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  • Search: person:"Cremers, Heinz"
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Year of publication
Subject
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Theorie 14 Theory 13 Kreditrisiko 11 risk management 10 Basel II 9 pricing 7 Credit risk 6 Risikomanagement 6 Value at Risk 6 credit default swap 6 credit portfolio management 6 default spread 6 valuation 6 Backtesting 5 Basel III 5 Bootstrapping 5 Liquidity Coverage Ratio 5 Portfolio selection 5 Portfolio-Management 5 Risikomaß 5 Z-Spread 5 Alpha Error 4 Basler Akkord 4 Beta Error 4 Credit rating 4 Credit risk pricing models 4 Deutschland 4 Financial analysis 4 Finanzanalyse 4 Kreditwürdigkeit 4 Market Risk 4 Risk management 4 Risk measure 4 Svensson 4 asset-based models 4 asset-value models 4 credit derivatives 4 credit risk 4 intensity-based models 4 reduced-form models 4
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Online availability
All
Free 72 Undetermined 3
Type of publication
All
Book / Working Paper 92 Article 5
Subcategories
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Working paper 72 Article in journal 3 Book section 1 Literature review 1 Textbook 1
Language
All
German 74 Undetermined 12 English 11
Author
All
Cremers, Heinz 96 Walzner, Jens 12 Kluß, Norbert 8 Schmidt, Michael 5 Schwarz, Willi 5 Balthasar, Daniel 4 Hentze, Rainald 4 Lang, Michael 4 Löhr, Andreas 4 Robé, Sophie 4 Thiele, Dirk 4 Traughber, Patrick 4 Vetter, Michael 4 Allgeier, Burkhard 3 Bayer, Marcus 3 Braun, Daniel 3 Hewicker, Harald 3 Krasnosselski, Nikolai 3 Krones, Julia 3 König, Markus 3 Mala, Julia 3 Mehmke, Fabian 3 Noack, Tim 3 Odermann, Alexander 3 Packham, Natalie 3 Sanddorf, Walter 3 Tinschert, Jonas 3 Völker, Florian 3 Moormann, Jürgen 2 Panzer, Christof 2 Balthasar; Daniel 1 Bayer, Markus 1 Bischoff, Wolfgang 1 Fieger, Werner 1 Heinz, Cremers 1 Kadelka, Dieter 1 König, Marcus 1 Werner, Fieger 1
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Institution
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Frankfurt School of Finance and Management 24 Frankfurt School of Finance & Management 10 Frankfurt School of Finance 1
Published in...
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Frankfurt School - Working Paper Series 40 Working paper series / Frankfurt School of Finance & Management 25 Arbeitsbericht 9 Frankfurt School of Finance & Management - Working Paper 9 Arbeitsberichte der Hochschule für Bankwirtschaft 7 Arbeitsberichte / Hochschule für Bankwirtschaft 3 Arbeitsberichte / Hochschule für Bankwirtschaft. Hrsg.: Hochschule für Bankwirtschaft, Private Fachhochschule der Bankademie 2 Six Sigma in der Finanzbranche 2 Arbeitsberichte 1 Frankfurt School of Finance & Management 1 Frankfurt School of Finance & Management - Veröffentlichungen 1 Frankfurt School of Finance & Management - Working Papers 1 HfB - Working Paper Series 1 Journal of Multivariate Analysis 1 No. 127(2010) 1 No. 136(2010) 1 Quantitative Methoden in der Bankbetriebslehre 1 Statistics & Risk Modeling 1 Stochastic Processes and their Applications 1 http://www.frankfurt-school.de/content/de 1
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Source
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ECONIS (ZBW) 30 RePEc 27 EconStor 24 USB Cologne (business full texts) 12 USB Cologne (EcoSocSci) 4
Showing 1 - 10 of 38
 
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Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität : ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - 2014
The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates...
Persistent link: https://www.econbiz.de/10010237661
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Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - 2014
Book / Working Paper
Cover Image
Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - 2014
Book / Working Paper
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Neue regulatorische Konzepte der Bankenaufsicht und ihre Auswirkungen auf die Gesamtbanksteuerung
Noack, Tim; Cremers, Heinz; Mala, Julia - 2014
The Basel III framework represents the response to the regulation deficits of the financial cri-sis and the immense losses of many banks in years 2007/2008. The aim of the framework is to increase the level of capital in financial institutions and to improve the loss absorption and risk coverage...
Persistent link: https://www.econbiz.de/10010364737
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Neue regulatorische Konzepte der Bankenaufsicht und ihre Auswirkungen auf die Gesamtbanksteuerung
Noack, Tim; Cremers, Heinz; Mala, Julia - 2014
Book / Working Paper
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Neue regulatorische Konzepte der Bankenaufsicht und ihre Auswirkungen auf die Gesamtbanksteuerung
Noack, Tim; Cremers, Heinz; Mala, Julia - 2014
Book / Working Paper
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Komponenten und Determinanten des Credit Spreads : empirische Untersuchung während Phasen von Marktstress
Odermann, Alexander; Cremers, Heinz - 2013
The credit crisis and the following sovereign debt crisis during 2007 and 2012 led to an increasing volatility of European corporate bond credit spreads. European investment grade credit spreads rose in 2007 and 2008 from 50 BP to over 350 BP. In the years after the credit spreads declined to...
Persistent link: https://www.econbiz.de/10010197006
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Komponenten und Determinanten des Credit Spreads: Empirische Untersuchung während Phasen von Marktstress
Odermann, Alexander; Cremers, Heinz - 2013
Book / Working Paper
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Komponenten und Determinanten des Credit Spreads: Empirische Untersuchung während Phasen von Marktstress
Odermann, Alexander; Cremers, Heinz - 2013
Book / Working Paper
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Validierung von Konzepten zur Messung des Marktrisikos : insbesondere des Value at Risk und des Expected Shortfall
Mehmke, Fabian; Cremers, Heinz; Packham, Natalie - 2012
Market risk management is one of the key factors to success in managing financial institutions. Underestimated risk can have desastrous consequences for individual companies and even whole economies, not least as could be seen during the recent crises. Overestimated risk, on the other side, may...
Persistent link: https://www.econbiz.de/10009575075
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Validierung von Konzepten zur Messung des Marktrisikos: Insbesondere des Value at Risk und des Expected Shortfall
Mehmke, Fabian; Cremers, Heinz; Packham, Natalie - 2012
Book / Working Paper
Cover Image
Validierung von Konzepten zur Messung des Marktrisikos: Insbesondere des Value at Risk und des Expected Shortfall
Mehmke, Fabian; Cremers, Heinz; Packham, Natalie - 2012
Book / Working Paper
Cover Image
Eine Analyse des Credit Spreads und seiner Komponenten als Grundlage für Hedge Strategien mit Kreditderivaten
Krones, Julia; Cremers, Heinz - 2012
In almost every financial market crisis we can observe widening credit spreads, especially in the last years during the subprime and sovereign debt crisis. But what exactly drives the credit spread? This paper will outline static components, i.e. default risk, liquidity, risk and the relative...
Persistent link: https://www.econbiz.de/10009576035
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Eine Analyse des Credit Spreads und seiner Komponenten als Grundlage für Hedge Strategien mit Kreditderivaten
Krones, Julia; Cremers, Heinz - 2012
Book / Working Paper
Cover Image
Eine Analyse des Credit Spreads und seiner Komponenten als Grundlage für Hedge Strategien mit Kreditderivaten
Krones, Julia; Cremers, Heinz - 2012
Book / Working Paper
Cover Image
Fixed income strategies for trading and for asset management
Tinschert, Jonas; Cremers, Heinz - 2012
Trading and investment strategies play an essential part in better understanding fixed income markets. Over-the-counter markets and thousands of different outstanding bonds increase the difficulties to identify adequate comparison methods. Market participants and their practices differ widely...
Persistent link: https://www.econbiz.de/10009622377
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Fixed income strategies for trading and for asset management
Tinschert, Jonas; Cremers, Heinz - 2012
Book / Working Paper
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Fixed income strategies for trading and for asset management
Tinschert, Jonas; Cremers, Heinz - 2012
Book / Working Paper
Cover Image
Integration des Marktliquiditätsrisikos in das Risikoanalysekonzept des Value at Risk
Völker, Florian; Cremers, Heinz; Panzer, Christof - 2012
Persistent link: https://www.econbiz.de/10010310853
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Integration des Marktliquiditätsrisikos in das Risikoanalysekonzept des Value at Risk
Völker, Florian; Cremers, Heinz; Panzer, Christof - 2012
Book / Working Paper
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Integration des Marktliquiditätsrisikos in das Risikoanalysekonzept des Value at Risk
Völker, Florian; Cremers, Heinz - 2012
Most traditional Value at Risk models neglect market liquidity risk and hence only consider the market price risk (i.e. risk associated with holding a certain position). In order to fully capture the market risk associated to holding and trading a position, we first define market liquidity risk,...
Persistent link: https://www.econbiz.de/10009660020
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Modellierung von Zinsstrukturkurven
Hewicker, Harald; Cremers, Heinz - 2011
Being able to model yield curves from observed bond yields is essential in capital markets. Yield curves are required to accurately price financial products as well as to correctly assess the macroeconomic situation of economies. Current models based on the work of Nelson/Siegel et al. apply a...
Persistent link: https://www.econbiz.de/10009231941
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Modellierung von Zinsstrukturkurven
Hewicker, Harald; Cremers, Heinz - 2011
Book / Working Paper
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Modellierung von Zinsstrukturkurven
Hewicker, Harald; Cremers, Heinz - 2011
Book / Working Paper
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Ratingverfahren : Diskriminanzanalyse versus Logistische Regression
Braun, Daniel; Allgeier, Burkhard; Cremers, Heinz - 2011
The credit business is an essential part of each banks' activities. With regard to the increasing regulatory obligations, the risk management and the associated minimum capital requirements gain in importance. Banks have got the possibility to determine their credit risk by an internal rating...
Persistent link: https://www.econbiz.de/10009404801
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Ratingverfahren: Diskriminanzanalyse versus Logistische Regression
Braun, Daniel; Allgeier, Burkhard; Cremers, Heinz - 2011
Book / Working Paper
Cover Image
Ratingverfahren: Diskriminanzanalyse versus Logistische Regression
Braun, Daniel; Allgeier, Burkhard; Cremers, Heinz - 2011
Book / Working Paper
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