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• "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)

• "Hedging parameter risk", Claussen, Rösch, Schmelzle, 2019

  Publikation

  The accurate measurement and effective control of financial risk are of crucial importance to risk managers and regulators. However, risk measures are...

  Publikation auf epub.uni-regensburg.de: "Hedging parameter risk" (externer Link, öffnet neues Fenster)

• "A Bayesian Re-Interpretation of “significant” empirical financial research", Kellner, Rösch, 2019

  Publikation

  Currently, the use of t statistics and p-values is under scrutiny in various scientific fields for several reasons: p-hacking, data dredging,...

  Publikation auf epub.uni-regensburg.de: "A Bayesian Re-Interpretation of “significant” empirical financial research" (externer Link, öffnet neues Fenster)

• "A country specific point of view on international diversification", Kellner, Rösch, 2019

  Publikation

  This paper adds a country specific point of view on diversification among financial markets. Previous results indicate that emerging markets may...

  Publikation auf epub.uni-regensburg.de: "A country specific point of view on international diversification" (externer Link, öffnet neues Fenster)

• "Deep Credit Risk - Machine Learning in Python", Rösch, Scheule, 2020

  Publikation

  Publikation auf epub.uni-regensburg.de: "Deep Credit Risk - Machine Learning in Python" (externer Link, öffnet neues Fenster)

• "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)