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Number of items at this level: 11.

B

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

C

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

D

Do, Hung Xuan and Rosch, 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. ISSN 0377-2217, 1872-6860

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

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

Kruger, Steffen and Rosch, Daniel (2017) Downturn LGD modeling using quantile regression. JOURNAL OF BANKING & FINANCE, 79. pp. 42-56. ISSN 0378-4266, 1872-6372

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

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

R

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

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

W

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

This list was generated on Thu Sep 17 19:05:20 2026 CEST.
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