Bernd Engelmann

Ho Chi Minh City Open University — VN

Economics, Econometrics and Finance · Social Sciences

11h-index422citations38works0.82yr avg
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Research Topics

Credit Risk and Financial Regulations(23), Insurance and Financial Risk Management(13), Banking stability, regulation, efficiency(10), Stochastic processes and financial applications(8), Financial Distress and Bankruptcy Prediction(5)

Publications38 total

The hidden risks of credit risk stress test parameterizations: spurious default probability projections unveiled
Annals of Operations Research·2025
A simple and consistent credit risk model for Basel II/III, IFRS 9 and stress testing when loan data history is short
International Journal of Financial Engineering·2024· 2 cited
Spurious Default Probability Projections in Credit Risk Stress Testing Models
arXiv (Cornell University)·2024Open Access
Spurious Default Probability Projections in Credit Risk Stress Testing Models
SSRN Electronic Journal·2024· 1 citedOpen Access
Managing the risk of embedded options in non-traded credit using portfolio modeling
International Journal of Financial Engineering·2023· 1 cited
Global assessment of the COVID-19 impact on IFRS 9 loan loss provisions
Asian Review of Accounting·2022· 13 cited
Calculating lifetime expected loss for IFRS 9: which formula is measuring what?
The Journal of Risk Finance·2021· 10 cited
Calibration of the Heston stochastic local volatility model: A finite volume scheme
International Journal of Financial Engineering·2021· 11 cited
Credit Risk Modeling in the Presence of Central Bank and Government Intervention
SSRN Electronic Journal·2021· 1 citedOpen Access
A Simple and Consistent Credit Risk Model for Basel II/III, IFRS 9 and Stress Testing when Loan Data History is Short
SSRN Electronic Journal·2021· 6 citedOpen Access
Measuring the Performance of Bank Loans under Basel II/III and IFRS 9/CECL
Risks·2020· 7 citedOpen Access
A Raroc Valuation Scheme for Loans and Its Application in Loan Origination
Risks·2020· 3 citedOpen Access
Measuring the Performance of Bank Loans Under Basel II / III and IFRS 9 / CECL
SSRN Electronic Journal·2020· 3 citedOpen Access
A RAROC Valuation Scheme for Loans and its Application in Loan Origination
SSRN Electronic Journal·2020· 1 citedOpen Access
Managing the Risk of Embedded Options in Non-Traded Credit Using Portfolio Modeling
SSRN Electronic Journal·2019Open Access
Calculating Lifetime Expected Loss for IFRS 9: Which Formula is Correct?
SSRN Electronic Journal·2018· 4 citedOpen Access
The clinical value of FDG-PET/CT in common cancers: Actual use compared with literature-based recommendations
University of Southern Denmark Research Portal (University of Southern Denmark)·2015
Risk Management of Loans with Embedded Options
2011· 3 cited
Risk Management of Loans and Guarantees
2011· 1 cited
Measures of a Rating’s Discriminative Power: Applications and Limitations
2011· 12 cited
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Frequent Co-authors

Ronald H. W. Hoppe(4), Ha Pham(4), Peter Schwendner(3), Yuri Vassilevski(3), Evelyn Hayden(2), Dirk Tasche(2), Robert Rauhmeier(2), Matthias R. Fengler(2), Frank Köster(2), Daniel Oeltz(2), Y. Iliash(2), Barbara Wohlmuth(2), Yuri A. Kuznetsov(2), Morten Nalholm(1), Thi Thanh Lam Nguyen(1), Ralf Hiptmair(1), G. Mazurkevitch(1), Yu. I. Kuznetsov(1), K. S. Ermakov(1), Guy Leopold Kamga-Wafo(1)