University of Bremen
Thorsten Poddig is Professor of Finance at the University of Bremen. He studied Economics and Computer Sciences. He works on the application of financial econometrics, quantitative methods und artificial intelligence in finance, especially in asset and risk management, financial market modelling and empirical finance. His work now covers the whole asset and risk management process, like financial forecasting, portfolio optimization and risk modeling.
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.
This paper studies the use of finite difference methods for estimating risk contributions.