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~accessRights:"restricted"
~person:"Rösch, Daniel"
~person:"Welzel, Peter"
~subject:"Basler Eigenkapitalvereinbarung <2001>"
~subject:"Kreditrisiko"
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Basler Eigenkapitalvereinbarung <2001>
Kreditrisiko
Credit risk
24
Risikomanagement
9
Risk management
9
Basel Accord
8
Basler Akkord
8
Theorie
8
Theory
8
Derivat
7
Derivative
7
Bank lending
6
Kreditgeschäft
6
Credit rating
5
Estimation
5
Insolvency
5
Insolvenz
5
Kreditwürdigkeit
5
Portfolio selection
5
Portfolio-Management
5
Schätzung
5
Forecasting model
4
Hedging
4
Hypothek
4
Loss
4
Mortgage
4
Prognoseverfahren
4
Verlust
4
Business cycle
3
Konjunktur
3
Loss given default
3
Asset-liability management
2
Bank loans
2
Bank risk
2
Bankrisiko
2
Bayes-Statistik
2
Bayesian estimation
2
Bayesian inference
2
Bilanzstrukturmanagement
2
Correlation
2
Credit
2
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24
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24
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English
19
German
5
Author
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Rösch, Daniel
Welzel, Peter
Ongena, Steven
28
Acharya, Viral V.
22
Wang, Xingchun
18
Agarwal, Sumit
14
Chi, Guotai
14
Peydró, José-Luis
14
Hasan, Iftekhar
13
Scheule, Harald
13
Capponi, Agostino
11
Wu, Eliza
11
Degryse, Hans
10
Gambacorta, Leonardo
10
Lin, Chih-Yung
10
Mayordomo, Sergio
10
Shahzad, Syed Jawad Hussain
10
Andreeva, Galina
9
Crook, Jonathan N.
9
Fabozzi, Frank J.
9
Kanno, Masayasu
9
Norden, Lars
9
Altman, Edward I.
8
Anginer, Deniz
8
Augustin, Patrick
8
Chernov, Mikhail
8
Delēs, Manthos D.
8
Kiesel, Florian
8
Repullo, Rafael
8
Santos, João A. C.
8
Schulte-Mattler, Hermann
8
Zhou, Ying
8
Ballester, Laura
7
Boos, Karl-Heinz
7
González-Urteaga, Ana
7
Hammoudeh, Shawkat
7
He, Zhiguo
7
Jin, Justin Y.
7
Laeven, Luc
7
Li, Zhiyong
7
Ozili, Peterson K.
7
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Published in...
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Journal of banking & finance
4
European journal of operational research : EJOR
3
Schmalenbach business review : sbr
2
Zeitschrift für das gesamte Kreditwesen : Pflichtblatt der Frankfurter Wertpapierbörse
2
Die Bank
1
Economics and business review
1
Finance research letters
1
International journal of forecasting
1
Journal of empirical finance
1
Journal of financial stability
1
Journal of risk
1
Pacific-Basin finance journal
1
Review of derivatives research
1
Schmalenbachs Zeitschrift für betriebswirtschaftliche Forschung : ZfbF
1
The journal of real estate finance and economics
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
1
Wirtschaftswissenschaftliches Studium : WiSt ; Zeitschrift für Studium und Forschung
1
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ECONIS (ZBW)
24
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1
Opening the black box : quantile neural networks for loss given default prediction
Kellner, Ralf
;
Nagl, Maximilian
;
Rösch, Daniel
- In:
Journal of banking & finance
134
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013400086
Saved in:
2
Systematic credit risk in securitised mortgage portfolios
Lee, Yong Woong
;
Rösch, Daniel
;
Scheule, Harald
- In:
Journal of banking & finance
122
(
2021
),
pp. 1-19
Persistent link: https://www.econbiz.de/10012659310
Saved in:
3
Macroeconomic effects and frailties in the resolution of non-performing loans
Betz, Jennifer
;
Krüger, Steffen
;
Kellner, Ralf
; …
- In:
Journal of banking & finance
112
(
2020
),
pp. 1-26
Persistent link: https://www.econbiz.de/10012225295
Saved in:
4
Bayesian loss given default estimation for European sovereign bonds
Jobst, Rainer
;
Kellner, Ralf
;
Rösch, Daniel
- In:
International journal of forecasting
36
(
2020
)
3
,
pp. 1073-1091
Persistent link: https://www.econbiz.de/10012497723
Saved in:
5
Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model
Pfeuffer, Marius
;
Nagl, Maximilian
;
Fischer, Matthias
; …
- In:
Journal of risk
22
(
2019/2020
)
4
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012297503
Saved in:
6
Computing valuation adjustments for counterparty credit risk using a modified supervisory approach
Büchel, Patrick
;
Kratochwil, Michael
;
Rösch, Daniel
- In:
Review of derivatives research
23
(
2020
)
3
,
pp. 273-322
Persistent link: https://www.econbiz.de/10012303233
Saved in:
7
Liquidity constraints, home equity and residential mortgage losses
Do, Hung Xuan
;
Rösch, Daniel
;
Scheule, Harald
- In:
The journal of real estate finance and economics
61
(
2020
)
2
,
pp. 208-246
Persistent link: https://www.econbiz.de/10012293163
Saved in:
8
A copula sample selection model for predicting multi-year LGDs and Lifetime Expected Losses
Krüger, Steffen
;
Oehme, Toni
;
Rösch, Daniel
;
Scheule, …
- In:
Journal of empirical finance
47
(
2018
),
pp. 246-262
Persistent link: https://www.econbiz.de/10012103459
Saved in:
9
The impact of loan loss provisioning on bank capital requirements
Krüger, Steffen
;
Rösch, Daniel
;
Scheule, Harald
- In:
Journal of financial stability
36
(
2018
),
pp. 114-129
Persistent link: https://www.econbiz.de/10012156896
Saved in:
10
Predicting loss severities for residential mortgage loans : a three-step selection approach
Do, Hung Xuan
;
Rösch, Daniel
;
Scheule, Harald
- In:
European journal of operational research : EJOR
270
(
2018
)
1
,
pp. 246-259
Persistent link: https://www.econbiz.de/10011869001
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