Publikationen

Herr Professor Kellner hat in den letzten Jahren mehrfach wissenschaftliche Artikel in international anerkannten Fachzeitschriften publiziert:

• Opening the Black Box – Quantile Neural Networks for Loss Given Default Prediction (2022), with M. Nagl and D. Rösch, in: Journal of Banking & Finance
  (online: https://www.sciencedirect.com/science/article/abs/pii/S0378426621002855)

• 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)

• Bayesian Loss Given Default Estimation for European Sovereign Bonds (2020), with R. Jobst and D. Rösch in: International Journal of Forecasting
  (in press: https://doi.org/10.1016/j.ijforecast. 2019.11.004) 

• Macroeconomic Effects and Frailties in the Resolution of Non- Performing Loans (2020), with J. Betz, S. Krüger and D. Rösch in: Journal of Banking and Finance 112
  (in press: https://doi.org/10.1016/j.jbankfin.2017.09.008)

• A Country Specific Point of View on International Diversification (2019), with D.Rösch in: Journal of International Money and Finance 98 (online: https://doi.org/10.1016/j.jimonfin.2019.102064)

• A Bayesian Re-Interpretation of “significant” Empirical Financial Research (2019), with D.Rösch in: Finance Research Letters (in press: https://doi.org/10.1016/j.frl.2019.101402)

• 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)

• The Role of Model Risk in Extreme Value Theory for Capital Adequacy (2016), with H. Scheule and D. Rösch in: Journal of Risk 18(6), 39-70 (online: https://doi.org/10.21314/JOR.2016.337)

• What Drives the Time to Resolution of Defaulted Bank Loans? (2016), with J. Betz and D. Rösch in: Finance Research Letters 18, 7-31 (online: https://doi.org/10.1016/j.frl.2016.03.013)

• Estimating the Basis Risk of Index-Linked Hedging Strategies using Multivariate Extreme Value Theory (2013), with N. Gatzert in: Journal of Banking and Finance 37(11), 4353-4367
  (online: https://doi.org/10.1016/j.jbankfin.2013.07.043)

• The Effectiveness of Gap Insurance with Respect to Basis Risk in a Shareholder Value Maximization Setting (2013), with N. Gatzert in: Journal of Risk and Insurance 81(4), 831-860
  (online: https://doi.org/10.1111/j.1539-6975.2013.01523.x)

• The Influence of Non-Linear Dependencies on the Basis Risk of Industry Loss Warranties (2011), with N. Gatzert in: Insurance: Mathematics and Economics 49(1), 132-144
  (online: https://doi.org/10.1016/j.insmatheco.2011.02.005) 

• Risk Management using Index-Linked Catastrophic Loss Instruments (2011), with N. Gatzert in: Zeitschrift für die gesamte Versicherungswissenschaft 100(1), 141-151