Systematic Risk Sensitivity of Structured Finance Products" (externer Link, öffnet neues Fenster)

• "A Simple Econometric Approach for Modeling Stress Event Intensities", Jobst, Rösch, Scheule, Schmelzle, 2015

  Publikation

  This paper introduces a simple, non-parametric way of inferring risk-neutral credit stress event intensities for idiosyncratic, sectoral, and global...

  Publikation auf epub.uni-regensburg.de: "A Simple Econometric Approach for Modeling Stress Event Intensities" (externer Link, öffnet neues Fenster)

• "Zur empirischen Identifikation von Risikofaktoren bei Modellen der Arbitrage Pricing Theory", Hamerle, Rösch, 1998

  Publikation

  In jüngerer Zeit werden in zunehmendem Maße Ansätze der Arbitrage Pricing Theory im praktischen Portfoliomanagement eingesetzt. Eine wichtige Klasse...

  Publikation auf epub.uni-regensburg.de: "Zur empirischen Identifikation von Risikofaktoren bei Modellen der Arbitrage Pricing Theory" (externer Link, öffnet neues Fenster)

• "Transfer von Kreditrisiko - Strukturen von Kreditderivaten", Rösch, 2001

  Publikation

  Kredit-Praxis 0172-7400,0342-4928

  Publikation auf epub.uni-regensburg.de: "Transfer von Kreditrisiko - Strukturen von Kreditderivaten" (externer Link, öffnet neues Fenster)