Similar Search Results

Hedging structured credit products during the credit crisis : a horse race of 10 models

Ascheberg, Marius; Bick, Björn; Kraft, Holger - In: Essays on empirical asset pricing, dynamic asset …, (pp. 217-268). 2013

Persistent link: https://www.econbiz.de/10010412564

Government policies, residential mortgage defaults, and the boom and bust cycle of housing prices

Ascheberg, Marius; Jarrow, Robert A.; Kraft, Holger; … - In: Essays on empirical asset pricing, dynamic asset …, (pp. 183-216). 2013

Persistent link: https://www.econbiz.de/10010412565

When do jumps matter for portfolio optimization?

Ascheberg, Marius; Branger, Nicole; Kraft, Holger - In: Essays on empirical asset pricing, dynamic asset …, (pp. 147-182). 2013

Persistent link: https://www.econbiz.de/10010412566

Pricing of firm specific jump risk

Ascheberg, Marius; Kraft, Holger; Yildirim, Yildiray - In: Essays on empirical asset pricing, dynamic asset …, (pp. 21-68). 2013

Persistent link: https://www.econbiz.de/10010412571

Partial information about contagion risk, self-exciting processes and portfolio optimization

Branger, Nicole; Kraft, Holger; Meinerding, Christoph - In: Journal of economic dynamics & control 39 (2014), pp. 18-36

Persistent link: https://www.econbiz.de/10010387822

What is the impact of stock market contagion on an investor's portfolio choice?

Branger, Nicole; Kraft, Holger; Meinerding, Christoph - In: Insurance / Mathematics & economics 45 (2009) 1, pp. 94-112

Persistent link: https://www.econbiz.de/10009517592

Systemic risk in the financial sector : what can we learn from option markets?

Kraft, Holger; Schmidt, Alexander - 2014 - Current version: February 10, 2014

Persistent link: https://www.econbiz.de/10010467869

Optimal carbon abatement in a stochastic equilibrium model with climate change

Hambel, Christoph; Kraft, Holger; Schwartz, Eduardo S. - 2015

Persistent link: https://www.econbiz.de/10010510666

Optimal carbon abatement in a stochastic equilibrium model with climate change

Hambel, Christoph; Kraft, Holger; Schwartz, Eduardo S. - 2015

This paper studies a dynamic stochastic general equilibrium model involving climate change. Our model allows for damages on economic growth resulting from global warming. In the calibration, we capture effects from climate change and feedback effects on the temperature dynamics. We solve for the...

Persistent link: https://www.econbiz.de/10010495010

Redesigning ratings : assessing the discriminatory power of credit scores under censoring

Kraft, Holger; Kroisandt, Gerald; Müller, Marlene - In: The journal of credit risk : published quarterly by … 10 (2014) 4, pp. 71-94

Persistent link: https://www.econbiz.de/10010495827