In this paper I question whether the risk weights in the advanced (IRB) approach of the Basel 2 regulation are appropriate, on a strictly theoretical ground. The major concern is that the model behind the regulation considers defaults only at the end of the time horizon for which capital is to...

In this chapter I argue that as a response to the introduction of capital requirements in the form of risk weights investors might potentially choose riskier portfolios than before the regulation – this is, presumably, not what the regulation intends to achieve. That is, while regulation most...

In this paper I present a method for the simulation of the default of such loans that have two important properties: they are seasoned – maybe even being at different points of the seasoning curve – and they evolve in an asset-value based framework. This latter model allows us to introduce...

In this paper I present a simple model through which I examine how large unwanted outcomes in a process subject to one’s decisions can be avoided. The paper has implications for decision makers in the field of economics, financial markets and also everyday life. Probably the most interesting...

In explaining economic phenomena, economic analysis concentrates on selected influences and fixes the host of other factors under a ceteris paribus clause. This view, which goes back to Alfred Marshall (1842-1924), is developed in the first part of the book. Aggregation is viewed as a particular...

Life annuities provide a guaranteed income for the remainder of the recipient’s lifetime, and therefore, annuitization presents an important option when choosing an adequate investment strategy for the retirement ages. While there are numerous research articles studying annuities from a...

Even 50 years after Modigliani/Miller’s irrelevance theorem, the basic question of how firms choose their capital structure remains unclear. This survey paper aims at summarizing and discussing corresponding recent developments in empirical capital structure research, which, in our view, are...

There has been a wide-spread misconception based on the imprecise wording of Art. 52 of the European Patent Convention (EPC) that the protection of business methods by patents is prohibited in Europe. This paper investigates the legal framework set by patent laws with respect to the...

Ein Großteil der Neugründungen in Deutschland ist auf staatliche Förderung von Existenzgründern zurückzuführen. Dieser Anteil hat sich nach Einführung des als „Ich-AG“ bekannten Existenzgründungszuschusses Anfang 2003 stark erhöht. Die Erfolgsfaktorenforschung hat diese Form von...

In 2003, Swiss Re introduced a mortality-based security designed to hedge excessive mortality changes for its life book of business. The concern was apparently brevity risk, i.e., the risk of premature death. The brevity risk due to a pandemic is similar to the property risk associated with...