Dr. Rainer Jobst
Research topics
- Modeling and forecasting the probability of default with time-discrete hazard rate models
- Multi-period credit portfolio models
- Integration of forecast and estimation risk in credit portfolio models
- Validation of the probability of default
- Integration of credit derivatives in credit portfolio models
- Stress testing credit risk
- Risk-neutral moments
Teaching goals
Courses:
- Winter term: Statistic I for human sciences
- Summer term: Statistic II for human sciences
Short biography
CV:
- since 2008: Lecturer at the chair of statistics and risk management, Universit?t Regensburg
- 2008 Ph.D.
- 2003-2008: Research assistant at the chair of statistics, Universit?t Regensburg
- 2002-2003: Credit Analyst at Landesbank Baden-Württemberg
- 2002 Diploma in business administration
- 1998-2002: Study of business administration, Universit?t Regensburg
Awards and honors:
- Best degree at diploma examination within business administration Universit?t Regensburg, 2002
Publications
- Jobst, Rainer and R?sch, Daniel (2022). Euro Zone Sovereign Default Risk and Capital—A Bayesian Approach.
The Journal of Fixed Income, 31 (3) Portfolio Management Research, 41-65.
https://dx.doi.org/10.3905/jfi.2021.1.124 - Jobst, Rainer (2022). Sovereign Probabilities of Default in the Euro Area.
Journal of Credit Risk, 18 (4) Incisive Media, 65-91.
https://dx.doi.org/10.21314/JCR.2022.011 - Jobst, Rainer, Kellner, Ralf and R?sch, Daniel (2020). Bayesian Loss Given Default Estimation for European Sovereign Bonds.
International Journal of Forecasting, 36 Elsevier, AMSTERDAM, 1073-1091.
https://dx.doi.org/10.1016/j.ijforecast.2019.11.004 - Jobst, Rainer, R?sch, Daniel, Scheule, Harald and 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 - Hamerle, Alfred, Dartsch, Andreas, Jobst, Rainer and Plank, Kilian (2011). Integrating Macroeconomic Risk Factors into Credit Portfolio Models.
Journal of Risk Model Validation, 5 (2) Risk Journals; Incisive Media (London), 3-24. - Hamerle, Alfred and Jobst, Rainer (2011). Risikoad?quate Integration von Kreditverbriefungen in Kreditportfoliomodelle.
Risiko Manager, 1 Bank-Verlag, 1,8-17. - Hamerle, Alfred, Jobst, Rainer and Schropp, Hans-Jochen (2008). CDOs versus Anleihen: Risikoprofile im Vergleich.
Risiko-Manager, 22 Bank-Verlag, 1,8-14. - Hamerle, Alfred, Jobst, Rainer and Lerner, Matthias (2008). Mehrj?hrige makro?konomische Stresstests: Ein ?konometrischer Ansatz.
Risiko-Manager, 9 Bank-Verlag, 1,8-15. - Jobst, Rainer (2008). Modellierung von mehrj?hrigen Kreditausfallrisiken.
WiKu-Verl., Duisburg, ISBN 978-3-86553-260-2. - Hamerle, Alfred, Jobst, Rainer, Knapp, Michael and Lerner, Matthias (2008). Stress-Testing Credit Value-at-Risk: a Multiyear Approach.
in: Daniel R?sch und Harald Scheule (eds.) Stress Testing for Financial Institutions: Applications, Regulations and Techniques. Riskbooks, London, 67-91. ISBN 978-1-906348-11-3. - Hamerle, Alfred, Jobst, Rainer, Liebig, Thilo and R?sch, Daniel (2007). Multiyear Risk of Credit Losses in SME Portfolios.
Journal of Financial Forecasting, 1 (2) Risk Journals, 25-54. - Hamerle, Alfred, Jobst, Rainer, Tegelkamp, Christian and Wadè, Markus (2004). Ermittlung der Ausfallwahrscheinlichkeit von Kreditnehmergemeinschaften.
Dr. Jobst Rainer
Research Assistant
- E-mail address: rainer.jobst(at)ur.de (opens your email program)
- Tel: +49 941 943 2287 (starts a telephone call, if your device allows this)
- Fax: +49 941 943 812287
- Location: Recht und Wirtschaft, RW(S) 208
- Important information: Office Hours: Wed, 03:00 - 04:00 pm
- Statistics and Risk Management
![[Translate to English:]](/fileadmin/_processed_/f/csm_Rainer2_b434fd64d6.jpg)