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Financial markets and portfolio management
Norwell, Mass. : Springer; 2001-2004: Zürich - 1.1987 -
Persistent link: https://www.econbiz.de/10001726347
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The review of financial studies
Oxford : Oxford University Press; 1988-1990: New York, … - 1.1988 -
Persistent link: https://www.econbiz.de/10001355374
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Entropy-driven portfolio selection : a downside and upside risk framework
Rödder, Wilhelm; Gartner, Ivan Ricardo; Rudolph, Sandra - 2009
Persistent link: https://www.econbiz.de/10003832361
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Berücksichtigung von Schätzunsicherheit bei der Kreditrisikobewertung : Vergleich des Value at Risk der Verlustverteilung des Kreditrisikos bei Verwendung von Bootstrapping und ein...
Dannenberg, Henry - 2009
Bei der Kreditrisikobewertung müssen die Parameter Ausfallwahrscheinlichkeit und korrelation geschätzt werden. Diese Schätzung erfolgt unter Unsicherheit. In der Literatur werden asymptotische Konfidenzregionen diskutiert, um diese Unsicherheit bei der simultanen Schätzung beider Parameter...
Persistent link: https://www.econbiz.de/10003825755
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Discrete-time Asset Pricing Models in Applied Stochastic Finance
Vassiliou, Panos C. G. - 2010 - 1. publ.
Persistent link: https://www.econbiz.de/10003895184
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Evaluation of minimum capital requirements for bank loans to SMEs
Düllmann, Klaus; Koziol, Philipp - 2013
Our paper addresses firm size as a driver of systematic credit risk in loans to small and medium enterprises (SMEs). Key contributions are the use of a unique data set of SME lending by over 400 German banks and relating systematic risk to the size dependence of regulatory capital requirements....
Persistent link: https://www.econbiz.de/10009751062
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Essays on behavioral portfolio management : theory and application
Singer, Nico - 2011
The aim of this dissertation is the behavioral portfolio selection problem in which risk is measured as the probability of shortfall. Using behavioral elements, such as mental accounting, and emotions and cognition, this dissertation investigates empirical issues related to behavioral asset...
Persistent link: https://www.econbiz.de/10009668052
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Banks' concentration versus diversification in the loan portfolio : new evidence from Germany
Jahn, Nadya; Memmel, Christoph; Pfingsten, Andreas - 2013
Using a unique data set on German banks' sector specific loan exposures to the real economy and the corresponding write-offs and write-downs, we examine the impact of loan portfolio sector concentration on credit risk. By controlling for common risk factors, we separate the bank-specific...
Persistent link: https://www.econbiz.de/10010233376
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Market transparency and the marking precision of bond mutual fund managers
Cici, Gjergji; Gibson, Scott; Gündüz, Yalın; … - 2014
We analyze the dispersion of month-end price marks simultaneously placed on identical corporate bonds by different US mutual fund managers before and after initiations of TRACE and introductions of issuers into Markit’s CDS database. Disseminated bonds show large and statistically significant...
Persistent link: https://www.econbiz.de/10010373710
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The modern portfolio theory applied to wind farm investments
Chaves-Schwinteck, Patricia - 2013
Theorie, die sich weitgehend auf die Prinzipien der Diversifizierung stützt, wurde im Bereich des Wertpapiermanagements … Grenzen einer Theorie, die für finanzielle Vermögenswerte konzipiert worden ist, wenn diese an physischen Investitionen wie … Modern Portfolio Theory when applied to investments in wind farms. The Modern Portfolio Theory describes how the combination …
Persistent link: https://www.econbiz.de/10010418415