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Number of items: 18.

Article

Hamerle, Alfred and Knapp, Michael and Werndl, Thomas (2011) VaR-Dekomposition und Diversifikationseffekte. Risiko Manager (9), pp. 1-17.

Haas, Rainer and Knapp, Michael and Lerner, Matthias (2008) Entwicklung eines Kreditportfoliomodells für ein mittelständisches Kreditinstitut. Risiko-Manager (13), pp. 16-25.

Haas, Rainer and Knapp, Michael and Lerner, Matthias (2007) Einsatz eines Kreditrisikomodells – Praktischer Nutzen eines Portfoliomodells in einem mittelständischen Kreditinstitut. Bank-Praktiker 3 (04), pp. 220-227.

Hamerle, Alfred and Knapp, Michael and Wildenauer, Nicole (2007) Default and recovery correlations - A dynamic econometric approach. Risk: Risk magazine (January), pp. 100-105.

Müller, Rainer and Knapp, Michael and Heckmann, Klaus and Von Ruthendorf, M. and Boden, G. (2004) Protecting Nanoscaled Non-oxidic Particles from Oxygen Uptake by Coating with Nitrogen-Containing Surfactants. Langmuir 20 (7), pp. 2598-2606.

Knapp, Michael (2001) Basel II - Wettlauf mit der Zeit. FIN.KOM Magazin für Banking Innovation (3), p. 5.

Hamerle, Alfred and Knapp, Michael (1999) Multi-Faktor-Modell zur Bestimmung segmentspezifischer Ausfallwahrscheinlichkeiten für die Kredit-Portfolio-Steuerung. Wirtschaftsinformatik 41 (2), pp. 138-144.

Hamerle, Alfred and Knapp, Michael and Ott, Birgit and Schacht, Guido (1998) Prognose und Sensitivitätsanalyse von Branchenrisiken - ein neuer Ansatz. Die Bank (07), p. 428.

Book Section

Hamerle, Alfred and Jobst, Rainer and Knapp, Michael and Lerner, Matthias (2008) Stress-Testing Credit Value-at-Risk: a Multiyear Approach. In: Rösch, Daniel and Scheule, Harald, (eds.) Stress Testing for Financial Institutions: Applications, Regulations and Techniques. Riskbooks, London, pp. 67-91. ISBN 978-1-906348-11-3.

Hamerle, Alfred and Knapp, Michael and Wildenauer, Nicole (2006) Modelling Loss Given Default: A "Point in Time"-Approach. In: Engelmann, Bernd, (ed.) The Basel II risk parameters: estimation, validation, and stress testing. Springer, Berlin, pp. 127-142. ISBN 3-540-33085-2.

Boegelein, Leif and Hamerle, Alfred and Knapp, Michael and Rösch, Daniel (2004) Econometric Approaches for Sector Analysis. In: Gundlach, Matthias and Lehrbaß, Frank, (eds.) CreditRisk+ in the Banking Industry. Springer, Berlin, pp. 231-248. ISBN 3-540-20738-4.

Boegelein, Leif and Hamerle, Alfred and Knapp, Michael and Rösch, Daniel (2004) 14. Econometric Methods for Sector Analysis. In: Gundlach, Matthias and Lehrbass, Frank, (eds.) CreditRisk+ in the banking industry. Springer finance (14). Springer, Berlin, pp. 231-248. ISBN 3-540-20738-4; 978-3-540-20738-2.

Monograph

Hamerle, Alfred and Knapp, Michael and Wildenauer, Nicole (2006) Explaining default and recovery correlations - A dynamic econometric approach. Working Paper.

Hamerle, Alfred and Knapp, Michael and Wildenauer, Nicole (2005) Auswirkungen unterschiedlicher Assetkorrelationen in Mehr-Sektoren-Kreditportfoliomodellen. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 409, Working Paper.

Hamerle, Alfred and Knapp, Michael and Liebig, Thilo and Wildenauer, Nicole (2005) Incorporating prediction and estimation risk in point-in-time credit portfolio models. Deutsche Bundesbank: Discussion Paper: Series 2: Banking and Financial Studies 13/2005, Working Paper, Deutsche Bundesbank, Frankfurt am Main.

Knapp, Michael (1998) RAP-Modelle (RAROC, RORAC). Working Paper.

Hamerle, Alfred and Knapp, Michael (1998) Zukunftsorientierte Messung des Kreditrisikos im Firmenkundengeschäft. Working Paper. (Unpublished)

Thesis

Knapp, Michael (2001) Zeitabhängige Kreditportfoliomodelle. PhD, Universität Regensburg.

This list was generated on Wed Aug 27 23:00:56 2014 CEST.
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