In the last decade, portfolio credit risk measurement has improved significantly. The currentstate-of-the-art models analyze the value of the portfolio at a certain risk horizon, e.g. one year. Mostpopular has become the Merton-type one-factor model of Vasicek, that builds the fundament of...

The ongoing debate concerning credit concentration risk is mainly driven by the requirementson credit risk management due to Pillar 2 of Basel II since risks (e.g. concentration risk) that arenot fully captured by Pillar 1 should be adequately considered in the banks’ risk management....

Es wird dargelegt, dass das im Rahmen des Asset-Liability-Managements häufiggewählte Immunisierungsverfahren des Durationsmatch unter Verwendung der traditionellen Yieldbeta-Methode nur dann sachgerecht eingesetzt werden kann, wenn das betrachtete Unternehmenkeinen sicheren realen und damit...

Die Immobilienbewertung von Renditeobjekten erfolgt in Deutschland derzeitüberwiegend über das so genannte Ertragswertverfahren, welches gesetzlich in der Wertermittlungsverordnung(WertV) verankert ist und mit dem Discounted-Cash-Flow (DCF) Verfahren aus dem angelsächsischenRaum vergleichbar...

We are considering for examination an Irreversible Investment under Uncertainty, subsidizedby the government. If the government announces the termination of a form of subsidization,investors may decide to realize their investment in order to obtain the subsidy. These investors mighthave...

The most relevant practical impediment to an application of the Markowitz portfolio selectionapproach is the problem of estimating return moments, in particular return expectations. We analyzethe consequences of using return estimates implied by analysts’ dividend forecasts under the...

The measurement of concentration risk in credit portfolios is necessary for the determinationof regulatory capital under Pillar 2 of Basel II as well as for managing portfolios and allocating economiccapital. Existing multi-factor models that deal with concentration risk are often inconsistent...

Der wachsende Wettbewerbsdruck im Bankensektor führte in den letzten Jahrentrotz eines geringen Zinsniveaus zu sinkenden Zinsmargen im Verbraucherkreditgeschäft. Hervorgerufenwird diese Änderung der Angebotspreise durch die sinkende Bedeutung der Hausbankbeziehungsowie der steigenden Anzahl...

(CAT-)astrophe Bonds are of significant importance in the field of alternative risk transfer.Since the market of CAT Bonds is not as liquid as e.g. the stock market, the use of pricing models is ofhigh relevance. One important parameter in all pricing models is the probability of catastrophe....

Several attempts have been made to reduce the impact of estimation errors on the optimalportfolio composition. On the one hand, improved estimators of the necessary momentshave been developed and on the other hand, heuristic methods have been generated to enhancethe portfolio performance, for...