Papers
Random recursive construction of Salem sets
Arkiv för Matematik 34 (1996), 51-63
On a theorem of Kaufman: Cantor-type construction of linear fractal Salem sets
Arkiv för Matematik 36 (1998), 307-316
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
CreditRisk+ and asset value models: A comparison
Working Paper, Deutsche Bank (1999)
(with Ludger Overbeck and Christoph Wagner)
Calibration of systematic risk in credit portfolios
Working Paper, Deutsche Bank (2000)
(with Ludger Overbeck)
Die Steuerung des Ausfallrisikos mit Hilfe der RAROC-Methodik
In: Ausfallrisiken; Quantifizierung, Bepreisung und Steuerung
ZEB-Serie, Band 26 (2001); edited by Bernd Rolfes and Henner Schierenbeck
(with Raimund Blache)
Irreconcilable differences
RISK 14 (10), October (2001), S33-S37
(with Ludger Overbeck and Christoph Wagner)
Systematic risk in uniform credit portfolios
In: Credit Risk; Measurement, Evaluation and Management
Contributions to Economics, Physica-Verlag/Springer (2003)
Edited by G. Bol, G. Nakhaeizadeh, S. T. Rachev, T. Ridder, K.-H. Vollmer
(with Ludger Overbeck)
CDO modeling: techniques, examples and Applications
This paper was presented as "Invited Closing Talk" at the
Autumn School on Risk Management, Munich University of Technology, October (2003)
(Please see also the book "Structured Credit Portfolio Analysis, Baskets & CDOs", 2007)
An introduction to CDO modelling and applications
In: Credit Risk: Models and Management
Edited by D. Shimko; 2nd edition; RISK Books (2004)
(with Ludger Overbeck)
Semi-analytic approaches to CDO modelling
Economic Notes 33, No. 2 (2004), 233-255
(with Ludger Overbeck)
Der Einsatz von Collateralized Debt Obligations im Kreditportfoliomanagement
In: Risikomanagement. Aktuelle Entwicklungen und Auswirkungen auf Banken
Edited by A. Suyter; Fritz Knapp Verlag (2004)
(with Christoff Goessl)
Basket-Kreditderivate und Collateralized Debt Obligations als Instrumente des
Portfoliomanagements
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)
(with Walter Mussil)
Risikoanalyse strukturierter Kreditprodukte
Zeitschrift für betriebswirtschaftliche Forschung (zfbf) Sonderheft 52 (2005)
(with Ludger Overbeck)
Comonotonic default quote paths for basket evaluation
(with Ludger Overbeck)
Correlation in Basel II: derivation and evaluation
In: The Basel Handbook: A Guide for Financial Practitioners
Edited by M. Ong; 2nd edition; RISK Books (2006)
(with Ludger Overbeck)
Copula impact on default timing
In: Copulas. From Theory to Application in Finance
Edited by J. Rank; RISK Books (2006)
(with Ludger Overbeck)
Aktuelle Entwicklungen im Kreditportfoliomanagement
Zeitschrift für betriebswirtschaftliche Forschung (zfbf) Sonderheft 57 (2007)
(with Walter Mussil)
PD term structures: to be Markov or not to be
(with Ludger Overbeck)
Kalibrierung der Laufzeitstrukturen der Ausfallwahrscheinlichkeiten:
Markovsch oder nicht Markovsch, das ist die Frage
Deutsches Risk, Winter (2008) / translation of Article published in Risk 20 (11) Nov (2007)
(with Ludger Overbeck)
Re-Thinking Credit Risk Modeling
In: Re-Thinking Risk Measurement, Management and Reporting
Edited by Klaus Boecker; RISK Books (2010)
(with Christoph Wagner)
Balanced Credit Cycle Management
In: Zeitschrift für betriebswirtschaftliche Forschung (zfbf) Sonderheft (2010)
(with Walter Mussil)
Evaluation and Risk Management of Securitizations, CDOs and Related Instruments
To appear in: Annual Review of Financial Economics (ARFE), Volume 3 (2011)
(with Christoph Wagner)
