A striking and unexpected feature of the financial crisis has been the sharpappreciation of the US dollar against virtually all currencies globally. The paper findsthat negative US-specific macroeconomic shocks during the crisis have triggered asignificant strengthening of the US dollar, rather...

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.

A large part of the current debate on US stock price behaviorconcentrates on the question of whether stock prices are driven byfundamentals or by non-fundamental factors(...)

[...]In this study, we use recent historical evidence toexplore one dimension of the broad relationship betweenmarket returns and mutual fund flows: the effect of shorttermmarket returns on mutual fund flows. Research onthis issue has already confirmed high correlations betweenmarket returns and...

Market participants' risk attitudes, wealth and portfolio composition influence their positions in apegged foreign currency and, therefore, may have important effects on the sustainability of currencypegs. We analyze such effects in a global game model of currency crises with continuous...

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...

This paper examines portfolios within the framework of a dynamic asset-pricingmodel when investors can trade equity assets as well as bonds of many different matu-rities. We specify the model so that investors have demand for both a risky and a safeincome stream. We characterize the resulting...

Der auf Markowitz zurückgehende My-Sigma Ansatz der Portfolioselektion ist zweifellos einStandardverfahren des modernen Portfoliomanagements. Im Bereich des Managements vonAnleiheportfolios hat dieser Ansatz jedoch vergleichsweise geringe Beachtung gefunden. Einwesentlicher Grund dafür dürfte...

[...]This article contributes factually to the debate over theopening of emerging markets to foreign participation byexploring the experiences of Argentina and Mexico—two markets that exhibit a significant degree and duration offoreign bank activity.We begin our analysis by presenting the...

IACPM is a non-profit industry association developed to Further the management of credit exposures by providing a forum for members to exchange ideas, foster research on credit portolio management, represent members before legislative and admistrative bodies...