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Number of items: 6.

Article

Hamerle, Alfred and Knapp, Michael and Wildenauer, Nicole (2007) Default and recovery correlations - A dynamic econometric approach. Risk: Risk magazine (January), pp. 100-105.

Book Section

Hamerle, Alfred and Knapp, Michael and Wildenauer, Nicole (2006) Modelling Loss Given Default: A "Point in Time"-Approach. In: Engelmann, Bernd, (ed.) The Basel II risk parameters: estimation, validation, and stress testing. Springer, Berlin, pp. 127-142. ISBN 3-540-33085-2.

Monograph

Hamerle, Alfred and Knapp, Michael and Wildenauer, Nicole (2006) Explaining default and recovery correlations - A dynamic econometric approach. Working Paper.

Hamerle, Alfred and Knapp, Michael and Wildenauer, Nicole (2005) Auswirkungen unterschiedlicher Assetkorrelationen in Mehr-Sektoren-Kreditportfoliomodellen. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 409, Working Paper.

Hamerle, Alfred and Knapp, Michael and Liebig, Thilo and Wildenauer, Nicole (2005) Incorporating prediction and estimation risk in point-in-time credit portfolio models. Deutsche Bundesbank: Discussion Paper: Series 2: Banking and Financial Studies 13/2005, Working Paper, Deutsche Bundesbank, Frankfurt am Main.

Thesis

Wildenauer, Nicole (2007) Modellierung der Loss Rate Given Default im Kreditrisikomanagement. PhD, Universität Regensburg.

This list was generated on Sat Oct 25 03:25:56 2014 CEST.
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