Concepedia

Bernd Engelmann

BE

10

Publications

250

Citations

10

H-Index

2000

Active since

Affiliations

Ho Chi Minh City Open University(Current)

Bernd Engelmann is an author at Ho Chi Minh City Open University specializing in finance, business, and option pricing.

Top concepts

FinanceBusinessEngineeringAsset PricingOption PricingFinancial EngineeringEconomicsManagementRisk ManagementFinancial Crisis

Publications per year

2000–2022

10

Publications

10

Measuring the Discriminative Power of Rating Systems

Bernd Engelmann, Evelyn Hayden, Dirk Tasche · SSRN Electronic Journal · 2003 · 96 citations · Full text

Static versus dynamic hedges: an empirical comparison for barrier options

Bernd Engelmann, Matthias R. Fengler, Morten Nalholm et al. · Review of Derivatives Research · 2006 · 40 citations

Mathematical Programming, Economics, Option Pricing +10

The Basel II risk parameters : estimation, validation, stress testing--with applications to loan risk management

Bernd Engelmann, Robert Rauhmeier · 2011 · 28 citations

Risk Model Validation, Financial Risk Management, Risk Management +12

Calibration of the Heston Stochastic Local Volatility Model: A Finite Volume Scheme

Bernd Engelmann, Frank Köster, Daniel Oeltz · SSRN Electronic Journal · 2011 · 17 citations · Full text

Hedging under alternative stickiness assumptions: an empirical analysis for barrier options

Bernd Engelmann, Matthias R. Fengler, Peter Schwendner · The Journal of Risk · 2008 · 13 citations

Option Pricing, Volatility Modeling, Empirical Analysis +14

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