In Zeiten stark schwankender Finanzmarkte liegt der Fokus von Investoren insbesondere auf dem mit einer Anlage verbundenen Risiko. Gerade in diesen Marktphasen suchen Investoren nach Moglichkeiten, ihr bestehendes Portfolio weiter zu diversifizieren. Volatilitätsinvestments bieten durch ihre...

We have compared the performance of savings plans within the class of difference capital guarantee mechanisms: from the stop loss to classic investments in actuarial reserve funds. CPPI strategies with different leverage factors can be viewed as a compromises between these two extremes. In...

Bonds historical returns cannot be used directly to compute VaR because the maturities of returns implied by the historical prices do not have the relevant maturities to compute VaR. Given the so-called pull-to-par in bonds, with return volatilities necessarily decreasing with diminishing...

Using the pulled to par returns, proposed by [27] for computing historical V@R of bonds, we develop a way of extracting – at any reference date before maturity – implicit default propensities from observed bond quotes. This method is new to the literature and it has the advantage on focusing...

Due to bond prices pull-to-par, zero-coupon bond historical returns are not stationary, as they tend to zero as time to maturity approaches. Given that the historical simulation method for computing value at risk (VaR) requires a stationary sequence of historical returns, zero-coupon bonds'...