Publication
Professor Kellner has published several scientific articles in internationally recognized journals in recent years:
- Time matters: How default resolution times impact final loss rates (2021), with J. Betz and D. Rösch in: Journal of the Royal Statistical Society: Series C - Applied Statistics 70, 619-644
(online: https://doi.org/10.1111/rssc.12474)
- Systematic Effects among LGDs and their Implications on Downturn Estimation (2018), with J. Betz and D.Rösch in: European Journal of Operational Research 271(3), 1113-1144 (online: https://doi.org/10.1016/j.ejor.2018.05.059)
- Quantifying Market Risk with Value-at-Risk or Expected Shortfall? - Consequences for Capital Requirements and Model Risk (2016), with D. Rösch in: Journal of Economic Dynamics and Control 68, 45-63 (online: https://doi.org/10.1016/j.jedc.2016.05.002)
- Risk Management using Index-Linked Catastrophic Loss Instruments (2011), with N. Gatzert in: Zeitschrift für die gesamte Versicherungswissenschaft 100(1), 141-151
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