Items where Author is "Hamerle, Alfred"
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Hamerle, Alfred and Liebig, Thilo and Schropp, Hans-Jochen (2013) The impact of collateralized debt obligation arbitrage on tranching and financial leverage of structured finance securities. JOURNAL OF RISK, 16 (1). pp. 3-33. ISSN 1465-1211, 1755-2842
Hamerle, Alfred and Igl, Andreas and Plank, Kilian (2012) Correlation Smile, Volatility Skew, and Systematic Risk Sensitivity of Tranches. JOURNAL OF DERIVATIVES, 19 (3). pp. 8-27. ISSN 1074-1240
Hamerle, Alfred and Dartsch, Andreas and Jobst, Rainer and Plank, Kilian (2011) Integrating macroeconomic risk factors into credit portfolio models. JOURNAL OF RISK MODEL VALIDATION, 5 (2). pp. 3-24. ISSN 1753-9579
Hamerle, Alfred and Plank, Kilian (2009) A note on the Berkowitz test with discrete distributions. JOURNAL OF RISK MODEL VALIDATION, 3 (2). pp. 3-10. ISSN 1753-9579
Spiess, Martin and Hamerle, Alfred (2000) A comparison of different methods for the estimation of regression models with correlated binary responses. COMPUTATIONAL STATISTICS & DATA ANALYSIS, 33 (4). pp. 439-455. ISSN 0167-9473
Knapp, Michael and Hamerle, Alfred (1999) Multi factor model for determining segment-specific default rates for credit portfolio management. WIRTSCHAFTSINFORMATIK, 41 (2). 138-+. ISSN 0937-6429,
Hruschka, Harald and Stoiber, Helmut and Hamerle, Alfred (1998) Analyzing purchase incidence and brand choice by hazard models. OR SPECTRUM, 20 (1). pp. 55-63. ISSN 0171-6468, 1436-6304
Hamerle, Alfred and Rösch, Daniel (1998) On the empirical identification of risk factors in arbitrage pricing models. OR SPECTRUM, 20 (2). pp. 123-134. ISSN 0171-6468, 1436-6304
Hamerle, Alfred (1996) Empirische Performance „multivariater“ Tests des Capital-Asset-Pricing-Models / Empirical Performance of “Multivariate” CAPM-Tests. JAHRBUCHER FUR NATIONALOKONOMIE UND STATISTIK, 215 (2). pp. 228-244. ISSN 0021-4027, 2366-049X
Spiess, Martin and Hamerle, Alfred (1996) On the properties of GEE estimators in the presence of invariant covariates. BIOMETRICAL JOURNAL, 38 (8). pp. 931-940. ISSN 0323-3847, 1521-4036
