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Dipl.-Wi.-Ing. Dipl.-Math. oec. Michael Kunisch

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Valuation of defaultable bonds and credit derivatives, modelling and analysis of correlated default processes, empirical evaluation of credit risk models, valuation of credit portfolios and collaterized debt obligations, debt restructuring and bargaining theory, relation between point processes and copulas

Working Paper

  • Kunisch, M. and M. Uhrig-Homburg, A Top-Down Framework for Modelling Default Dependencies, 2008.

Scientific articles in journals

Papers in collected editions and miscellaneous publications

  • Kunisch, M., D. Müller, J. Schnabl, M. Uhrig-Homburg and S. Vorgrimler, Lévy statt Gauß?! Modellierung und Bewertung von Kreditderivaten mit Lévy-Prozessen, Risiko Manager, edition 15/2009, pp. 1, 6-10, 2009.
  • Kunisch, M. and M. Uhrig-Homburg, Subprime-Krise, Kreditderivate und Ausfallabhängigkeiten, Karlsruher Transfer, Issue 21, No. 37, pp. 22 -25, 2008.
  • Kunisch, M. and M. Uhrig-Homburg, Modelling and Valuation of Default Dependencies in a Top-Down Framework, Proceedings of the Actuarial and Financial Mathematics Conference Brüssel, pp. 81 - 94, 2008.