Publikationen
- Rösch, Daniel und Scheule, Harald (2020). Deep Credit Risk - Machine Learning in Python.
Independently Published, United States, ISBN 9798617590199. - Betz, Jennifer, Krüger, Steffen, Kellner, Ralf und Rösch, Daniel (2020). Macroeconomic effects and frailties in the resolution of non-performing loans.
Journal of Banking & Finance, 112 Elsevier, AMSTERDAM, 1-26.
https://dx.doi.org/10.1016/j.jbankfin.2017.09.008 - Kellner, Ralf und Rösch, Daniel (2021-01). A Bayesian Re-Interpretation of “significant” empirical financial research.
Finance Research Letters, 38 ACADEMIC PRESS INC ELSEVIER SCIENCE, SAN DIEGO, 101402.
https://dx.doi.org/10.1016/j.frl.2019.101402 - Kellner, Ralf und Rösch, Daniel (2019). A country specific point of view on international diversification.
Journal of International Money and Finance, 98 Elsevier, OXFORD, 102064.
https://dx.doi.org/10.1016/j.jimonfin.2019.102064 - Liska, Franz, von Deimling, Constantin, Otto, Alexander, Willinger, Lukas, Kellner, Ralf, Imhoff, Andreas B., Burgkart, Rainer und 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) Springer, NEW YORK, 2328-2333.
https://dx.doi.org/10.1007/s00167-018-5165-2 - Claussen, Arndt, Rösch, Daniel und Schmelzle, Martin (2019). Hedging parameter risk.
Journal of Banking & Finance, 100 ELSEVIER SCIENCE BV, AMSTERDAM, 111-121.
https://dx.doi.org/10.1016/j.jbankfin.2019.01.003 - Do, Hung, Scheule, Harald und Rösch, Daniel (2019). Liquidity constraints, home equity and residential mortgage losses.
Journal of Real Estate Finance and Economics Springer, DORDRECHT
https://dx.doi.org/10.1007/s11146-019-09709-9 - Krüger, Steffen, Oehme, Toni, Rösch, Daniel und Scheule, Harald (2018). A Copula Sample Selection Model for Predicting Multi-Year LGDs and Lifetime Expected Losses.
Journal of Empirical Finance, 47 ELSEVIER SCIENCE BV, AMSTERDAM, 246-262.
https://dx.doi.org/10.1016/j.jempfin.2018.04.001 - Do, Hung, Rösch, Daniel und Scheule, Harald (2018). Predicting loss severities for residential mortgage loans: A three-step selection approach.
European Journal of Operational Research, 270 (1) ELSEVIER SCIENCE BV, AMSTERDAM, 246-259.
https://dx.doi.org/10.1016/j.ejor.2018.02.057 - Betz, Jennifer, Kellner, Ralf und Rösch, Daniel (2018). Systematic Effects among Loss Given Defaults and their Implications on Downturn Estimation.
European Journal of Operational Research, 271 ELSEVIER SCIENCE BV, AMSTERDAM, 1113-1144.
https://dx.doi.org/10.1016/j.ejor.2018.05.059 - Krüger, Steffen, Rösch, Daniel und Scheule, Harald (2018). The Impact of Loan Loss Provisioning on Bank Capital Requirements.
Journal of Financial Stability, 36 Elsevier, NEW YORK, 114-129.
https://dx.doi.org/10.1016/j.jfs.2018.02.009 - Scheule, Harald, Rösch, Daniel und Baesens, Bart (2017). Credit Risk Analytics: The R Companion.
Create Space Independent Publishing Platform, ISBN 978-1977760869. - Krüger, Steffen und Rösch, Daniel (2017). Downturn LGD modeling using quantile regression.
Journal of Banking & Finance, 79 ELSEVIER SCIENCE BV, AMSTERDAM, 42-56.
https://dx.doi.org/10.1016/j.jbankfin.2017.03.001 - Rösch, Daniel (2017). Understanding Statistics and Probability - An Introduction to Methods, Techniques and Computer Applications.
Create Space Independent Publishing Platform, ISBN 978-1540622594. - Scheule, Harald, Baesens, Bart und 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. - Betz, Jennifer, Kellner, Ralf und Rösch, Daniel (2016). What drives the time to resolution of defaulted bank loans?.
Finance Research Letters, 18 ACADEMIC PRESS INC ELSEVIER SCIENCE, SAN DIEGO, 7-31.
https://dx.doi.org/10.1016/j.frl.2016.03.013 - Kellner, Ralf und 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 ELSEVIER SCIENCE BV, AMSTERDAM, 45-63.
https://dx.doi.org/10.1016/j.jedc.2016.05.002 - Lee, Yongwoong, Rösch, Daniel und Scheule, Harald (2016). Accuracy of Mortgage Portfolio Risk Forecasts during Financial Crises.
European Journal of Operational Research, 249 ELSEVIER SCIENCE BV, AMSTERDAM, 440-456.
https://dx.doi.org/10.1016/j.ejor.2015.09.007 - Rösch, Daniel und Scheule, Harald (2016). Systematic Credit Risk and Pricing for Fixed Income Instruments.
Journal of Fixed Income, 26 Institutional Investor Journals, 42-60.
https://dx.doi.org/10.3905/jfi.2016.26.1.042 - Rösch, Daniel und Scheule, Harald (2016). The Role of Loan Portfolio Losses and Bank Capital for Asian Financial System Resilience.
Pacific-Basin Finance Journal, 40 B ELSEVIER SCIENCE BV, AMSTERDAM, 289-305.
https://dx.doi.org/10.1016/j.pacfin.2016.01.002 - Scheule, Harald, Kellner, Ralf und Rösch, Daniel (2016). The role of model risk in extreme value theory for capital adequacy.
Journal of Risk, 18 (6) INCISIVE MEDIA, LONDON, 39-70.
https://dx.doi.org/10.21314/JOR.2016.337 - Claussen, Arndt, Löhr, Sebastian, Rösch, Daniel und Scheule, Harald (2016). Valuation of Systematic Risk in the Cross-Section of Credit Default Swap Spreads.
Quarterly Review of Economics and Finance, 64 Elsevier, 183-195.
https://dx.doi.org/10.1016/j.qref.2016.06.007 - Jobst, Rainer, Rösch, Daniel, Scheule, Harald und Schmelzle, Martin (2015). A Simple Econometric Approach for Modeling Stress Event Intensities.
Journal of Futures Markets, 35 (4) WILEY-BLACKWELL, HOBOKEN, 300-320.
https://dx.doi.org/10.1002/fut.21695
Publikationen EPub Bücher
- Rösch, Daniel und Scheule, Harald (2020) Deep Credit Risk - Machine Learning in Python.
, ISBN 9798617590199. - Scheule, Harald, Rösch, Daniel und Baesens, Bart (2017) Credit Risk Analytics: The R Companion.
, ISBN 978-1977760869. - Rösch, Daniel (2017) Understanding Statistics and Probability - An Introduction to Methods, Techniques and Computer Applications.
, ISBN 978-1540622594. - Scheule, Harald, Baesens, Bart und Rösch, Daniel (2016) Credit Risk Analytics: Measurement Techniques, Applications, and Examples in SAS.
, ISBN 978-1-119-14398-7. - Rösch, Daniel und Scheule, Harald (2013) Credit Securitisations and Derivatives - Challenges for the Global Markets.
, ISBN 978-1-11-996396-7. - Rösch, Daniel und Scheule, Harald (2011) Securitization Rating Performance and Agency Incentives.
: 58 - Rösch, Daniel und Scheule, Harald (2010) Model Risk – Identification, Measurement and Management.
, ISBN 1906348251, 9781906348250. - Rösch, Daniel und Scheule, Harald (2008) Credit Losses in Economic Downturns - Empirical Evidence for Hong Kong Mortgage Loans.
: 15 - Rösch, Daniel und Scheule, Harald (2008) Stress-testing for Financial Institutions - Applications, Regulations and Techniques.
, ISBN 978-1-906348-11-3 ; 1-906348-11-1. - Rösch, Daniel (2003) Correlations and Business Cycles of Credit Risk: Evidence from Bankruptcies in Germany.
Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft: 380 - Hamerle, Alfred, Liebig, Thilo und Rösch, Daniel (2003) Credit Risk Factor Modeling and the Basel II IRB Approach.
: 2, ISBN 3–935821–70–0. - Hamerle, Alfred, Rauhmeier, Robert und Rösch, Daniel (2003) Uses and Misuses of Measures for Credit Rating Accuracy.
Working Paper - Rösch, Daniel (2001) Informationsgehalt des Ratings und Ausfallraten im Konjunkturzyklus.
Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft: 359 - Hamerle, Alfred und Rösch, Daniel (2000) Market Proxy Inefficiency Factor Misspecification, and CAPM-Tests Based on the Cross-section of Returns.
Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft: 349 - Rösch, Daniel (2000) Zur "internen" Erfolgsmessung von Portfoliomanagern.
Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft: 351 - Hamerle, Alfred und Rösch, Daniel (2000) Zur Ermittlung systematischer Risikofaktoren und Korrelationen in "bedingten" Kreditportfoliomodellen.
Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft: 350 - Rösch, Daniel (1998) Empirische Identifikation von Wertpapierrisiken: Faktoren-, Arbitrage- und Gleichgewichtsmodelle im Vergleich.
, ISBN 3-8244-6729-1.