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...

After the onset of the subprime crisis and the European debt crisis, credit default swaps (CDS) have seen a strong increase in usage. Particularly sovereign CDS protection has been sought after, paralleling the rise in sovereign debt levels, slumps in GDP growth and political tensions in...

This paper investigates the managing strategies of a bank's liquidity reserve in the broader context of the role of asset-liability management according to the liquidity issues of a banking organisation. Several types of liquidity are presented and how these are interconnected and how they might...

In den letzten Jahren hat sich eine Vielzahl von Produkten entwickelt, bei denen der Zahlungszeitpunkt und die Feststellung des Zinssatzes von den natürlichenGewohnheiten des Marktes abweichen. Ein typisches Instrument sind LIBORZahlungen, deren Zinsfestellung nicht am Anfang, sondern am Ende...

The year 2000 started the evolution of the German market for Structured Products with incorporated Hedge Fund exposures. This paper provides an extensive commentary on this fast growing segment. Our analysis suggests that the market for existing products is affected by significant heterogeneity....

Loss Given Default (LGD) is a major element for pricing credits and bonds. As there has been a 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...

Some traders estimate precipitation derivatives to have a potential which increases even that of temperature derivatives. Precipitation derivatives can be used both for hedging and marketing purposes for a diverse number of possible end users. However, the complex way of measuring precipitation,...

Merger and acquisition activities can have a strong impact on the capital structure of the companies involved and therefore on the value of debt. This paper discusses the role of covenants within debt contracts. Using the Real Option approach to quantify the implications of covenants on the...

This paper shows that Economic Value Added (EVA) can be used to optimize the performance of european share investements. Investing in the top third relative EVA performers, leads to a significant outperformance. This is true for market and sektor investments. The best results were found for...