In this paper we show that inflation differentials among the countries in the European Monetary Union (EMU) are an economically significant risk to German firms, which make up the largest economy in the EMU. This risk can be interpreted as real “exchange rate exposure” resulting from trade...

This paper examines the impact of corporate social responsibility (CSR) on firm risk, comprising total risk, idiosyncratic risk, and systematic risk, as well as firm value. We focus on analyzing the interrelationships along the entire distribution of the independent variables, thus estimating an...

This paper is the first on retail Structured Financial Products (SFPs) from the fixed-income area, namely open-end knock-outs (OEKOs) on government bond futures. We develop and apply a valuation algorithm for OEKOs to analyze the issuers' profit. On the basis of a simple superhedging strategy we...

This paper explores the extent to which interest risk exposure is priced in bank margins. Our contribution to the literature is twofold: First, we present an extended model of Ho and Saunders (1981) that explicitly captures interest rate risk and returns from maturity transformation. Banks price...

In this paper we show that inflation differentials among the countries in the European Monetary Union (EMU) are an economically significant risk to German firms, which make up the largest economy in the EMU. This risk can be interpreted as real "exchange rate exposure" resulting from trade...

This paper explores the extent to which interest risk exposure is priced in bank margins. Our contribution to the literature is twofold: First, we extend the Ho and Saunders (1981) model to capture interest rate risk and expected returns from maturity transformation. Banks price interest risk...

This paper explores the extent to which interest risk exposure is priced in bank margins. Our contribution to the literature is twofold: First, we present an extended model of Ho and Saunders (1981) that explicitly captures interest rate risk and returns from maturity transformation. Banks price...