Publications

Textbook

• Credit Risk Modeling using Excel and VBA (Wiley, 2007, with Peter N. Posch)

Working Papers

• Caught in the housing crash: model failure or management failure (2008)
• Incorporating the dynamics of leverage into default prediction (2008, with Alina Maurer)
• Can market discipline work in the case of rating agencies? Some lessons from Moody's stock price. (2009)
• Can rating agencies look through the cycle? (2008)
• Anatomy of a performance race (2003)

Journals / Zeitschriften

• The complementary nature of ratings and market-based measures of default risk. Journal of Fixed Income (2007) Summer, 38-47.
• Who knows what when? The information content of pre-IPO prices. Journal of Financial Intermediation (2005) 14, 466-484, with Patrick F. Panther and Erik Theissen)
• Avoiding the rating bounce: Why rating agencies are slow to react to new information. Journal of Economic Behavior and Organization 56 (2005), 365-381.
• Ratings versus market-based measures of default risk in portfolio governance. Journal of Banking and Finance 28 (2004), 2715-2746.
• Implied asset value distributions. Applied Financial Economics 14 (2004), 875-883.
• Evaluating credit risk models using loss density forecasts. Journal of Risk 4 (2003), with Hergen Frerichs. Reprinted in: Jorion, P. (2004): Innovations in risk management. Seminal Papers from the Journal of Risk. Send me an email if you'd like to receive a copy of the paper.
• An anatomy of rating through the cycle. Journal of Banking and Finance 28 (2004), 695-720
• What is at stake when determining lifetime asset allocation. Kredit und Kapital 26 (2003), 254-280.
• The effects of estimation error on measures of portfolio credit risk. Journal of Banking and Finance 27 (2003), 1427-1453.
• Ausfallorientierte Performanceanalyse. Finanzmarkt und Portfoliomanagement 14 (2000), 239-51.
• Bestimmung des Anlagerisikos bei Aktiensparplänen. Die Betriebswirtschaft 60 (2000), 350-361.
• Refining the Carlson-Parkin Method. Economics Letters 64 (1999), 167-171.
• Die Verarbeitung von Gewinnprognosen auf dem deutschen Aktienmarkt. Zeitschrift für betriebswirtschaftliche Forschung 51 (1999), S. 128-147.
• Biases in Analyst Forecasts - Cognitive, Strategic, or Second-best? International Journal of Forecasting 14 (1998), 261-275. Reprinted in Batchelor/Dua (2003): Financial Forecasting, Volume I.
• Welche Faktoren beeinflussen erwartete Aktienrenditen? - Eine Untersuchung anhand von Umfragedaten. Zeitschrift für Wirtschafts-und Sozialwissenschaften 2 (1997),  209-246 (with Martin Weber).

Other / Sonstige

• Understanding the Corporate Bond Yield Curve. Pension Forum 15 (2004), 2-34 (with Holger Höfling and Rüdiger Kiesel)
• Anlagestrategien für die private Altersvorsorge. In: Horstkotte, C. und I. Westphal (Hrsg.): Asset Management 2002. Schaeffer-Poeschel (2001), 23-36.
• Über- und Unterreaktion von Finanzanalysten. Behavioral Finance Group, Band 7 (with Martin Weber).

Dissertation

• Der Beitrag von Finanzanalysten zur Informationsverarbeitung: Eine empirische Untersuchung für den deutschen Aktienmarkt. Hrsg. von Prof. Dr. Jan Pieter Krahnen und Prof. Richard Stehle, Ph.D. Deutscher Universitätsverlag 1998.