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• "Credit exposure under the new standardized approach for counterparty credit risk: fixing the treatment of equity options", Kratochwil, 2020

  Publikation

  The new standardized approach for measuring counterparty credit risk exposures (SA-CCR) will replace the existing regulatory standard methods for...

  Publikation auf epub.uni-regensburg.de: "Credit exposure under the new standardized approach for counterparty credit risk: fixing the treatment of equity options" (externer Link, öffnet neues Fenster)

• "Bayesian Loss Given Default Estimation for European Sovereign Bonds", Jobst, Kellner, Rösch, 2020

  Publikation

  We develop and apply a Bayesian model for the loss rates given defaults (LGDs) of European Sovereigns. Financial institutions are in need of LGD...

  Publikation auf epub.uni-regensburg.de: "Bayesian Loss Given Default Estimation for European Sovereign Bonds" (externer Link, öffnet neues Fenster)

• "Macroeconomic effects and frailties in the resolution of non-performing loans", Betz, Krüger, Kellner, Rösch, 2020

  Publikation

  Resolution of non-performing loans is a key determinant of bank credit default losses. This paper analyzes macroeconomic and systematic frailty...

  Publikation auf epub.uni-regensburg.de: "Macroeconomic effects and frailties in the resolution of non-performing loans" (externer Link, öffnet neues Fenster)

• "Computing valuation adjustments for counterparty credit risk using a modified supervisory approach", Büchel, Kratochwil, Rösch, 2020

  Publikation

  Considering counterparty credit risk (CCR) for derivatives using valuation adjustments (CVA) is a fundamental and challenging task for entities...

  Publikation auf epub.uni-regensburg.de: "Computing valuation adjustments for counterparty credit risk using a modified supervisory approach" (externer Link, öffnet neues Fenster)

• "Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model", Pfeuffer, Nagl, Fischer, Rösch, 2020

  Publikation

  This paper is devoted to the parameterization of correlations in the Vasicek credit portfolio model. First, we analytically approximate standard...

  Publikation auf epub.uni-regensburg.de: "Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model" (externer Link, öffnet neues Fenster)

• "Measuring Counterparty Risk - Development of innovative Methods in Light of Regulatory Reforms", Kratochwil, 2020

  Publikation

  This cumulative doctoral thesis amends the literature on modeling counterparty credit risk exposures. The calculation of exposure measures for...

  Publikation auf epub.uni-regensburg.de: "Measuring Counterparty Risk - Development of innovative Methods in Light of Regulatory Reforms" (externer Link, öffnet neues Fenster)

• "Systematic Credit Risk in Securitised Mortgage Portfolios", Lee, Scheule, Rösch, 2021

  Publikation

  This study analyses the level of systematic risk for US mortgage portfolio securitisations based on the variation of default rates which cannot be...

  Publikation auf epub.uni-regensburg.de: "Systematic Credit Risk in Securitised Mortgage Portfolios" (externer Link, öffnet neues Fenster)

• "Time matters: How default resolution times impact final loss rates", Betz, Kellner, Rösch, 2021

  Publikation

  Using access to a unique bank loss database, we find positive dependencies of default resolution times (DRTs) of defaulted bank loan contracts and...

  Publikation auf epub.uni-regensburg.de: "Time matters: How default resolution times impact final loss rates" (externer Link, öffnet neues Fenster)

• "A shrinkage approach for Sharpe ratio optimal portfolios with estimation risks", Kircher, Rösch, 2021

  Publikation

  We consider the problem of maximizing the out-of-sample Sharpe ratio when portfolio weights have to be estimated. We apply an improved bootstrap-based...

  Publikation auf epub.uni-regensburg.de: "A shrinkage approach for Sharpe ratio optimal portfolios with estimation risks" (externer Link, öffnet neues Fenster)

• "Euro Zone Sovereign Default Risk and Capital—A Bayesian Approach", Jobst, Rösch, 2022

  Publikation

  The Journal of Fixed Income 1059-8596,2168-8648 10.3905/jfi.2021.1.124

  Publikation auf epub.uni-regensburg.de: "Euro Zone Sovereign Default Risk and Capital—A Bayesian Approach" (externer Link, öffnet neues Fenster)