Random recursive construction of Salem
sets
Arkiv för Matematik 34 (1996),
51-63
(this paper is an excerpt of the first part of my doctoral
thesis)
On a theorem of Kaufman: Cantor-type construction of linear
fractal Salem sets
Arkiv för Matematik 36 (1998),
307-316
(this paper is an extended excerpt of part 2 of my doctoral
thesis)
Fourier asymptotics of statistically self-similar
measures
J. Fourier Anal. Appl. 5 (1999),
359-366
Liouville numbers, Rajchman measures, and small Cantor
sets
Proc. Amer. Math. Soc. 128 (2000),
2637-2640
Construction
of Brownian Bridges with Self-Similar Parameter
Space
Working Paper
CreditRisk+
and Asset Value Models: A Comparison
(with L. Overbeck und Chr. Wagner)
Working Paper, Deutsche Bank AG (1999)
(an excerpt appeared in RISK (see "Irreconcilable
Differences")
Calibration
of Systematic Risk in Credit Portfolios
(with L. Overbeck)
Working Paper, Deutsche Bank AG (2000)
Die Steuerung des Ausfallrisikos mit Hilfe der
RAROC-Methodik
(with R. Blache)
Ausfallrisiken; Quantifizierung, Bepreisung
und Steuerung,
Band 26 (2001)
ZEB-Series, edited by Bernd Rolfes and Henner
Schierenbeck
Irreconcilable Differences
(with L. Overbeck and Chr. Wagner)
RISK 14 (10), October 2001,
S33-S37
Systematic Risk in Uniform Credit Portfolios
(with L. Overbeck)
Credit Risk; Measurement, Evaluation and
Management
Edited by G. Bol, G. Nakhaeizadeh, S. T. Rachev, T. Ridder,
K.-H. Vollmer
Contributions to Economics, Physica-Verlag/Springer (2003)
CDO
Modeling: Techniques, Examples and
Applications
Working Paper,
invited closing talk at the “
Autumn School
on Risk Management”,
Munich University of
Technology,
October (2003)
(see our recent
book
for an up-to-date exposition on CDO modeling techniques)
Correlation in Basel II: Derivation and Evaluation
(with L. Overbeck)
The Basel Handbook: A Guide for Financial
Practitioners
Edited by M. Ong; 2nd edition; RISK Books (2006)
An Introduction to CDO Modelling and Applications
(with L. Overbeck)
Credit Risk: Models and
Management
Edited by D. Shimko, 2nd edition, RISK Books (2004)
Semi-Analytic Approaches to CDO Modelling
(with L. Overbeck)
Economic Notes 33, No. 2 (2004),
233-255
Der Einsatz von Collateralized Debt Obligations (CDOs) im
Kreditportfoliomanagement
(with Chr. Gössl)
In:
Risikomanagement. Aktuelle Entwicklungen und
Auswirkungen auf Banken
Edited by A. Suyter; Fritz Knapp Verlag (2004)
Basket-Kreditderivate
und Collateralized Debt Obligations als Instrumente des
Portfoliomanagements
(with W. Mussil)
In:
Kreditderivate. Handbuch für die Bank- und
Anlagepraxis
Edited by H.-P. Burghof, S. Henke, B. Rudolph, Ph. J.
Schönbucher, D. Sommer; 2nd edition; Schäffer-Poeschel
Verlag (2005)
Risikoanalyse strukturierter Kreditprodukte
(with L. Overbeck)
Zeitschrift für betriebswirtschaftliche
Forschung (zfbf) Sonderheft 52
(2005)
Comonotonic Default Quote Paths for Basket
Evaluation
(with L. Overbeck)
RISK 18 (8), August 2005,
67-71
Copula Impact on Default Timing
(with L. Overbeck)
Copulas. From Theory to Application in
Finance
Edited by J. Rank, RISK Books (2006)
Aktuelle Entwicklungen im Kreditportfoliomanagement
(with W. Mussil)
Zeitschrift für betriebswirtschaftliche
Forschung (zfbf) Sonderheft 57
(2007)
PD Term Structures: To Be Markov Or Not To Be
(with L. Overbeck)
RISK 20 (11), November 2007,
98-103
