Bibliography of the Universität Regensburg

University of Regensburg (128)
- Business, Economics and Information Systems (128)
  - Institut für Betriebswirtschaftslehre (128)
    - Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch) (128)

Group by: Date | Creators | Item type | No Grouping

Number of items at this level: 128.

Article

Kozak, Jakob, Nagl, Cathrine, Nagl, Maximilian

, Beracha, Eli and Schäfers, Wolfgang (2025) Does Real Estate Determine REIT Bond Risk Premia? Journal of Real Estate Finance and Economics. (In Press) Fulltext not available.

Jenett, Hendrik, Nagl, Cathrine, Nagl, Maximilian

, Price, S. McKay and Schäfers, Wolfgang (2025) Dynamics of REIT Returns and Volatility: Analyzing Time-Varying Drivers Through an Explainable Machine Learning Approach. The Journal of Real Estate Finance and Economics.

Leonhard, Heiko, Nagl, Maximilian

and Schäfers, Wolfgang (2025) Virtual land in the metaverse? Exploring the dynamic correlation with physical real estate. Journal of European Real Estate Research. Fulltext not available.

Nagl, Matthias, Nagl, Maximilian

and Rösch, Daniel (2024) Non-linearity and the distribution of market-based loss rates. OR Spectrum.

Nagl, Maximilian

(2024) Intricacy of cryptocurrency returns. Economics Letters 239, p. 111746.

Nagl, Cathrine, Nagl, Maximilian

, Rösch, Daniel, Schäfers, Wolfgang and Freybote, Julia (2023) Time Varying Dependences Between Real Estate Crypto, Real Estate and Crypto Returns. Journal of Real Estate Research, pp. 1-29. Fulltext not available.

Häffner, Sonja, Hofer, Martin

, Nagl, Maximilian

and Walterskirchen, Julian

(2023) Introducing an Interpretable Deep Learning Approach to Domain-Specific Dictionary Creation: A Use Case for Conflict Prediction. Political Analysis, pp. 1-19.

Nagl, Matthias, Nagl, Maximilian

and Rösch, Daniel (2022) Quantifying uncertainty of machine learning methods for loss given default. Frontiers in Applied Mathematics and Statistics 8, p. 1076083.

Jobst, Rainer (2022) Sovereign Probabilities of Default in the Euro Area. Journal of Credit Risk 18 (4), pp. 65-91. Fulltext not available.

Büchel, Patrick, Kratochwil, Michael, Nagl, Maximilian

and Rösch, Daniel (2022) Deep calibration of financial models: turning theory into practice. Review of Derivatives Research 25, pp. 109-136.

Betz, Jennifer

, Nagl, Maximilian

and Rösch, Daniel (2022) Credit line exposure at default modelling using Bayesian mixed effect quantile regression. Journal of the Royal Statistical Society: Series A (Statistics in Society), pp. 1-38.

Kellner, Ralf, Nagl, Maximilian

and Rösch, Daniel (2022) Opening the black box – Quantile neural networks for loss given default prediction. Journal of Banking & Finance 134, p. 106334. Fulltext not available.

Jobst, Rainer and Rösch, Daniel (2022) Euro Zone Sovereign Default Risk and Capital—A Bayesian Approach. The Journal of Fixed Income 31 (3), pp. 41-65. Fulltext not available.

Kircher, Felix and Rösch, Daniel (2021) A shrinkage approach for Sharpe ratio optimal portfolios with estimation risks. Journal of Banking & Finance 133, p. 106281. Fulltext not available.

Betz, Jennifer

, Kellner, Ralf and Rösch, Daniel (2021) Time matters: How default resolution times impact final loss rates. Journal of the Royal Statistical Society, Series C 70 (3), pp. 619-644.

Lee, Yongwoong, Scheule, Harald and Rösch, Daniel (2021) Systematic Credit Risk in Securitised Mortgage Portfolios. Journal of Banking and Finance 122, p. 105996. Fulltext not available.

Pfeuffer, Marius, Nagl, Maximilian

, Fischer, Matthias and Rösch, Daniel (2020) Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model. Journal of Risk 22, pp. 1-30. Fulltext not available.

Büchel, Patrick, Kratochwil, Michael

and Rösch, Daniel (2020) Computing valuation adjustments for counterparty credit risk using a modified supervisory approach. Review of Derivatives Research 23 (3), pp. 273-322.

Jobst, Rainer, Kellner, Ralf and Rösch, Daniel (2020) Bayesian Loss Given Default Estimation for European Sovereign Bonds. International Journal of Forecasting 36, pp. 1073-1091. Fulltext not available.

Kratochwil, Michael (2020) Credit exposure under the new standardized approach for counterparty credit risk: fixing the treatment of equity options. The Journal of Credit Risk. Fulltext not available.

Betz, Jennifer, Krüger, Steffen

, Kellner, Ralf and Rösch, Daniel (2020) Macroeconomic effects and frailties in the resolution of non-performing loans. Journal of Banking & Finance 112, pp. 1-26. Fulltext not available.

Kellner, Ralf and Rösch, Daniel (2019) A Country Specific Point of View on International Diversification. Journal of International Money and Finance 98, p. 102064. (In Press) Fulltext not available.

Kellner, Ralf and Rösch, Daniel (2019) A Bayesian Re-Interpretation of “significant” empirical financial research. Finance Research Letters 38, p. 101402. Fulltext not available.

Kellner, Ralf and Rösch, Daniel (2019) A country specific point of view on international diversification. Journal of International Money and Finance 98, p. 102064. Fulltext not available.

Liska, Franz, von Deimling, Constantin, Otto, Alexander, Willinger, Lukas, Kellner, Ralf, Imhoff, Andreas B., Burgkart, Rainer and Voss, Andreas (2019) Distal femoral torsional osteotomy increases the contact pressure of the medial patellofemoral joint in biomechanical analysis. Knee Surgery, Sports Traumatology, Arthroscopy 27 (7), pp. 2328-2333. Fulltext not available.

Claussen, Arndt, Rösch, Daniel and Schmelzle, Martin (2019) Hedging parameter risk. Journal of Banking and Finance 100, pp. 111-121. Fulltext not available.

Claußen, Arndt

, Rösch, Daniel and Schmelzle, Martin (2019) Hedging parameter risk. Journal of Banking & Finance 100, pp. 111-121. Fulltext not available.

Do, Hung

, Scheule, Harald and Rösch, Daniel (2019) Liquidity constraints, home equity and residential mortgage losses. Journal of Real Estate Finance and Economics. (In Press) Fulltext not available.

Krüger, Steffen

, Oehme, Toni, Rösch, Daniel and Scheule, Harald (2018) A Copula Sample Selection Model for Predicting Multi-Year LGDs and Lifetime Expected Losses. Journal of Empirical Finance 47, pp. 246-262. Fulltext not available.

Do, Hung

, Rösch, Daniel and Scheule, Harald (2018) Predicting loss severities for residential mortgage loans: A three-step selection approach. European Journal of Operational Research 270 (1), pp. 246-259. Fulltext not available.

Betz, Jennifer

, Kellner, Ralf and Rösch, Daniel (2018) Systematic Effects among Loss Given Defaults and their Implications on Downturn Estimation. European Journal of Operational Research 271, pp. 1113-1144. Fulltext not available.

Krüger, Steffen

, Rösch, Daniel and Scheule, Harald (2018) The Impact of Loan Loss Provisioning on Bank Capital Requirements. Journal of Financial Stability 36, pp. 114-129. Fulltext not available.

Krüger, Steffen

and Rösch, Daniel (2017) Downturn LGD modeling using quantile regression. Journal of Banking & Finance 79, pp. 42-56. Fulltext not available.

Betz, Jennifer

, Kellner, Ralf and Rösch, Daniel (2016) What drives the time to resolution of defaulted bank loans? Finance Research Letters 18, pp. 7-31. Fulltext not available.

Kellner, Ralf and Rösch, Daniel (2016) Quantifying market risk with Value-at-Risk or Expected Shortfall? Consequences for capital requirements and model risk. Journal of Economic Dynamics and Control 68, pp. 45-63. Fulltext not available.

Lee, Yongwoong, Rösch, Daniel and Scheule, Harald (2016) Accuracy of Mortgage Portfolio Risk Forecasts during Financial Crises. European Journal of Operational Research 249, pp. 440-456. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2016) Systematic Credit Risk and Pricing for Fixed Income Instruments. Journal of Fixed Income 26, pp. 42-60. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2016) The Role of Loan Portfolio Losses and Bank Capital for Asian Financial System Resilience. Pacific-Basin Finance Journal 40 B, pp. 289-305. Fulltext not available.

Scheule, Harald, Kellner, Ralf and Rösch, Daniel (2016) The role of model risk in extreme value theory for capital adequacy. Journal of Risk 18 (6), pp. 39-70. Fulltext not available.

Claussen, Arndt, Löhr, Sebastian, Rösch, Daniel and Scheule, Harald (2016) Valuation of Systematic Risk in the Cross-Section of Credit Default Swap Spreads. Quarterly Review of Economics and Finance 64, pp. 183-195. Fulltext not available.

Jobst, Rainer, Rösch, Daniel, Scheule, Harald and Schmelzle, Martin (2015) A Simple Econometric Approach for Modeling Stress Event Intensities. Journal of Futures Markets 35 (4), pp. 300-320. Fulltext not available.

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

Lützenkirchen, Kristina, Rösch, Daniel and Scheule, Harald (2014) Asset portfolio securitizations and cyclicality of regulatory capital. European Journal of Operational Research 237 (1), pp. 289-302. Fulltext not available.

Rösch, Daniel and Wolter, Marcus (2014) Cure Events in Default Prediction. European Journal of Operational Research 238 (3), pp. 846-857. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2014) Forecasting Mortgage Securitization Risk Under Systematic Risk and Parameter Uncertainty. Journal of Risk and Insurance 81 (3), pp. 563-586. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2014) Forecasting Probabilities of Default and Loss Rates Given Default in the Presence of Selection. Journal of the Operational Research Society 65 (3), pp. 393-407. Fulltext not available.

Löhr, Sebastian, Mursajew, Olga, 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.

Löhr, Sebastian, Mursajew, Olga, Rösch, Daniel and Scheule, Harald (2013) Dynamic Implied Correlation Modeling and 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 81 (3), pp. 563-586. Fulltext not available.

Lützenkirchen, Kristina, Rösch, Daniel and Scheule, Harald (2013) Ratings Based Capital Adequacy for Securitizations. Journal of Banking and Finance 37 (12), pp. 5236-5247. Fulltext not available.

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

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

Bade, Benjamin, 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, 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.

Hamerle, Alfred, Dartsch, Andreas, Jobst, Rainer and Plank, Kilian (2011) Integrating Macroeconomic Risk Factors into Credit Portfolio Models. Journal of Risk Model Validation 5 (2), pp. 3-24. Fulltext not available.

Hamerle, Alfred and Jobst, Rainer (2011) Risikoadäquate Integration von Kreditverbriefungen in Kreditportfoliomodelle. Risiko Manager 1, 1,8-17. 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, Rösch, Daniel, 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, 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.

Hamerle, Alfred, Jobst, Rainer and Schropp, Hans-Jochen (2008) CDOs versus Anleihen: Risikoprofile im Vergleich. Risiko-Manager 22, 1,8-14. 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.

Hamerle, Alfred, Jobst, Rainer and Lerner, Matthias (2008) Mehrjährige makroökonomische Stresstests: Ein ökonometrischer Ansatz. Risiko-Manager 9, 1,8-15. 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, Jobst, Rainer, 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 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 Risiko zum Quadrat. 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, Hamerle, Alfred, Hohl, Stefan, 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, Hamerle, Alfred, Hohl, Stefan, 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, 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, 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, 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.

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, Jobst, Rainer, 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, Hamerle, Alfred, 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.

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.

Hamerle, Alfred, Jobst, Rainer, Tegelkamp, Christian and Wadè, Markus (2004) Ermittlung der Ausfallwahrscheinlichkeit von Kreditnehmergemeinschaften. Working Paper. (Unpublished) Fulltext not available.

Hamerle, Alfred, 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.

Book

Rösch, Daniel and Scheule, Harald (2020) Deep Credit Risk - Machine Learning in Python. Independently Published, United States. ISBN 9798617590199. Fulltext not available.

Scheule, Harald, Rösch, Daniel and Baesens, Bart (2017) Credit Risk Analytics: The R Companion. Create Space Independent Publishing Platform. ISBN 978-1977760869. Fulltext not available.

Rösch, Daniel (2017) Understanding Statistics and Probability - An Introduction to Methods, Techniques and Computer Applications. Create Space Independent Publishing Platform. ISBN 978-1540622594. Fulltext not available.

Scheule, Harald, Baesens, Bart and Rösch, Daniel (2016) Credit Risk Analytics: Measurement Techniques, Applications, and Examples in SAS. John Wiley & Sons, New York, N.Y.. ISBN 978-1-119-14398-7. Fulltext not available.

Rösch, Daniel and Scheule, Harald (2013) Credit Securitisations and Derivatives - Challenges for the Global Markets. John Wiley & Sons, Chichester. 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.

Jobst, Rainer (2008) Modellierung von mehrjährigen Kreditausfallrisiken. WiKu-Verl., Duisburg. ISBN 978-3-86553-260-2. 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 of the University of Regensburg

Kircher, Felix

(2025) Optimal portfolio selection with parameter estimation risks: Statistical modeling and empirical applications. PhD, Universität Regensburg.

Nagl, Matthias

(2024) Uncertainty-aware machine learning with applications to credit risk. PhD, Universität Regensburg.

Nagl, Maximilian

(2022) Statistical and machine learning for credit and market risk management. PhD, Universität Regensburg.

Kratochwil, Michael

(2020) Measuring Counterparty Risk - Development of innovative Methods in Light of Regulatory Reforms. PhD, Universität Regensburg.

Betz, Jennifer (2018) Resolution of defaulted loan contracts - An empirical analysis of default resolution time and loss given default. PhD, Universität Regensburg.

Krüger, Steffen

(2017) Advanced Dependency Modeling in Credit Risk - Lessons for Loss Given Default, Lifetime Expected Loss and Bank Capital Requirements. PhD, Universität Regensburg.

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.

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