Publikationen
- Honig, Igor und Kircher, Felix (2025-09). Large dynamic covariance matrices and portfolio selection with a heterogeneous autoregressive model.
Journal of Banking & Finance, 178 Elsevier, 107505.
https://dx.doi.org/10.1016/j.jbankfin.2025.107505 - Kozak, Jakob, Nagl, Cathrine, Nagl, Maximilian, Beracha, Eli und Sch?fers, Wolfgang (2025). Does Real Estate Determine REIT Bond Risk Premia?.
Journal of Real Estate Finance and Economics Springer Nature - Jenett, Hendrik, Nagl, Cathrine, Nagl, Maximilian, Price, S. McKay und Sch?fers, Wolfgang (2025). Dynamics of REIT Returns and Volatility: Analyzing Time-Varying Drivers Through an Explainable Machine Learning Approach.
The Journal of Real Estate Finance and Economics Springer
https://dx.doi.org/10.1007/s11146-025-10016-9 - Leonhard, Heiko, Nagl, Maximilian und Sch?fers, Wolfgang (2025). Virtual land in the metaverse? Exploring the dynamic correlation with physical real estate.
Journal of European Real Estate Research Emerald - Nagl, Matthias, Nagl, Maximilian und R?sch, Daniel (2024). Non-linearity and the distribution of market-based loss rates.
OR Spectrum Springer
https://dx.doi.org/10.1007/s00291-024-00787-7 - Nagl, Maximilian (2024-06). Intricacy of cryptocurrency returns.
Economics Letters, 239 Elsevier, 111746.
https://dx.doi.org/10.1016/j.econlet.2024.111746 - Nagl, Cathrine, Nagl, Maximilian, R?sch, Daniel, Sch?fers, Wolfgang und Freybote, Julia (2023). Time Varying Dependences Between Real Estate Crypto, Real Estate and Crypto Returns.
Journal of Real Estate Research Routledge, 1-29. - H?ffner, Sonja, Hofer, Martin, Nagl, Maximilian und Walterskirchen, Julian (2023-03-22). Introducing an Interpretable Deep Learning Approach to Domain-Specific Dictionary Creation: A Use Case for Conflict Prediction.
Political Analysis CAMBRIDGE UNIV PRESS, CAMBRIDGE, 1-19.
https://dx.doi.org/10.1017/pan.2023.7 - Nagl, Matthias, Nagl, Maximilian und R?sch, Daniel (2022). Quantifying uncertainty of machine learning methods for loss given default.
Frontiers in Applied Mathematics and Statistics, 8 Frontiers, 1076083.
https://dx.doi.org/10.3389/fams.2022.1076083 - Büchel, Patrick, Kratochwil, Michael, Nagl, Maximilian und R?sch, Daniel (2022-07). Deep calibration of financial models: turning theory into practice.
Review of Derivatives Research, 25 Springer, NEW YORK, 109-136.
https://dx.doi.org/10.1007/s11147-021-09183-7 - Betz, Jennifer, Nagl, Maximilian und R?sch, Daniel (2022). Credit line exposure at default modelling using Bayesian mixed effect quantile regression.
Journal of the Royal Statistical Society: Series A (Statistics in Society) Oxford Univ. Press, OXFORD, 1-38.
https://dx.doi.org/10.1111/rssa.12855 - Jobst, Rainer und 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 - Kellner, Ralf, Nagl, Maximilian und R?sch, Daniel (2022-01). Opening the black box – Quantile neural networks for loss given default prediction.
Journal of Banking & Finance, 134 Elsevier, AMSTERDAM, 106334.
https://dx.doi.org/10.1016/j.jbankfin.2021.106334 - 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 - Kircher, Felix und R?sch, Daniel (2021-12). A shrinkage approach for Sharpe ratio optimal portfolios with estimation risks.
Journal of Banking & Finance, 133 Elsevier, AMSTERDAM, 106281.
https://dx.doi.org/10.1016/j.jbankfin.2021.106281 - Betz, Jennifer, Kellner, Ralf und R?sch, Daniel (2021). Time matters: How default resolution times impact final loss rates.
Journal of the Royal Statistical Society, Series C, 70 (3) Wiley, HOBOKEN, 619-644.
https://dx.doi.org/10.1111/rssc.12474 - Lee, Yongwoong, Scheule, Harald und R?sch, Daniel (2021). Systematic Credit Risk in Securitised Mortgage Portfolios.
Journal of Banking and Finance, 122 Elsevier, AMSTERDAM, 105996.
https://dx.doi.org/10.1016/j.jbankfin.2020.105996 - Kratochwil, Michael (2020). Measuring Counterparty Risk - Development of innovative Methods in Light of Regulatory Reforms.
- Pfeuffer, Marius, Nagl, Maximilian, Fischer, Matthias und R?sch, Daniel (2020). Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model.
Journal of Risk, 22 Incisive Media, 1-30.
https://dx.doi.org/10.21314/JOR.2020.429 - Büchel, Patrick, Kratochwil, Michael und R?sch, Daniel (2020). Computing valuation adjustments for counterparty credit risk using a modified supervisory approach.
Review of Derivatives Research, 23 (3) Springer, NEW YORK, 273-322.
https://dx.doi.org/10.1007/s11147-019-09165-w - Jobst, Rainer, Kellner, Ralf und 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 - Kratochwil, Michael (2020). Credit exposure under the new standardized approach for counterparty credit risk: fixing the treatment of equity options.
The Journal of Credit Risk INCISIVE MEDIA, LONDON
https://dx.doi.org/10.21314/JCR.2020.265
Publikationen EPub Bücher
- R?sch, Daniel und Scheule, Harald (2020) Deep Credit Risk - Machine Learning in Python.
, ISBN 9798617590199. - Scheule, Harald, R?sch, Daniel und Baesens, Bart (2017) Credit Risk Analytics: The R Companion.
, ISBN 978-1977760869. - R?sch, Daniel (2017) Understanding Statistics and Probability - An Introduction to Methods, Techniques and Computer Applications.
, ISBN 978-1540622594. - Scheule, Harald, Baesens, Bart und R?sch, Daniel (2016) Credit Risk Analytics: Measurement Techniques, Applications, and Examples in SAS.
, ISBN 978-1-119-14398-7. - R?sch, Daniel und Scheule, Harald (2013) Credit Securitisations and Derivatives - Challenges for the Global Markets.
, ISBN 978-1-11-996396-7. - R?sch, Daniel und Scheule, Harald (2011) Securitization Rating Performance and Agency Incentives.
: 58 - R?sch, Daniel und Scheule, Harald (2010) Model Risk – Identification, Measurement and Management.
, ISBN 1906348251, 9781906348250. - R?sch, Daniel und Scheule, Harald (2008) Credit Losses in Economic Downturns - Empirical Evidence for Hong Kong Mortgage Loans.
: 15 - R?sch, Daniel und Scheule, Harald (2008) Stress-testing for Financial Institutions - Applications, Regulations and Techniques.
, ISBN 978-1-906348-11-3 ; 1-906348-11-1. - R?sch, Daniel (2003) Correlations and Business Cycles of Credit Risk: Evidence from Bankruptcies in Germany.
Regensburger Diskussionsbeitr?ge zur Wirtschaftswissenschaft: 380 - Hamerle, Alfred, Liebig, Thilo und R?sch, Daniel (2003) Credit Risk Factor Modeling and the Basel II IRB Approach.
: 2, ISBN 3–935821–70–0. - Hamerle, Alfred, Rauhmeier, Robert und R?sch, Daniel (2003) Uses and Misuses of Measures for Credit Rating Accuracy.
Working Paper - R?sch, Daniel (2001) Informationsgehalt des Ratings und Ausfallraten im Konjunkturzyklus.
Regensburger Diskussionsbeitr?ge zur Wirtschaftswissenschaft: 359 - Hamerle, Alfred und R?sch, Daniel (2000) Market Proxy Inefficiency Factor Misspecification, and CAPM-Tests Based on the Cross-section of Returns.
Regensburger Diskussionsbeitr?ge zur Wirtschaftswissenschaft: 349 - R?sch, Daniel (2000) Zur "internen" Erfolgsmessung von Portfoliomanagern.
Regensburger Diskussionsbeitr?ge zur Wirtschaftswissenschaft: 351 - Hamerle, Alfred und R?sch, Daniel (2000) Zur Ermittlung systematischer Risikofaktoren und Korrelationen in "bedingten" Kreditportfoliomodellen.
Regensburger Diskussionsbeitr?ge zur Wirtschaftswissenschaft: 350 - R?sch, Daniel (1998) Empirische Identifikation von Wertpapierrisiken: Faktoren-, Arbitrage- und Gleichgewichtsmodelle im Vergleich.
, ISBN 3-8244-6729-1.