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Publications by Wildenauer, Nicole

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Jump to: 2007 | 2006 | 2005
Number of items: 6.

2007

Hamerle, Alfred and Knapp, Michael and Wildenauer, Nicole (2007) Default and recovery correlations - A dynamic econometric approach. Risk: Risk magazine (January), pp. 100-105. Fulltext not available.

Wildenauer, Nicole (2007) Modellierung der Loss Rate Given Default im Kreditrisikomanagement. PhD, Universität Regensburg. Fulltext not available.

2006

Hamerle, Alfred and Knapp, Michael and Wildenauer, Nicole (2006) Explaining default and recovery correlations - A dynamic econometric approach. Working Paper. Fulltext not available.

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. Fulltext not available.

2005

Hamerle, Alfred and Knapp, Michael and Wildenauer, Nicole (2005) Auswirkungen unterschiedlicher Assetkorrelationen in Mehr-Sektoren-Kreditportfoliomodellen. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 409, Working Paper.
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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. Fulltext not available.

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