University of Bremen
Christian Fieberg is lecturer at the University of Bremen. He graduated in 2009 with a diploma in business economics and earned a Ph.D. in 2012. He conducted his research at the University of Bremen, the University of the Free State, Bloemfontein, and the Concordia University, Montreal. His research interests cover (1) the valuation of derivatives, (2) the use and implementation of statistical, econometric, optimization and simulation methods in asset and risk management applications and (3) capital markets research in finance and accounting.
In this paper, the authors estimate and test several default risk models using new and unique data on corporate defaults in the German stock market.
This paper addresses the issue of model selection risk by examining whether a model’s past performance in forecasting expected returns provides an indication of its future forecasting performance.