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Persistent link: https://www.econbiz.de/10005865907
Underlyings of weather derivatives in Europe tend to be average temperature compared to heating (cooling) day in the USA because of a smaller volatility in temperature. The derivatives are priced using as burn analysis. Using a gas utility company, hedging techniques are shown using temperature...
Persistent link: https://www.econbiz.de/10010298888
Underlyings of weather derivatives in Europe tend to be average temperature compared to heating (cooling) day in the USA because of a smaller volatility in temperature. The derivatives are priced using as burn analysis. Using a gas utility company, hedging techniques are shown using temperature...
Persistent link: https://www.econbiz.de/10005026976
Persistent link: https://www.econbiz.de/10001908190
Persistent link: https://www.econbiz.de/10002083681
Im Arbeitsbericht wurden die wesentlichen Kapitalbestandteile der Bank vorgestellt. Durchdas Bankenaufsichtsrecht entstehen bei Kern- und Ergänzungskapital haftende Eigenkapitalformen,die bilanziell aber wie Fremdkapital wirken. Dies führt zu einer Erweiterung desWACC im Bankenrahmen. Hinzu...
Persistent link: https://www.econbiz.de/10005865555
Funds of Hedge Funds (FHF) are perceived to be the premier choice of institutional investorsfor first-time allocations into the alternative investment asset class. While many papers coverthe bright side of FHF investing, we in this paper empirically investigate the maximum drawdownsof FHF....
Persistent link: https://www.econbiz.de/10005865580
This paper tracks a structured financial innovation, the commercial mortgage-backed securitywhich is not as novel as current discussion around the sub-prime crisis let assume. However,CMBS as credit-derivatives feature various factors that influence the risks arising from acommercial-mortgage...
Persistent link: https://www.econbiz.de/10005865610
Loss Given Default (LGD) is a major element for pricing credits and bonds. As there has beena substantial amount of research during the last years, this paper aims to give an overview.Initially, defaults and recovery definitions for credits and the differences to bonds are discussed.A survey of...
Persistent link: https://www.econbiz.de/10005865617
This paper discusses the management of loan commitments (“Kreditzusagen“). First, weelaborate on the necessary steps to efficiently manage liquidity facilities. In particular, thedrawdown pattern of single commitments and a portfolio of such commitments have to bemodelled. Based on the...
Persistent link: https://www.econbiz.de/10005865620