In this master thesis a mechanism to test mononicity of empirical pricing kernels (EPK) is presented. By testing monotonicity of pricing kernel we can determine whether utility function is concave or not. Strictly decreasing pricing kernel corresponds to concave utility function while...

After the occurrence of a natural disaster, the reconstruction can be financed with catastrophic bonds (CAT bonds) or reinsurance. For insurers, reinsurers and other corporations CAT bonds provide multi year protection without the credit risk present in reinsurance. For investors CAT bonds offer...

Diese Arbeit untersucht die Anwendung von Support Vektor Machines (SVMs) zur Vorhersage der Insolvenz von deutschen Unternehmen. Die Vorhersage basiert auf 24 finanziellen Kennzahlen, die in vier Kategorien unterteilt sind: Profitabilität, Fremdfinanzierung, Liquidität und Aktivität. SVMs...

This thesis presents and compares the performance of two recently developed classification methods namely the Spatial Stagewise Aggregation procedure and Support Vector Machines. Both techniques are convenient for the application to corporate bankruptcy analysis, in terms of calculation of...