Items where Division is "Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch)" and Year is 2016

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Number of items: 5.

B

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

K

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

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

L

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

R

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

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