Narrow search
Showing 1 - 10 of 1,101
Cover Image
Kreditrisiko (CreditMetrics)
Heidorn, Thomas - Frankfurt School of Finance and Management - 1999
Während die Markpreisrisiken (Zinsen, Aktien und Währungen) mit Hilfe des RiskMetrics-Ansatzes gut beschrieben werden können und dafür relativ überzeugende Derivate zur Absicherung unerwünschter Risiken zur Verfügung stehen, hat diese Entwicklung im Kreditbereich erst begonnen. Bei der...
Persistent link: https://www.econbiz.de/10005027056
Cover Image
Kreditderivate
Heidorn, Thomas - Frankfurt School of Finance and Management - 1999
In den letzten Jahren hat eine intensive Entwicklung von Kreditderivaten begonnen.Im Kern soll hiermit die Möglichkeit geschaffen werden, das Adressenrisiko einer Transaktion von ihrem Marktrisiko zu separieren und es damit einzeln handelbar, aber insbesondere auch hedgebar zu machen. Die...
Persistent link: https://www.econbiz.de/10005026963
Cover Image
Third Moment of Yield Probability Distributions for Instruments on Slovenian Financial Markets
Devjak, Srečko; Grum, Andraž - In: Prague Economic Papers 2006 (2006) 4, pp. 364-373
Due to the capital decree legislated by the Bank of Slovenia, Slovenian commercial banks can apply internal models for …
Persistent link: https://www.econbiz.de/10005036506
Cover Image
Indexzertifikat oder ETF? Eine entscheidungstheoretische Analyse
Klein, Christian; Kundisch, Dennis - In: Metrika 19 (2008) 3, pp. 353-370
Private investors increasingly use passive investment strategies, i.e. investment methods that try to replicate a stock market index as accurate as possible. In this paper we compare retail index certificates and exchange traded funds. Both investment products promise a performance that...
Persistent link: https://www.econbiz.de/10010995156
Cover Image
Investitionen in Collateralized Debt Obligations
Heidorn, Thomas; König, Lars - Frankfurt School of Finance and Management - 2003
The paper deals with the evaluation of Collateralized Debt Obligations for investment purposes. CDOs are classified in the asset backed environment. Its specific risks (market, timing, recovery, agency) are discussed. To understand the portfolio aspect, the concept of the diversity score is...
Persistent link: https://www.econbiz.de/10005027050
Cover Image
A subsampling approach to estimating the distribution of diversing statistics with application to assessing financial market risks
Bertail, Patrice; Haefke, Christian; Politis, Dimitris N.; … - Department of Economics and Business, Universitat … - 2001
In this paper we propose a subsampling estimator for the distribution of statistics diverging at either known rates when the underlying time series in strictly stationary abd strong mixing. Based on our results we provide a detailed discussion how to estimate extreme order statistics with...
Persistent link: https://www.econbiz.de/10005827491
Cover Image
Credit risk management in banks: Hard information, soft Information and manipulation
Godbillon-Camus, Brigitte; Godlewski, Christophe - Volkswirtschaftliche Fakultät, … - 2005
The role of information’s processing in bank intermediation is a crucial input. The bank has access to different types … a bank relationship, is qualitative and non verifiable, therefore manipulable, but produces more precise estimation of … to the banker but requires particular organizational modifications within the bank, as it allows to reduce capital …
Persistent link: https://www.econbiz.de/10005836711
Cover Image
Hedging Effectiveness under Conditions of Asymmetry
Cotter, John; Hanly, James - Volkswirtschaftliche Fakultät, … - 2007
We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using Oil futures contracts. The metrics used include Lower Partial Moments (LPM), Value at Risk (VaR) and...
Persistent link: https://www.econbiz.de/10005837212
Cover Image
Methodology Concerning the Utilization of the Value at Risk
ANGHELACHE, Gabriela-Victoria; NEGRU, Andreea; KRALIK, … - In: Romanian Statistical Review Supplement 60 (2012) 4, pp. 162-169
The value at risk (VaR) represents an estimate, at a certain level of probability and under normal conditions of the market, for the maximal level of value loss that may be recorded by a portfolio of financial assets over an established time horizon. Originally, the VaR methodology has been used...
Persistent link: https://www.econbiz.de/10010598324
Cover Image
VALUE AT RISK: AGRICULTURAL PROCESSOR PROCUREMENT AND HEDGING STRATEGIES
Hawes, Cullen R.; Wilson, William W.; Dahl, Bruce L. - Department of Agribusiness and Applied Economics, North … - 2005
Agricultural firms that use Value at Risk (VaR) tend to be the large diversified corporations. The benefits of VaR in the agricultural industry are not limited to large conglomerates; however, and this study provides empirical examples of how mid to large sized commodity end-users can use VaR to...
Persistent link: https://www.econbiz.de/10005806334