Talanx Asset Management GmbH
Lutz Hahnenstein is currently Head of the Risk Control Department at Talanx Asset Management in Cologne (Germany). He received a Ph. D. in finance in 2001 with a doctoral dissertation on corporate risk management. From 2002 to 2009 he held various positions at IKB (specialist for credit risk modelling and ICAAP, Basel II project leader, group leader in the finance division). From 2009 to 2016 he headed the Credit Risk Control Department of WGZ BANK with responsibility for the bank's credit risk reporting, counterparty limit monitoring and for the development and validation of (IRBA and non-IRBA) credit risk models (i.e. PD and LGD models, early-warning systems, stress testing approaches). He has published in the Review of Quantitative Finance and Accounting, the Review of Financial Economics, the Journal of Business Economics and in Financial Markets and Portfolio Management, among others.
The authors analyze the impact of a decline in property prices that leads to stressed recovery rates for collateral on the loss given default (LGD) parameter in portfolios of mortgage loan.