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Number of items: 16.

Hamerle, Alfred and Igl, Andreas and Plank, Kilian (2012) Correlation Smile, Volatility Skew and Systematic Risk Sensitivity of Tranches. Journal of Derivatives. (In Press) Volltext nicht vorhanden.

Plank, Kilian (2011) Diversification Potential of Structured Securities. The Journal of Fixed Income 20 (4), pp. 24-32. Volltext nicht vorhanden.

Hamerle, Alfred and Dartsch, Andreas and Jobst, Rainer and Plank, Kilian (2011) Integrating Macroeconomic Risk Factors into Credit Portfolio Models. Journal of Risk Model Validation 5 (2), pp. 3-24. Volltext nicht vorhanden.

Plank, Kilian (2011) Intrinsic risks and structuring risks of structured finance. Discussion Paper. Volltext nicht vorhanden.

Plank, Kilian and Walter, Roland (2010) Evaluation of Credit Portfolio Models: Test Statistics for Density-Based Tests. Journal of Risk. (In Press) Volltext nicht vorhanden.

Hamerle, Alfred and Plank, Kilian (2010) Copula Choice with Factor Credit Portfolio Models. In: Kneib, Thomas and Tutz, Gerhard, (eds.) Statistical Modelling and Regression Structures: Festschrift in Honour of Ludwig Fahrmeir. Physica-Verlag, pp. 321-336. ISBN 978-3-7908-2412-4. Volltext nicht vorhanden.

Plank, Kilian (2010) Diversification Potentials of Structured Securities. . (Unpublished) Volltext nicht vorhanden.

Hamerle, Alfred and Plank, Kilian (2010) Intransparenzen auf Verbriefungsmärkten – Auswirkungen auf Risikoanalyse und Bewertung. Informatik Spektrum 33, pp. 27-36. Volltext nicht vorhanden.

Donhauser, Martin and Hamerle, Alfred and Plank, Kilian (2010) Quantifying Systematic Risk in a Portfolio of Collateralised Debt Obligations. In: Rösch, Daniel and Scheule, Harald, (eds.) Model Risk: Identification, Measurement and Management. Risk Books, London, pp. 457-488. ISBN 978-1-906348-25-0 . Volltext nicht vorhanden.

Plank, Kilian (2010) Structured Credit Risk and the Crisis. Working Paper. Volltext nicht vorhanden.

Hamerle, Alfred and Plank, Kilian (2009) A note on the Berkowitz test with discrete distributions. Journal of Risk Model Validation 3 (2), pp. 3-10. Volltext nicht vorhanden.

Hamerle, Alfred and Plank, Kilian (2009) Is Diversification Possible with CDOs? Promises and Fallacies of an Investment Class. Working Paper. Volltext nicht vorhanden.

Hamerle, Alfred and Plank, Kilian (2008) ABS-CDOs mit Subprime Exposure: "Hochgiftig" trotz AAA-Rating? Risiko-Manager (25-26), pp. 8-10. Volltext nicht vorhanden.

Donhauser, Martin and Hamerle, Alfred and Plank, Kilian (2008) Dynamic Risk of CDOs. Working Paper. Volltext nicht vorhanden.

Hamerle, Alfred and Plank, Kilian (2008) Stress-testing CDOs. The Journal of Risk Model Validation 2 (4, Special Issue 2008/09), pp. 51-64. Volltext nicht vorhanden.

Plank, Kilian (2007) Multivariate Diffusion Modeling. PhD, Universität Regensburg. Volltext nicht vorhanden.

This list was generated on Sun Dec 21 22:34:13 2014 CET.
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