Profile of Dr. habil. Johannes Leitner

Fields of Activity / Competences

  • Machine Learning, supervised as well as unsupervised
  • Time series analysis and forecasting
  • Non-linear regression models
  • Credit risk measurement and modeling

 

Publications

Major Publications

  • Leitner, J.:
    Convex Pricing by a Generalized Entropy Penalty.
    The Annals of Applied Probability, Vol. 18 (2), 620-631, (2008)
  • Leitner, J.:
    Fair (intra-bank transfer) prices for credits with stochastic recovery.
    Annals of Finance, Vol. 4 (2), 243-253, (2008)
  • Leitner, J.:
    Risk-adjusted Value Allocation for (non-traded) Assets with Performance Ratios.
    Proceedings 28th European Photovoltaic Solar Energy Conference and Exhibition  EU Quantitative Finance, Vol. 8 (1), 93-102, (2008)

A collection of publications by Johannes Leitner in the Fraunhofer Publica