This paper examines the informational efficiency of loans relative to bonds surrounding loan default dates and bond default dates. We examine this issue using a unique dataset of daily secondary market prices of loans over the11/1999-06/2002 period.(...)

The report describes the current developments of the German market for Non Performing Loans/Distressed Debt as it is influenced by the financial crisis/credit crunch. Furthermore the sale of (small and medium sized) real estate portfolios since summer 2007 is analysed in more detail.

This paper examines the pricing of options by approximating extensions of the Black-Scholes setup in which volatility follows a separate diffusion process. It gereralizes the well-known binomial model, constructing a discrete two-dimensional lattice. We discuss convergence issues extensively and...

We review the continuous-time literature on the so-called direct approach to bond option pricing. Going back to Ball and Torous (1983), this approach models bond price processes directly (i.e. without reference to interest rates or state variable processes) and applies methods that Black and...

Vorliegende Arbeit beschäftigt sich mit Schuldscheindarlehen. Dabei soll ein Modell vorgestellt werden, das die Bestimmung der relevanten Modellparameter eines portfoliotheoretischen Ansatzes bezüglich mehrperiodiger Durchschnittsrenditen eines Portefeuilles aus den Asset-Klassen der...

This paper shows how financial contracts might be redesigned to allow for banks to manage the idiosyncratic component for their own accounts.

This paper publishes new results on immunization of bond portfolios.

This paper provides a simple model of the rescheduling of debt following a sovereign default as a bond exchange.

This paper develops a model and estimate simultaneously the joint dynamics of default-free and defaultable bond term structures.

Starting from the Merton framework for firm defaults, we provide theanalytics and robustness of the relationship between defaultprobabilities and default correlations. We show that loans with higherdefault probabilities will not only have higher variances but also highercorrelations with other...