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Stephan
Jortzik
104/215 Aspinall Street, Watson/Canberra, 2602 ACT, Australia
Tel.: +61458779367 (+491775605896)
E-Mail: Stephan@Jortzik.de
| Doctoral-Thesis |
Semi-analytische und
simulative Kreditrisikomessung synthetischer Collateralized
Debt Obligations bei heterogenen Referenzportfolios -
Unternehmenswertorientierte Modellentwicklung und
transaktionsbezogene Modellanwendungen
(Semi-Analytical
and Simulative Credit Risk Measurement of Collateralized Debt
Obligations with Heterogeneous Reference Portfolios-A Modified
Asset-Value Model and Transaction-Based Model
Applications)
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Selected Publications |
German Residential Mortgage Loan
Foreclosure Risk - Empirical Evidence and Forward-looking
View
Fitch
Special Report
March 2010 (co-author: Eberhard
Hackel)
A Multi-Factor
Cross Currency LIBOR Market Model
The
Journal of Derivatives
Summer 2009, Vol.
16, No. 4: pp. 53-71 (co-authors: Wolfgang
Benner and Lyudmil Zyapkov)
German Mezzanine CLOs - A Sector Under
Pressure
Fitch
Special Report
April 2009 (co-authors: Susanne Matern and Olga
Kljubina)
Synthetische Collateralized
Debt Obligations - Bewertung und Kreditrisikomessung mit
Unternehmenswertmodellorientierung
Book
Publication
Norderstedt 2006, ISBN
3-8334-5220-X
Zum Zusammenhang zwischen Bond Credit Spreads
und Ratings - Aktuelle empirische Analysen anhand
börsentäglicher Daten des US-amerikanischen Corporate
Bond-Marktes sowie eine Überprüfung der
Informationsgehalt-Hypothese
IFBG-Research Report No.
16
Göttingen 2003 (co-author: Sascha
Mergner)
Traditionelle
Kreditrisikominderungstechniken und Kreditderivate als
Gegenstand von Basel II - Betriebswirtschaftliche
Implikationen bankaufsichtsrechtlicher Regulierungen für das
Kreditrisikomanagement von
Kreditinstituten
IFBG-Research Report No.
15
Göttingen 2002 (co-author: Birgit
Müller)
Zur arbitragefreien Bewertung von
Volatilitätsfutures - Theoretische und empirische Analysen
anhand des VOLAX
IFBG-Research Report No.
12
Göttingen 1999 (co-author: Jonny
Holst)
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| Selected
Presentations |
Rating Structured Finance Transactions
- Case Study: Rügen Eins
Certified
Rating Analyst Programme, University of St.
Gallen
November 2009
German CLO
Transactions and Revised European SME
Criteria
Fitch
Investor Presentations, London, Dublin, Vienna and
Frankfurt
June/July
2009
Limitations of Structured Finance
Analytics
TSI Special
Training, Frankfurt
February
2009
Credit Portfolio Risk Modelling for
Rating Granular CDO Transactions-Methodological Issues and
Risk Aspects
HVB
Institute for Mathematical Finance, University of
Munich
January 2008
Risk Assessment
and Rating of German SME CLOs
Bachelor's
Course Financial Management, University of
Potsdam
December
2007
Rating Structured Finance Transactions
- Case Study: Preps 2007-1
Certified
Rating Analyst Programme, University of St.
Gallen
November 2007
Quality Made in
Germany-The German SME CLO Sector
Investor
Presentation, London and Dublin
October
2007
Financing of European SMEs through
CDOs
ESF/IMN
European CDOs, Credit Derivatives & Structured Credit
Products Summit CDO Conference, Panel Discussion,
London
September 2007
Rating of
Mezzanine SME CLOs-Rating Methodology Aspects and Case
Study
"Potsdam
Summer Academy 2007", Workshop, University of
Potsdam
July 2007
European SME
Liquidity Initiatives
ICAPM 2007
Spring General Meeting, Panel Discussion,
Zurich
June 2007
Rating Structured
Finance Transactions
Faculty of
Mathematics, University of Leipzig
May
2007
Asset-Backed Securities in Germany-An
Introduction from the Perspective of a Rating
Agency
IIFF-Seminar "Accounting and Legal
Aspects of ABS-Transactions",
Frankfurt
April 2007
A Multi-Factor
Cross-Currency LIBOR Market Model
14th Annual
Global Finance Conference, LaTrobe University
Melbourne
April 2007 (with Lyudmil
Zyapkov)
Credit Risk of CDOs-Structural Form
Methodology, Default Probabilities, Recovery Rates,
Correlation Impact on Credit
Portfolios
Investor
Presentation, Frankfurt
February
2007
Modelling Joint Credit Events with
Copulae During the Structuring Process of Synthetic CDO
Transactions
Faculty of
Economic Sciences, University of
Göttingen
January 2004
Using Copulae for Credit Risk
Management Purposes
Symposium
"Mathematics in Banks and Insurance Companies", Technical
University of Freiberg
December
2003
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