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• "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)

• "Sovereign Probabilities of Default in the Euro Area", Jobst, 2022

  Publikation

  Journal of Credit Risk 1755-9723,1744-6619 10.21314/JCR.2022.011

  Publikation auf epub.uni-regensburg.de: "Sovereign Probabilities of Default in the Euro Area" (externer Link, öffnet neues Fenster)

• "Opening the black box – Quantile neural networks for loss given default prediction", Kellner, Nagl, Rösch, 2022

  Publikation

  We extend the linear quantile regression with a neural network structure to enable more flexibility in every quantile of the bank loan loss given...

  Publikation auf epub.uni-regensburg.de: "Opening the black box – Quantile neural networks for loss given default prediction" (externer Link, öffnet neues Fenster)

• "Statistical and machine learning for credit and market risk management", Nagl, 2022

  Publikation

  Finanzinstitute spielen eine wichtige Rolle für die Stabilität des Finanzsektors. Sie bekleiden eine entscheidende Rolle als Intermediäre bei der...

  Publikation auf epub.uni-regensburg.de: "Statistical and machine learning for credit and market risk management" (externer Link, öffnet neues Fenster)