Most traditional Value at Risk models neglect market liquidity risk and hence only consider the market price risk (i.e. risk associated with holding a certain position). In order to fully capture the market risk associated to holding and trading a position, we first define market liquidity risk,...

Credit risk measurement and management become more important in all financial institutions in the light of the current financial crisis and the global recession. This particularly applies to most of the complex structured financing forms whose risk cannot be quantified with com-mon rating...

In a linear model Y = X[beta] + Z a linear functional [beta] -- [gamma]'[beta] is to be estimated under squared error loss. It is well known that, provided Y is normally distributed, the ordinary least squares estimation function minimizes the risk uniformly in the class of all equivariant...

This paper analyzes the current use of incentive-fee-concepts for mutual funds in Germany. Following an empirical analysis about the relevance of these methods, the different methods of calculation and the influence of different parameters are described. Further on it explains the impacts of...

In 2004 the Basel Committee published an extensive revision of the capital charges which creates more risk sensitive capital requirements for banks. The New Accord called International Convergence of Capital Measurement and Capital Standard provides in its first pillar for a finer measurement of...

The aim of portfolio insurance strategies is to put a floor on the value of a stock portfolio by progressively selling stocks and buy safe, short-term debt securities as stock prices fall. This paper analyzes the current static and dynamic methods in use and explains their pros and cons.

Investment decisions of cooperative banks are very restricted to their risk capacity. A well defined and organised Risk Management Process supports those investment activities and assists to achieve a balanced situation between risk and return. Several ways can be chosen to allocate risk...

Due to a fast market development in volume and innovation on the structured products (certificates) side, critics are finding fault regarding a lack in transparency and comparability. However, certificates can provide characteristics for every market scenario as its explicit strength. The aim of...