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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.

Lützenkirchen, Kristina and Rösch, Daniel and Scheule, Harald (2014) Asset portfolio securitizations and cyclicality of regulatory capital. European Journal of Operational Research. (In Press)

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.

Rösch, Daniel and Scheule, Harald (2013) Forecasting Mortgage Securitization Risk under Systematic Risk and Parameter Uncertainty. Journal of Risk and Insurance. (In Press)

Lützenkirchen, Kristina and Rösch, Daniel and Scheule, Harald (2013) Ratings Based Capital Adequacy for Securitizations. Journal of Banking and Finance 37, pp. 5236-5247.

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.

Rösch, Daniel and Scheule, Harald (2012) Capital Incentives and Adequacy for Securitizations. Journal of Banking and Finance 36 (3), pp. 733-748.

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.

Rösch, Daniel and Wolter, Marcus (2012) Mehrperiodenausfallprognose eines Bankportfolios aus deutschen mittelständischen Unternehmen. Kredit und Kapital 45 (2), pp. 189-217.

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.

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.

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.

Rösch, Daniel and Scheule, Harald (2010) Downturn Credit Portfolio Risk, Regulatory Capital and Prudential Incentives. International Review of Finance 10 (2), pp. 185-207.

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.

Rösch, Daniel (2010) Warum haben Ratings von Verbriefungen versagt? Sparkassenzeitschrift 73 (46).

Rösch, Daniel and Scheule, Harald (2009) Credit Portfolio Loss Forecasts for Economic Downturns. Financial Markets, Institutions and Instruments 18 (1), pp. 1-26.

Rösch, Daniel and Scheule, Harald (2009) Downturn LGD for Hong Kong Mortgage Loan Portfolios. Journal of Risk Model Validation 2 (4), pp. 3-11.

Breitner, Michael and Rösch, Daniel and von Mettenheim, Hans-Jörg (2009) Finanzwirtschaft und Finanzinstitutionen. OR News (36), pp. 74-75.

Rösch, Daniel and Winterfeldt, Birker (2008) Estimating Credit Contagion in a Standard Factor Model. Asia Risk, pp. 66-71.

Rösch, Daniel and Winterfeldt, Birker (2008) Estimating Credit Contagion in a Standard Factor Model. Risk 21, pp. 78-82.

Rösch, Daniel and Scheule, Harald (2008) Credit Rating Impact on CDO Evaluation. Global Finance Journal 19 (3), pp. 235-251.

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.

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.

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.

Hamerle, Alfred and Rösch, Daniel (2006) Parameterizing Credit Risk Models. Journal of Credit Risk 2 (4), pp. 101-122.

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.

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.

Rösch, Daniel (2005) An Empirical Comparison of Default Risk Forecasts from Alternative Credit Rating Philosophies. International Journal of Forecasting 21 (1), pp. 37-51.

Hamerle, Alfred and Rösch, Daniel (2005) Backtesting von Ausfallwahrscheinlichkeiten und „Risiko²“. Die Unternehmung 59 (6), pp. 535-546.

Hamerle, Alfred and Rösch, Daniel (2005) Bankinterne Parametrisierung und empirischer Vergleich von Kreditrisikomodellen. Die Betriebswirtschaft 65 (2), pp. 179-196.

Hamerle, Alfred and Rösch, Daniel (2005) Misspecified Copulas in Credit Risk Models: How Good is Gaussian? Journal of Risk 8 (1), pp. 41-58.

Rösch, Daniel and Scheule, Harald (2005) Modeling Systematic Consumer Credit Risk: Basel II and Reality. Credit Technology 53, pp. 35-42.

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.

Hamerle, Alfred and Rösch, Daniel (2005) Validierung von Ratingsystemen – Teil II: Performancemessung. Kredit und Rating Praxis 31 (1), pp. 15-19.

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.

Hamerle, Alfred and Liebig, Thilo and Rösch, Daniel (2004) Vergleich verschiedener Ansätze zur Modellierung von Assetkorrelationen. Deutsches Risk 4, pp. 39-45.

Rösch, Daniel and Scheule, Harald (2004) Forecasting Retail Portfolio Credit Risk. Journal of Risk Finance 5 (2), pp. 16-32.

Hamerle, Alfred and Rösch, Daniel (2004) Validierung von Ratingsystemen – Teil I: Statistische Validierung. Kredit und Rating Praxis 30 (6), pp. 20-22.

Hamerle, Alfred and Liebig, Thilo and Rösch, Daniel (2003) Benchmarking Asset Correlations. Risk 16 (11), pp. 77-81.

Hamerle, Alfred and Rösch, Daniel (2003) Risikofaktoren und Korrelationen für Bonitätsveränderungen. Schmalenbachs Zeitschrift für betriebswirtschaftliche Forschung (ZfbF) 55, pp. 199-223.

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.

Rösch, Daniel and Scheule, Harald (2003) Modeling Systematic Consumer Credit Risk: Basel II and Reality. Risk Management Association Journal, pp. 66-69.

Hamerle, Alfred and Liebig, Thilo and Rösch, Daniel (2002) Assetkorrelationen der Schlüsselbranchen in Deutschland. Die Bank, pp. 470-473.

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.

Rösch, Daniel (2001) Transfer von Kreditrisiko - Strukturen von Kreditderivaten. Kredit-Praxis 27 (1), pp. 8-13.

Hamerle, Alfred and Rösch, Daniel (1998) Zur empirischen Identifikation von Risikofaktoren bei Modellen der Arbitrage Pricing Theory. OR Spectrum 20 (2), pp. 123-134.

Hamerle, Alfred and Rösch, Daniel (1998) Zum Einsatz "fundamentaler" Faktorenmodelle im Portfoliomanagement. Die Betriebswirtschaft 58 (1), pp. 38-48.

Hamerle, Alfred and Rösch, Daniel (1997) Das Surrogatproblem bei "multivariaten" CAPM-Tests. Schmalenbachs Zeitschrift für betriebswirtschaftliche Forschung (ZfbF) 49 (10), pp. 858-876.

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.

Hamerle, Alfred and Rösch, Daniel (1996) Ineffiziente Benchmarks und Identifikation der Bestimmungsfaktoren von Wertpapierrenditen. Allgemeines Statistisches Archiv 80 (3), pp. 299-312.

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.

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).

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.

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

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 .

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.

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.

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.

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.

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

Rösch, Daniel and Scheule, Harald (2011) Securitization Rating Performance and Agency Incentives. BIS Working Paper Series 58, Working Paper.

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.

Rösch, Daniel and Scheule, Harald (2006) Credit Rating Impact on CDO Evaluation. Working Paper.

Rösch, Daniel (2006) Regulatory Banking Capital, Estimation Error and Systemic Risk in Ratings Based Capital Rules. Working Paper.

Rösch, Daniel (2005) Regulatory Banking Capital, Estimation Error, and Systemic Risk in Ratings Based Capital Rules. Working Paper.

Rösch, Daniel (2003) Correlations and Business Cycles of Credit Risk: Evidence from Bankruptcies in Germany. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 380, Working Paper.

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.

Hamerle, Alfred and Rauhmeier, Robert and Rösch, Daniel (2003) Uses and Misuses of Measures for Credit Rating Accuracy. Working Paper. (Unpublished)

Rösch, Daniel (2001) Informationsgehalt des Ratings und Ausfallraten im Konjunkturzyklus. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 359, Working Paper.

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.

Rösch, Daniel (2000) Zur "internen" Erfolgsmessung von Portfoliomanagern. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 351, Working Paper.

Rösch, Daniel (2000) Zur "internen" Erfolgsmessung von Portfoliomanagern. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 351, UNSPECIFIED, Lehrstuhl für Statistik, Wirtschaftswiss. Fak., Univ., Regensburg.

Hamerle, Alfred and Rösch, Daniel (2000) Zur Ermittlung systematischer Risikofaktoren und Korrelationen in "bedingten" Kreditportfoliomodellen. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 350, Working Paper.

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.

Rösch, Daniel and Hamerle, Alfred (2000) Systematische Bonitätsrisiken und Default-Korrelationen. In: Effiziente Gestaltung von Finanzmärkten und Finanzinstitutionen der Deutschen Forschungsgemeinschaft, Februar 2000, Eltville.

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.

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).

Rösch, Daniel and Scheule, Harald (2010) Model Risk – Identification, Measurement and Management. Risk Books, London. ISBN 1906348251, 9781906348250.

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.

Rösch, Daniel (1998) Empirische Identifikation von Wertpapierrisiken: Faktoren-, Arbitrage- und Gleichgewichtsmodelle im Vergleich. Dt. Univ.-Verl., Wiesbaden. ISBN 3-8244-6729-1.

Thesis

Rösch, Daniel (2004) Default Risk in Banking Portfolios - Concepts for Modeling, Estimation and Forecasting. Habilitation, Universität Regensburg.

Other

Rösch, Daniel and Scheule, Harald (2009) Special Issue on Stress-testing. .

Hamerle, Alfred and Rösch, Daniel (2006) Applying Credit Risk Models to Default Data. . (Submitted)

This list was generated on Fri Apr 18 18:29:59 2014 CEST.
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