Dr. Markus Höchstötter
- externer Mitarbeiter, ehem.Akadem.Rat
- Sprechstunden:
nach Vereinbarung per E-Mail
- Raum: 209
- Tel.: +49 721 608-42042
- Fax: +49 721 608-43811
- markus hoechstoetter ∂does-not-exist.partner kit edu
(Postdoctoral Researcher)
| Titel | Semester | Typ |
|---|---|---|
| State Space Modelle und Filter für Finanzzeitreihen | WS 2015/ 2016 | Seminar |
| Titel | Tagung | Autoren | Referent |
|---|---|---|---|
| Analysis of Recovery Rate of Non-Performing Consumer Credit | SIAM Conference on Financial Mathematics and Engineering (FM12) |
M. Höchstötter, A. Nazemi, and S.T. Rachev |
Nazemi |
| Analysis of Loss Given Default | International Conference on Credit Analysis and Risk Management 2011 |
Markus Höchstötter, Abdolreza Nazemi, and Svetlozar T. Rachev |
|
| Recovery Rates across Different Industries | Credit Scoring and Credit Control XII conference 2011 |
Markus Höchstötter, Abdolreza Nazemi, Svetlozar T. Rachev |
Abdolreza Nazemi |
| Stochastic Technical Analysis for Decision Making on the Financial Market |
20th Conference of the International Federation of Operational Research Societies, IFORS, Barcelona, 2014. |
Markus Hoechstoetter, Mher Safarian |
Mher Safarian |
| An Application of Data Mining in Consumer Credit | 13th Industrial Conference on Data Mining ICDM 2013 |
C. Bozic, M. Höchstötter, A. Nazemi, S.T. Rachev |
Selected Articles (Refereed Journals)
- Epidemiological Spreading Of Mortgage Default, with Jochen Schweikert, 2017 (International Journal of Housing Markets and Analysis - Earlycite)
- International Stock Market Comovement and News, with Ryan Riordan and Andreas Storkenmaier (Journal of Financial Research, 2015)
- Multi-Tail Elliptical Distributions, with S. Kring, S.T. Rachev, F. Fabozzi(The Econometrics Journal)
- Price Calibration and Hedging of Correlation Dependent Credit Derivatives using a Structural Model with alpha-Stable Distributions, with J. Papenbrock, S.T. Rachev, F. Fabozzi (Applied Financial Economics)
- Estimation of Alpha-Stable Sub-Gaussian Distributions for Asset Returns, with S. Kring, S. T. Rachev, F. Fabozzi, 2009, in Risk Assessment, Bol, G. et al, Physica-Verlag
- Distributional Analysis of the Stocks Comprising the DAX 30, with S.Rachev, F.J.Fabozzi, 2005 (Probability and Mathematical Statistics)
- Analysis of Loss Given Default, with A. Nazemi (Investment Management and Financial Innovations)
Technical Reports
- Auswirkung einer Option auf den Aktienpreis
- Schätzung der Ausfallwahrscheinlichkeit von P2P-Krediten
- Anwendung der Dempster-Shafer Evidenztheorie auf die Bonitätsprüfung
- Stochastic technical analysis for decision making on the financial market, with Mher Safarian
- The Normal Tempered Stable Distribution for synthetic CDO pricing, with Philipp Ehrler
- Spreading of US Mortgage Default, with Lowell Mason and Henning Wechsung
- International Stock Market Comovement and News, with Ryan Riordan and Andreas Storkenmaier
- International Comovement of Equity Markets and Foreign Exchage
- Reflection on Recovery and Loss Given Default. What Is and What Is Amiss, with A. Nazemi and S.T. Rachev
- Change Point Analysis and Regime Switching Models, with Paul Weskamp
- Composed and Factor Composed Multivariate GARCH Models, with S. Kring, Svetlozar T. Rachev, Frank J. Fabozzi, 2007
- CDO Correlation Smile/Skew in One-Factor Copula Models: An Extension with Smoothly Truncated alpha-Stable Distributions, with Michael Schmitz, Svetlozar T. Rachev