Stephan Höcht

Technische Universität München (TUM)

Arcisstrasse 21

Munich, DE 80333

Germany

SCHOLARLY PAPERS

4

DOWNLOADS

494

SSRN CITATIONS

0

CROSSREF CITATIONS

7

Scholarly Papers (4)

1.

Loan Recovery Determinants -- A Pan-European Study

Number of pages: 35 Posted: 31 May 2014
Stephan Höcht and Rudi Zagst
Technische Universität München (TUM) and Technische Universität München (TUM) - Chair of Mathematical Finance
Downloads 218 (174,130)
Citation 5

Abstract:

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Bank loan, credit risk, recovery rate

2.

ESG: A New Dimension in Portfolio Allocation

Number of pages: 37 Posted: 02 Dec 2020
RiskConcile, Technische Universität München (TUM), affiliation not provided to SSRN, KU Leuven - Department of Mathematics and KU Leuven - Department of Mathematics
Downloads 168 (219,872)

Abstract:

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ESG, portfolio allocation, investment strategies, ESG ratings, greenhouse gas intensity

3.

Explaining Aggregated Recovery Rates

Number of pages: 35 Posted: 31 May 2014
Stephan Höcht, Ada Kroneberg and Rudi Zagst
Technische Universität München (TUM), Technische Universität München (TUM) and Technische Universität München (TUM) - Chair of Mathematical Finance
Downloads 79 (376,535)
Citation 4

Abstract:

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Credit risk, Markov switching, recovery rate

4.

It Takes Two to Tango: Estimation of the Zero-Risk Premium Strike of a Call Option Via Joint Physical and Pricing Density Modeling

Number of pages: 17 Posted: 27 Apr 2021
Technische Universität München (TUM), University of Maryland - Robert H. Smith School of Business, KU Leuven - Department of Mathematics and KU Leuven - Department of Accounting, Finance and Insurance
Downloads 29 (575,821)

Abstract:

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Pricing density, Physical density, Stock models, Bilateral Gamma, Tilted Bilateral Gamma, Calibration, Risk premium, Call options, S\&P500, DAX