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Publications by Plank, Kilian

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Jump to: 2012 | 2011 | 2010 | 2009 | 2008 | 2007
Number of items: 16.

2012

Hamerle, Alfred and Igl, Andreas and Plank, Kilian (2012) Correlation Smile, Volatility Skew and Systematic Risk Sensitivity of Tranches. Journal of Derivatives. (In Press) Fulltext not available.

2011

Plank, Kilian (2011) Diversification Potential of Structured Securities. The Journal of Fixed Income 20 (4), pp. 24-32. Fulltext not available.

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. Fulltext not available.

Plank, Kilian (2011) Intrinsic risks and structuring risks of structured finance. Discussion Paper. Fulltext not available.

2010

Plank, Kilian and Walter, Roland (2010) Evaluation of Credit Portfolio Models: Test Statistics for Density-Based Tests. Journal of Risk. (In Press) Fulltext not available.

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. Fulltext not available.

Plank, Kilian (2010) Diversification Potentials of Structured Securities. (Unpublished) Fulltext not available.

Hamerle, Alfred and Plank, Kilian (2010) Intransparenzen auf Verbriefungsmärkten – Auswirkungen auf Risikoanalyse und Bewertung. Informatik Spektrum 33, pp. 27-36. Fulltext not available.

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 . Fulltext not available.

Plank, Kilian (2010) Structured Credit Risk and the Crisis. Working Paper. Fulltext not available.

2009

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. Fulltext not available.

Hamerle, Alfred and Plank, Kilian (2009) Is Diversification Possible with CDOs? Promises and Fallacies of an Investment Class. Working Paper. Fulltext not available.

2008

Hamerle, Alfred and Plank, Kilian (2008) ABS-CDOs mit Subprime Exposure: "Hochgiftig" trotz AAA-Rating? Risiko-Manager (25-26), pp. 8-10. Fulltext not available.

Donhauser, Martin and Hamerle, Alfred and Plank, Kilian (2008) Dynamic Risk of CDOs. Working Paper. Fulltext not available.

Hamerle, Alfred and Plank, Kilian (2008) Stress-testing CDOs. The Journal of Risk Model Validation 2 (4, Special Issue 2008/09), pp. 51-64. Fulltext not available.

2007

Plank, Kilian (2007) Multivariate Diffusion Modeling. PhD, Universität Regensburg. Fulltext not available.

This list was generated on Thu Sep 29 20:47:38 2016 CEST.
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