Items where Author is "Roesch, Daniel"

Article

Buechel, Patrick and Kratochwil, Michael and Nagl, Maximilian and Roesch, Daniel (2022) Deep calibration of financial models: turning theory into practice. REVIEW OF DERIVATIVES RESEARCH, 25. pp. 109-136. ISSN 1380-6645, 1573-7144

Kellner, Ralf and Roesch, Daniel (2021) A Bayesian Re-Interpretation of "significant" empirical financial research. FINANCE RESEARCH LETTERS, 38: 101402. ISSN 1544-6123, 1544-6131

Lee, Yongwoong and Roesch, Daniel and Scheule, Harald (2021) Systematic credit risk in securitised mortgage portfolios. JOURNAL OF BANKING & FINANCE, 122: 105996. ISSN 0378-4266, 1872-6372

Kircher, Felix and Roesch, Daniel (2021) A shrinkage approach for Sharpe ratio optimal portfolios with estimation risks. JOURNAL OF BANKING & FINANCE, 133: 106281. ISSN 0378-4266, 1872-6372

Jobst, Rainer and Kellner, Ralf and Roesch, Daniel (2020) Bayesian loss given default estimation for European sovereign bonds. INTERNATIONAL JOURNAL OF FORECASTING, 36 (3). pp. 1073-1091. ISSN 0169-2070, 1872-8200

Buechel, Patrick and Kratochwil, Michael and Roesch, Daniel (2020) Computing valuation adjustments for counterparty credit risk using a modified supervisory approach. REVIEW OF DERIVATIVES RESEARCH, 23 (3). pp. 273-322. ISSN 1380-6645, 1573-7144

Do, Hung Xuan and Roesch, Daniel and Scheule, Harald (2020) Liquidity Constraints, Home Equity and Residential Mortgage Losses. JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS, 61 (2). pp. 208-246. ISSN 0895-5638, 1573-045X

Betz, Jennifer and Krueger, Steffen and Kellner, Ralf and Roesch, Daniel (2020) Macroeconomic effects and frailties in the resolution of non-performing loans. JOURNAL OF BANKING & FINANCE, 112: 105212. ISSN 0378-4266, 1872-6372

Claussen, Arndt and Roesch, Daniel and Schmelzle, Martin (2019) Hedging parameter risk. JOURNAL OF BANKING & FINANCE, 100. pp. 111-121. ISSN 0378-4266, 1872-6372

Kellner, Ralf and Roesch, Daniel (2019) A country specific point of view on international diversification. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 98: UNSP 10206. ISSN 0261-5606, 1873-0639

Betz, Jennifer and Kellner, Ralf and Roesch, Daniel (2018) Systematic Effects among Loss Given Defaults and their Implications on Downturn Estimation. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 271 (3). pp. 1113-1144. ISSN 0377-2217, 1872-6860

Krueger, Steffen and Oehme, Toni and Roesch, 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. ISSN 0927-5398, 1879-1727

Krueger, Steffen and Roesch, Daniel and Scheule, Harald (2018) The impact of loan loss provisioning on bank capital requirements. JOURNAL OF FINANCIAL STABILITY, 36. pp. 114-129. ISSN 1572-3089, 1878-0962

Lee, Yongwoong and Roesch, Daniel and Scheule, Harald (2016) Accuracy of mortgage portfolio risk forecasts during financial crises. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 249 (2). pp. 440-456. ISSN 0377-2217, 1872-6860

Kellner, Ralf and Roesch, Daniel (2016) Quantifying market risk with Value-at-Risk or Expected Shortfall? - Consequences for capital requirements and model risk. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 68. pp. 45-63. ISSN 0165-1889, 1879-1743

Betz, Jennifer and Kellner, Ralf and Roesch, Daniel (2016) What drives the time to resolution of defaulted bank loans? FINANCE RESEARCH LETTERS, 18. pp. 7-31. ISSN 1544-6123, 1544-6131

Roesch, Daniel and Scheule, Harald (2016) The role of loan portfolio losses and bank capital for Asian financial system resilience. PACIFIC-BASIN FINANCE JOURNAL, 40. pp. 289-305. ISSN 0927-538X, 1879-0585

Kellner, Ralf and Roesch, Daniel and Scheule, Harald (2016) The role of model risk in extreme value theory for capital adequacy. JOURNAL OF RISK, 18 (6). pp. 39-70. ISSN 1465-1211, 1755-2842

Jobst, Rainer and Roesch, Daniel and Scheule, Harald and Schmelzle, Martin (2015) A SIMPLE ECONOMETRIC APPROACH FOR MODELING STRESS EVENT INTENSITIES. JOURNAL OF FUTURES MARKETS, 35 (4). pp. 300-320. ISSN 0270-7314, 1096-9934

Luetzenkirchen, Kristina and Roesch, Daniel and Scheule, Harald (2014) Asset portfolio securitizations and cyclicality of regulatory capital. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 237 (1). pp. 289-302. ISSN 0377-2217, 1872-6860

Wolter, Marcus and Roesch, Daniel (2014) Cure events in default prediction. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 238 (3). pp. 846-857. ISSN 0377-2217, 1872-6860

Roesch, 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. ISSN 0022-4367, 1539-6975

Loehr, Sebastian and Mursajew, Olga and Roesch, Daniel and Scheule, Harald (2013) Dynamic Implied Correlation Modeling and Forecasting in Structured Finance. JOURNAL OF FUTURES MARKETS, 33 (11). pp. 994-1023. ISSN 0270-7314, 1096-9934

Roesch, Daniel (2005) An empirical comparison of default risk forecasts from alternative credit rating philosophies. INTERNATIONAL JOURNAL OF FORECASTING, 21 (1). pp. 37-51. ISSN 0169-2070