Daniel Rösch

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Non-linearity and the distribution of market-based loss rates OR Spectrum	2025-11-14	Paper
Credit line exposure at default modelling using Bayesian mixed effect quantile regression Journal of the Royal Statistical Society. Series A. Statistics in Society	2025-04-04	Paper
Time matters: how default resolution times impact final loss rates Journal of the Royal Statistical Society. Series C. Applied Statistics	2024-11-27	Paper
Deep calibration of financial models: turning theory into practice Review of Derivatives Research	2022-08-19	Paper
Computing valuation adjustments for counterparty credit risk using a modified supervisory approach Review of Derivatives Research	2020-11-10	Paper
Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk Journal of Economic Dynamics and Control	2018-08-10	Paper
Systematic effects among loss given defaults and their implications on downturn estimation European Journal of Operational Research	2018-08-03	Paper
Predicting loss severities for residential mortgage loans: a three-step selection approach European Journal of Operational Research	2018-05-31	Paper
An analytical approach for systematic risk sensitivity of structured finance products Review of Derivatives Research	2014-04-25	Paper
scientific article; zbMATH DE number 2151383 (Why is no real title available?)	2005-04-04	Paper
The informational content of credit ratings, and cyclical patterns of default rates CEJOR. Central European Journal of Operations Research	2003-01-15	Paper
scientific article; zbMATH DE number 1213311 (Why is no real title available?)	1998-10-20	Paper
On the empirical identification of risk factors in arbitrage pricing models OR Spektrum	1998-06-08	Paper

Research outcomes over time

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