This paper analyzes bank margins in the German secondary market for exchange-traded structured financial products, with particular emphasis on the influence of banks' credit risk. A structural model allowing for the incorporation of correlation effects between market and credit risk is applied...

The well-known binomial and trinomial tree models for option pricing are examined from the point of view of numerical efficiency. Common lattices use a large part of time resources for calculations which are almost irrelevant for the solution. To avoid this waste of resources, the tree is...

The well-known binomial and trinomial tree models for option pricing are examined from the point of view of numerical efficiency. Common lattices use a large part of time resources for calculations which are almost irrelevant for the solution. To avoid this waste of resources, the tree is...

This is the first paper systematically calculating, testing and explaining different definitions of the survivorship bias in fund performance. We document that the survival-performance-relation is stronger for small funds and we find under-performance of non-survivors but no significant...

Theory predicts that market timing in managed portfolios biases Jensen's alpha. However, empirical studies have failed to find evidence this bias actually exists. We tackle this puzzle by showing via a nested model approach and various simulations that, for the bias to become economically...

In 1997, Modigliani and Modigliani developed the risk-adjusted performance measure RAP (often called M-squared) which is by now widely accepted in theory and practice. Their measure has further increased investorsiquest; awareness of risk-adjusted performance measurement. However, this measure...

This paper presents the first analysis of open-end leverage certificates on the German market. The major innovations of these certificates are twofold. First, issuers announce a price-setting formula according to which they are willing to buy and sell the certificates over time. Second, the...

This paper examines the risk-adjusted performance of mutual funds offered in Germany which exclusively invest in the 'rather new' capital market segment of euro-denominated investment grade corporate bonds. The funds are evaluated employing a single-index model and several multi-index and...

We investigate here the sensitivity of the stock returns of German financial institutions to changes in the shape of the term structure of interest rates. The standard approach has been to measure the interest rate sensitivity of stock returns by focussing solely on changes in a single interest...

This paper analyzes the robustness of the standardized framework proposed by the Basel Committee on Banking Supervision (2004b) to quantify the interest rate risk of banks. We generalize this framework and study the change in the estimated level of interest rate risk if the strict assumptions of...