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Number of items: 84.

Article

Claussen, Arndt and Löhr, Sebastian and Rösch, Daniel (2014) An Analytical Approach for Systematic Risk Sensitivity of Structured Finance Products. Review of Derivatives Research 17, pp. 1-37. Fulltext not available.

Lützenkirchen, Kristina and Rösch, Daniel and Scheule, Harald (2014) Asset portfolio securitizations and cyclicality of regulatory capital. European Journal of Operational Research. (In Press) Fulltext not available.

Löhr, Sebastian and Mursajew, Olga and Rösch, Daniel and Scheule, Harald (2013) Dynamic Correlation Modeling and Spread Forecasting in Structured Finance. Journal of Futures Markets 33 (11), pp. 994-1023. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2013) Forecasting Mortgage Securitization Risk under Systematic Risk and Parameter Uncertainty. Journal of Risk and Insurance. (In Press) Fulltext not available.

Lützenkirchen, Kristina and Rösch, Daniel and Scheule, Harald (2013) Ratings Based Capital Adequacy for Securitizations. Journal of Banking and Finance 37, pp. 5236-5247. Fulltext not available.

Bodenstedt, Matthias and Rösch, Daniel and Scheule, Harald (2013) The Path to Impairment: Do Credit Rating Agencies Anticipate Default Events of Structured Finance Transactions? European Journal of Finance 19 (9), pp. 841-860. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2012) Capital Incentives and Adequacy for Securitizations. Journal of Banking and Finance 36 (3), pp. 733-748. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2012) Forecasting Probabilities of Default and Loss Rates Given Default in the Presence of Selection. Journal of the Operational Research Society. Fulltext not available.

Rösch, Daniel and Wolter, Marcus (2012) Mehrperiodenausfallprognose eines Bankportfolios aus deutschen mittelständischen Unternehmen. Kredit und Kapital 45 (2), pp. 189-217. Fulltext not available.

Claussen, Arndt and Löhr, Sebastian and Lützenkirchen, Kristina and Rösch, Daniel and Scheule, Harald (2011) Credit Ratings und Kapital für Verbriefungstransaktionen. Risikomanager 9, pp. 20-21. Fulltext not available.

Bade, Benjamin and Rösch, Daniel and Scheule, Harald (2011) Default and Recovery Dependencies in a Simple Credit Risk Model. European Financial Management 17 (1), pp. 120-144. Fulltext not available.

Bade, Benjamin and Rösch, Daniel and Scheule, Harald (2011) Empirical Performance of Loss Given Default Prediction Models. Journal of Risk Model Validation 5 (2), pp. 25-44. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2010) Downturn Credit Portfolio Risk, Regulatory Capital and Prudential Incentives. International Review of Finance 10 (2), pp. 185-207. Fulltext not available.

Breitner, Michael and Rösch, Daniel and Tymchenko, Grigoriy and von Mettenheim, Hans-Jörg (2010) Sicherheit und Risikomanagement an den Finanzmärkten. Uni-Magazin, Leibniz Universität Hannover. Fulltext not available.

Rösch, Daniel (2010) Warum haben Ratings von Verbriefungen versagt? Sparkassenzeitschrift 73 (46). Fulltext not available.

Rösch, Daniel and Scheule, Harald (2009) Credit Portfolio Loss Forecasts for Economic Downturns. Financial Markets, Institutions and Instruments 18 (1), pp. 1-26. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2009) Downturn LGD for Hong Kong Mortgage Loan Portfolios. Journal of Risk Model Validation 2 (4), pp. 3-11. Fulltext not available.

Breitner, Michael and Rösch, Daniel and von Mettenheim, Hans-Jörg (2009) Finanzwirtschaft und Finanzinstitutionen. OR News (36), pp. 74-75. Fulltext not available.

Rösch, Daniel and Winterfeldt, Birker (2008) Estimating Credit Contagion in a Standard Factor Model. Asia Risk, pp. 66-71. Fulltext not available.

Rösch, Daniel and Winterfeldt, Birker (2008) Estimating Credit Contagion in a Standard Factor Model. Risk 21, pp. 78-82. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2008) Credit Rating Impact on CDO Evaluation. Global Finance Journal 19 (3), pp. 235-251. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2007) Multiyear Dynamics for Forecasting Economic and Regulatory Capital in Banking. Journal of Credit Risk 3 (4), pp. 113-134. Fulltext not available.

Hamerle, Alfred and Jobst, Rainer and Liebig, Thilo and Rösch, Daniel (2007) Multiyear Risk of Credit Losses in SME Portfolios. Journal of Financial Forecasting 1 (2), pp. 25-54. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2007) Stress-Testing Credit Risk Parameters - An Application to Retail Loan Portfolios. Journal of Risk Model Validation 1 (1), pp. 55-75. Fulltext not available.

Hamerle, Alfred and Rösch, Daniel (2006) Parameterizing Credit Risk Models. Journal of Credit Risk 2 (4), pp. 101-122. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2005) A Multifactor Approach for Systematic Default and Recovery Risk. The Journal of Fixed Income 15 (2), pp. 63-75. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2005) A Multi-Factor Approach for Systematic Default and Recovery Risk. Journal of Fixed Income 15 (2), pp. 63-75. Fulltext not available.

Rösch, Daniel (2005) An Empirical Comparison of Default Risk Forecasts from Alternative Credit Rating Philosophies. International Journal of Forecasting 21 (1), pp. 37-51. Fulltext not available.

Hamerle, Alfred and Rösch, Daniel (2005) Backtesting von Ausfallwahrscheinlichkeiten und „Risiko²“. Die Unternehmung 59 (6), pp. 535-546. Fulltext not available.

Hamerle, Alfred and Rösch, Daniel (2005) Bankinterne Parametrisierung und empirischer Vergleich von Kreditrisikomodellen. Die Betriebswirtschaft 65 (2), pp. 179-196. Fulltext not available.

Hamerle, Alfred and Rösch, Daniel (2005) Misspecified Copulas in Credit Risk Models: How Good is Gaussian? Journal of Risk 8 (1), pp. 41-58. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2005) Modeling Systematic Consumer Credit Risk: Basel II and Reality. Credit Technology 53, pp. 35-42. Fulltext not available.

Blochwitz, Stefan and Hamerle, Alfred and Hohl, Stefan and Rauhmeier, Robert and Rösch, Daniel (2005) Myth and Reality of Discriminatory Power for Rating Systems. Wilmott Magazine, pp. 2-6. Fulltext not available.

Hamerle, Alfred and Rösch, Daniel (2005) Validierung von Ratingsystemen – Teil II: Performancemessung. Kredit und Rating Praxis 31 (1), pp. 15-19. Fulltext not available.

Blochwitz, Stefan and Hamerle, Alfred and Hohl, Stefan and Rauhmeier, Robert and Rösch, Daniel (2004) Was leisten Trennschärfemaße für Ratingsysteme? Zeitschrift für das gesamte Kreditwesen 57 (22), pp. 1275-1278. Fulltext not available.

Hamerle, Alfred and Liebig, Thilo and Rösch, Daniel (2004) Vergleich verschiedener Ansätze zur Modellierung von Assetkorrelationen. Deutsches Risk 4, pp. 39-45. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2004) Forecasting Retail Portfolio Credit Risk. Journal of Risk Finance 5 (2), pp. 16-32. Fulltext not available.

Hamerle, Alfred and Rösch, Daniel (2004) Validierung von Ratingsystemen – Teil I: Statistische Validierung. Kredit und Rating Praxis 30 (6), pp. 20-22. Fulltext not available.

Hamerle, Alfred and Liebig, Thilo and Rösch, Daniel (2003) Benchmarking Asset Correlations. Risk 16 (11), pp. 77-81. Fulltext not available.

Hamerle, Alfred and Rösch, Daniel (2003) Risikofaktoren und Korrelationen für Bonitätsveränderungen. Schmalenbachs Zeitschrift für betriebswirtschaftliche Forschung (ZfbF) 55, pp. 199-223. Fulltext not available.

Rösch, Daniel (2003) Correlations and Business Cycles of Credit Risk: Evidence from Bankruptcies in Germany. Financial Markets and Portfolio Management 17 (3), pp. 309-331. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2003) Modeling Systematic Consumer Credit Risk: Basel II and Reality. Risk Management Association Journal, pp. 66-69. Fulltext not available.

Hamerle, Alfred and Liebig, Thilo and Rösch, Daniel (2002) Assetkorrelationen der Schlüsselbranchen in Deutschland. Die Bank, pp. 470-473. Fulltext not available.

Rösch, Daniel (2002) The Informational Content of Credit Ratings and Cyclical Patterns of Default Rates. Central European Journal of Operations Research 10, pp. 163-186. Fulltext not available.

Rösch, Daniel (2001) Transfer von Kreditrisiko - Strukturen von Kreditderivaten. Kredit-Praxis 27 (1), pp. 8-13. Fulltext not available.

Hamerle, Alfred and Rösch, Daniel (1998) Zur empirischen Identifikation von Risikofaktoren bei Modellen der Arbitrage Pricing Theory. OR Spectrum 20 (2), pp. 123-134. Fulltext not available.

Hamerle, Alfred and Rösch, Daniel (1998) Zum Einsatz "fundamentaler" Faktorenmodelle im Portfoliomanagement. Die Betriebswirtschaft 58 (1), pp. 38-48. Fulltext not available.

Hamerle, Alfred and Rösch, Daniel (1997) Das Surrogatproblem bei "multivariaten" CAPM-Tests. Schmalenbachs Zeitschrift für betriebswirtschaftliche Forschung (ZfbF) 49 (10), pp. 858-876. Fulltext not available.

Hamerle, Alfred and Rösch, Daniel (1996) Empirische Rendite-Risiko-Beziehung in der Kapitalmarktforschung: Meßfehlerproblem und Vergleich von OLS- und GLS-Schätzung. Allgemeines Statistisches Archiv 80 (4), pp. 361-370. Fulltext not available.

Hamerle, Alfred and Rösch, Daniel (1996) Ineffiziente Benchmarks und Identifikation der Bestimmungsfaktoren von Wertpapierrenditen. Allgemeines Statistisches Archiv 80 (3), pp. 299-312. Fulltext not available.

Hamerle, Alfred and Rösch, Daniel (1996) Kapitalmarktanomalien und Rendite-Risiko-Beziehung bei einem ineffizienten Marktindex. Financial Markets and Portfolio Management 10 (1), pp. 61-74. Fulltext not available.

Book Section

Rösch, Daniel (2010) Credit Portfolio Models - Statistical Methods. In: Cont, Rama, (ed.) Encyclopedia of Quantitative Finance. Bd. 1. Wiley, Chichester. ISBN 978-0-470-05756-8 (gesamt). Fulltext not available.

Rösch, Daniel and Scheule , Harald (2010) Downturn Model Risk - Another View on the Global Financial Crisis. In: Rösch, Daniel and Scheule, Harald, (eds.) Model Risk – Identification, Measurement and Management. Risk Books, London. ISBN 1906348251, 9781906348250. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2010) Foreword. In: Breeden, Joseph, (ed.) Reinventing Retail Lending Analytics. Risk Books, London. ISBN 1906348383, 9781906348380. 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.

Rösch, Daniel and Scheule, Harald (2008) Integrating Stress-Testing Frameworks. In: Rösch, Daniel and Scheule, Harald, (eds.) Stress-testing for Financial Institutions - Applications, Regulations, and Techniques. Risk Books, pp. 3-16. ISBN 978-1-906348-11-3 ; 1-906348-11-1. Fulltext not available.

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. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2006) A Multi-Factor Approach for Systematic Default and Recovery Risk. In: Engelmann, Bernd and Rauhmeier, Robert, (eds.) The Basel II Risk Parameters. Springer, Berlin, pp. 105-126. ISBN 3-540-33085-2; 978-3-540-33085-1. Fulltext not available.

Hamerle, Alfred and Rösch, Daniel (2006) Ein einfaches Modell zur Risikomessung von Kreditportfolien. In: Brachinger, Hans Wolfgang and Hamerle, Alfred and Münnich, Ralf and Schweitzer, Walter, (eds.) Wirtschaftsstatistik: Festschrift zum 65. Geburtstag von Professor Dr. Dr. h.c. mult. Eberhard Schaich. Vahlen, München, pp. 65-79. ISBN 3-8006-3289-6. Fulltext not available.

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. Fulltext not available.

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. Fulltext not available.

Monograph

Rösch, Daniel and Scheule, Harald (2011) Securitization Rating Performance and Agency Incentives. BIS Working Paper Series 58, Working Paper. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2008) Credit Losses in Economic Downturns - Empirical Evidence for Hong Kong Mortgage Loans. Working Papers from Hong Kong Institute for Monetary Research 15, Working Paper. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2006) Credit Rating Impact on CDO Evaluation. Working Paper. Fulltext not available.

Rösch, Daniel (2006) Regulatory Banking Capital, Estimation Error and Systemic Risk in Ratings Based Capital Rules. Working Paper. Fulltext not available.

Rösch, Daniel (2005) Regulatory Banking Capital, Estimation Error, and Systemic Risk in Ratings Based Capital Rules. Working Paper. Fulltext not available.

Rösch, Daniel (2003) Correlations and Business Cycles of Credit Risk: Evidence from Bankruptcies in Germany. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 380, Working Paper.
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Hamerle, Alfred and Liebig, Thilo and Rösch, Daniel (2003) Credit Risk Factor Modeling and the Basel II IRB Approach. Deutsche Bundesbank, Discussion Paper Series 2: Banking and Financial Supervision 2, Working Paper, Dt. Bundesbank, Frankfurt am Main.
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Hamerle, Alfred and Rauhmeier, Robert and Rösch, Daniel (2003) Uses and Misuses of Measures for Credit Rating Accuracy. Working Paper. (Unpublished) Fulltext not available.

Rösch, Daniel (2001) Informationsgehalt des Ratings und Ausfallraten im Konjunkturzyklus. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 359, Working Paper. Fulltext not available.

Hamerle, Alfred and Rösch, Daniel (2000) Market Proxy Inefficiency Factor Misspecification, and CAPM-Tests Based on the Cross-section of Returns. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 349, Working Paper. Fulltext not available.

Rösch, Daniel (2000) Zur "internen" Erfolgsmessung von Portfoliomanagern. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 351, Working Paper. Fulltext not available.

Rösch, Daniel (2000) Zur "internen" Erfolgsmessung von Portfoliomanagern. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 351, UNSPECIFIED, Lehrstuhl für Statistik, Wirtschaftswiss. Fak., Univ., Regensburg. Fulltext not available.

Hamerle, Alfred and Rösch, Daniel (2000) Zur Ermittlung systematischer Risikofaktoren und Korrelationen in "bedingten" Kreditportfoliomodellen. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 350, Working Paper. Fulltext not available.

Conference or Workshop Item

Rösch, Daniel (2002) Mitigating Procyclicality in Basel II: A Value at Risk Based Remedy. In: The 9th annual meeting of the German Finance Association, 05. Oktober 2002, Cologne. Fulltext not available.

Rösch, Daniel and Hamerle, Alfred (2000) Systematische Bonitätsrisiken und Default-Korrelationen. In: Effiziente Gestaltung von Finanzmärkten und Finanzinstitutionen der Deutschen Forschungsgemeinschaft, Februar 2000, Eltville. Fulltext not available.

Book

Rösch, Daniel and Scheule, Harald (2013) Credit Securitisations and Derivatives - Challenges for the Global Markets. John Wiley & Sons, Chihcester. ISBN 978-1-11-996396-7. Fulltext not available.

Rösch, Daniel and Scheule, Harald, eds. (2013) Credit Securitisations and Derivatives: Challenges for the Global Markets. Finance Series. Wiley, Chichester. ISBN 978-111-996-396-7 (print), 978-111-996-604-3 (online). Fulltext not available.

Rösch, Daniel and Scheule, Harald (2010) Model Risk – Identification, Measurement and Management. Risk Books, London. ISBN 1906348251, 9781906348250. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2008) Stress-testing for Financial Institutions - Applications, Regulations and Techniques. Risk Books, London. ISBN 978-1-906348-11-3 ; 1-906348-11-1. Fulltext not available.

Rösch, Daniel (1998) Empirische Identifikation von Wertpapierrisiken: Faktoren-, Arbitrage- und Gleichgewichtsmodelle im Vergleich. Dt. Univ.-Verl., Wiesbaden. ISBN 3-8244-6729-1. Fulltext not available.

Thesis

Rösch, Daniel (2004) Default Risk in Banking Portfolios - Concepts for Modeling, Estimation and Forecasting. Habilitation, Universität Regensburg. Fulltext not available.

Other

Rösch, Daniel and Scheule, Harald (2009) Special Issue on Stress-testing. . Fulltext not available.

Hamerle, Alfred and Rösch, Daniel (2006) Applying Credit Risk Models to Default Data. . (Submitted) Fulltext not available.

This list was generated on Thu Nov 27 09:29:04 2014 CET.
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