Purpose – This paper aims to provide an overview of the market for corporate and sovereign credit default swaps (CDS), with particular focus on Europe. It studies whether the subprime crisis of 2007/2008 and, particularly, the European debt crisis 2009/2010 led to a differential development on...

Purpose – This paper aims to provide an overview of the market for corporate and sovereign credit default swaps (CDS), with particular focus on Europe. It studies whether the subprime crisis of 2007/2008 and, particularly, the European debt crisis 2009/2010 led to a differential development on...

We study how the exposure of fundamental and financial traders affects the futures curve of WTI oil and the market integration between WTI and Brent as measured by their price spread. To obtain a parsimonious representation of the futures curve, we decompose it into a level-, a slope- and a...

Purpose – Academic research has shown that diversification today may not only include stocks and bonds but also alternative investments like hedge funds. However, practical and effective methods to identify the hedge fund styles that really enhance the risk return characteristics of a...

In addition to the Basel II capital ratio, Basel III requires banks to respect additional ratios, such as leverage ratio, liquidity coverage ratio and net stable funding ratio. Banks are required to be compliant with all four constraints simultaneously. Our article provides a framework for banks...

Purpose – Academic research has shown that diversification today may not only include stocks and bonds but also alternative investments like hedge funds. However, practical and effective methods to identify the hedge fund styles that really enhance the risk return characteristics of a...

1. Einleitung -- 1.1 Aufbau und Idee des Buches -- 1.2 Einführung in die Finanzmathematik -- 2. Cash Produkte -- 2.1 Geldmarktprodukte -- 2.2 Loans und Deposits -- 2.3 Verbriefte Geldmarktprodukte -- 2.4 Devisen Forwards und Devisen Swaps -- 3. Kapitalmarktprodukte -- 3.1 Sovereigns -- 3.2...