This paper argues that book-to-market and size attributes represent sensitivities of firm returns to several risk factors, and in so doing they subsume the information in other attributes.

This paper solves the intertemporal investment problem of an investor holding a portfolio of default-free and defaultable bonds.

This paper analyzes the relation between correlation risk and the cross-section of hedge fund returns.Legal framework and investment mandate imply that hedge funds can be severely exposed tocorrelation risk: Hedge funds ability to enter long-short positions can be useful to reduce marketbeta,...

Modellierung der Abhängigkeiten zwischen Ausfall, Verlustrate und Forderungshöhe bei Ausfall mit Faktoren und Copulae -- Multivariate Erweiterung des Heckman-Schätzers, um der Stichprobenselektion seitens der Verlustrate und der Forderungshöhe gerecht zu werden -- Empirische Befunde zur...

The finance literature looks at a number of factors to explain risk premia in corporate debt, such as liquidity effects, jump-to-default risk, and contagion risk. Stochastic recovery rates as a source of systematic risk have not received much attention so far, most likely due to the difficulties...

Credit Risk Measurement in the Context of Basel II -- Concentration Risk in Credit Portfolios and Its Treatment Under Basel II -- Model-Based Measurement of Name Concentration Risk in Credit Portfolios -- Model-Based Measurement of Sector Concentration Risk in Credit Portfolios -- Conclusion

In this paper we solve an intertemporal portfolio problem with correlation risk, using a new approach for the simultaneous modeling of stochastic correlation and volatility. The solutions of the model are in closed form and include an optimal portfolio demand for hedging correlation risk. We...