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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.