CAT bonds are important instruments for the insurance of catastrophe risk. Due to a low degree of deal standardization, there is uncertainty about the determination of the CAT bond premium. In addition, it is not apparent how CAT bonds react after the financial crisis or a natural catastrophe....

CAT bonds are of significant importance in the field of alternative risk transfer. Since the market of CAT bonds is not complete, the application of an appropriate pricing model is of high relevance. We apply different premium calculation models in order to compare them with regard to their...

If the government announces the termination of a subsidy paid for an irreversible investment under uncertainty, investors might decide to realize their investment so as to obtain the subsidy. These investors might have postponed an investment if future payment were assured. Depending on the...

In this paper we analyze an econometric model for non-stationary asset returns. Volatility dynamics are modelled by nonparametric regression; consistency and asymptotic normality of a symmetric and of a one-sided kernel estimator are outlined with remarks on the bandwidth decision. Further...

The estimation of expected security returns is one of the major tasks for the practical implementation of the Markowitz optimization. Against this background, in 1992 Black and Litterman developed an approach based on (theoretical established) expected equilibrium returns which also accounts for...

Die Dissertation „Risk Assessment of Covered Bonds in the International Secondary Market – An Empirical Analysis” beschäftigt sich mit der Risikobewertung von Covered Bonds im internationalen Sekundärmarkt. Covered Bonds sind verzinsliche Wertpapiere, die von Finanzinstituten emittiert...

In this paper we first investigate the validity of a general Value at Risk approach, which is widely used for risk management in banking and insurance companies. We discuss and widely reject the conventional assumptions, e.g. independent identically distributed normal returns, and as consequence...