Maximilian Nagl

Maximilian Nagl is a PhD candidate at the University of Regensburg from which he earned his B.Sc. and M.Sc. in Business Administration with majors in Corporate & Quantitative Finance. His research interest include estimation of asset correlations, application of machine learning in risk management and Bayesian statistics.

Articles by Maximilian Nagl

Original research

Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model

This paper is devoted to the parameterization of correlations in the Vasicek credit portfolio model. First, the authors analytically approximate standard errors for value-at-risk and expected shortfall based on the standard errors of intra-cohort…

07 Aug 2019