The pricing kernel puzzle is the observation that the pricing kernelmight be increasing in some range of the market returns. This paperanalyzes the pricing kernel in a nancial market equilibrium. If mar-kets are complete and investors are risk-averse and have common andtrue beliefs, the pricing...

The Legal Limits to Insurable Risk, Transactional Insurance Products,Legal and Regulatory Issues in Europe, Open Discussion...

This paper provides new insights into the use of loan securitization. We analyzecollateralized loan obligation (CLO) transactions by European banks from 1997 to 2004and try to identify the influence that various firm-specific and macroeconomic factorsmay have on an institution's securitization...

Within the last decade, credit risk management of financial institutions has been subject to major changes due to the development of the credit derivatives market. In the past, financial institutions merely had the possibility to manage their credit portfolio by either approving or refusing a...