Articles by Thorsten Poddig
Forecasting corporate defaults in the German stock market
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.
Relative performance persistence of financial forecasting models and its economic implications
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.
Finite difference methods for estimating marginal risk contributions in asset management
This paper studies the use of finite difference methods for estimating risk contributions.