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~person:"McAleer, Michael"
~person:"Rösch, Daniel"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Credit risk"
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Credit risk
38
Kreditrisiko
38
Basel Accord
16
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11
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11
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10
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McAleer, Michael
Rösch, Daniel
Altman, Edward I.
27
Scheule, Harald
26
Ongena, Steven
22
Jarrow, Robert A.
21
Capponi, Agostino
20
Crook, Jonathan N.
20
Schulte-Mattler, Hermann
20
Wang, Xingchun
20
Chi, Guotai
19
Gouriéroux, Christian
19
Fabozzi, Frank J.
18
Jacobs, Michael <Jr.>
17
Ghosh, Saibal
16
Lucas, André
16
Norden, Lars
16
Saunders, Anthony
16
Andreeva, Galina
15
Brigo, Damiano
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Hasan, Iftekhar
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Thomas, Lyn C.
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Wu, Chunchi
15
Acharya, Viral V.
14
Mayordomo, Sergio
14
Monfort, Alain
13
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13
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12
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12
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Tang, Dragon Yongjun
12
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11
Das, Sanjiv R.
11
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11
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11
Gürtler, Marc
11
Kanno, Masayasu
11
Kupiec, Paul H.
11
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11
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11
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European journal of operational research : EJOR
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2
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Zeitschrift für das gesamte Kreditwesen : Pflichtblatt der Frankfurter Wertpapierbörse
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ECONIS (ZBW)
38
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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
What drives the time to resolution of defaulted bank loans?
Betz, Jennifer
;
Kellner, Ralf
;
Rösch, Daniel
- In:
Finance research letters
18
(
2016
),
pp. 7-31
Persistent link: https://www.econbiz.de/10011656489
Saved in:
9
Forecasting probabilities of default and loss rates given default in the presence of selection
Rösch, Daniel
;
Scheule, Harald
- In:
Journal of the Operational Research Society : OR
65
(
2014
)
3
,
pp. 393-407
Persistent link: https://www.econbiz.de/10010251696
Saved in:
10
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
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