University of Regensburg
Daniel Rösch is a Professor of Business and Management and holds the chair in Statistics and Risk Management at the University of Regensburg (Germany). Prior to joining the University of Regensburg in 2013, he was Professor of Finance and Director of the Institute of Banking of Finance at Leibniz University of Hannover from 2007 to 2013. He earned a PhD (Dr. rer. pol.) in 1998 for work on empirical asset pricing. From 2006 to 2011 he was visiting researcher at The University of Melbourne. Since 2011 he has been visiting Professor at the University of Technology in Sydney. His research interests cover banking, quantitative financial risk management, credit risk, asset pricing, and empirical statistical and econometric methods and models. He has published numerous papers in leading international journals, earned several awards and honors, and regularly presents at major international conferences.
Rösch’s service in the profession has included his roles as President of the German Finance Association, co-founder and member of the board of directors of the Hannover Center of Finance, and deputy managing director of the work group Finance and Financial Institutions of the Operations Research Society. He currently serves on the editorial board of the Journal of Risk Model Validation. Professor Rösch has worked with financial institutions and supervisory bodies such as Deutsche Bundesbank in joint research projects. Among others, his work has been funded by Deutsche Forschungsgemeinschaft, the Thyssen Krupp Foundation, the Frankfurt Institute for Finance and Regulation, the Melbourne Centre for Financial Studies, and the Australian Centre for International Finance and Regulation. In 2014 the German Handelsblatt ranked him amongst the top 10 percent of German- speaking researchers in Business and Management.
Edited by Daniel Rösch and Harald Scheule
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…
This paper studies the impact of model risk on EVT methods when determining the value-at-risk and expected shortfall.