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Number of items: 16.

Article

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

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

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.

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

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 (Unpublished)

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

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.

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

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

Book Section

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.

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 .

Monograph

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

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

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

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

Thesis

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

This list was generated on Tue Oct 21 05:51:15 2014 CEST.
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