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Credit dynamics in a first passage time model with jumps

Packham, Natalie; Schlögl, Lutz; Schmidt, Wolfgang M. - Frankfurt School of Finance and Management - 2009

The payoff of many credit derivatives depends on the level of credit spreads. In particular, the payoff of credit derivatives with a leverage component is sensitive to jumps in the underlying credit spreads. In the framework of first passage time models we extend the model introduced in...

Persistent link: https://www.econbiz.de/10009642577

Credit gap risk in a first passage time model with jumps

Packham, Natalie; Schlögl, Lutz; Schmidt, Wolfgang M. - Frankfurt School of Finance and Management - 2009

The payoff of many credit derivatives depends on the level of credit spreads. In particular, credit derivatives with a leverage component are subject to gap risk, a risk associated with the occurrence of jumps in the underlying credit default swaps. In the framework of first passage time models,...

Persistent link: https://www.econbiz.de/10009642587

Das Geschäft mit Derivaten und strukturierten Produkten: Welche Rolle spielt die Bank?

Schmidt, Wolfgang M. - Frankfurt School of Finance and Management - 2012

Das Geschäft mit Derivaten und strukturierten Finanzprodukten ist verstärkter Kritik ausgesetzt. Ziel des Aufsatzes ist die kritische Auseinandersetzung mit den Thesen der Kritiker und der Rolle der Bank bei den genannten Geschäften.

Persistent link: https://www.econbiz.de/10010982089

Investitionen in Collateralized Debt Obligations

Heidorn, Thomas; König, Lars - Frankfurt School of Finance and Management - 2003

The paper deals with the evaluation of Collateralized Debt Obligations for investment purposes. CDOs are classified in the asset backed environment. Its specific risks (market, timing, recovery, agency) are discussed. To understand the portfolio aspect, the concept of the diversity score is...

Persistent link: https://www.econbiz.de/10005027050

Eine Analyse des Credit Spreads und seiner Komponenten als Grundlage für Hedge Strategien mit Kreditderivaten

Krones, Julia; Cremers, Heinz - Frankfurt School of Finance and Management - 2012

In almost every financial market crisis we can observe widening credit spreads, especially in the last years during the subprime and sovereign debt crisis. But what exactly drives the credit spread? This paper will outline static components, i.e. default risk, liquidity, risk and the relative...

Persistent link: https://www.econbiz.de/10010985127

Konstruktion einer Anleihe mit hypothekarischer Besicherung

Alram, Johannes - Frankfurt School of Finance and Management - 2009

This work describes the legal structuring of a mortgage covered bond in accordance with the regulations of paragraphs … rights of the bond holders according to the regulations of the German Statue Governing Common Rights of Owners of Debt … Securities (Schuldverschreibungsgesetz). Furthermore, the work describes how the bond creditors shall have preferences of the …

Persistent link: https://www.econbiz.de/10005026984

Fixed income strategies for trading and for asset management

Tinschert, Jonas; Cremers, Heinz - Frankfurt School of Finance and Management - 2012

Trading and investment strategies play an essential part in better understanding fixed income markets. Over-the-counter markets and thousands of different outstanding bonds increase the difficulties to identify adequate comparison methods. Market participants and their practices differ widely...

Persistent link: https://www.econbiz.de/10010957473

The liquidity reserve funding and management strategies

Heidorn, Thomas; Buschmann, Christian - Frankfurt School of Finance and Management - 2014

This paper investigates the managing strategies of a bank's liquidity reserve in the broader context of the role of asset-liability management according to the liquidity issues of a banking organisation. Several types of liquidity are presented and how these are interconnected and how they might...

Persistent link: https://www.econbiz.de/10010957487

Unternehmen im Prime Standard staying public oder going private? Nutzenanalyse der Börsennotiz

Schanz, Kay-Michael; Richard, Jörg; Schalast, Christoph - Frankfurt School of Finance and Management - 2004

The dramatic drop in prices on the German stock exchange in the period from 2000 to 2003 was one cause for the rising number of delistings in Germany. This development triggered the study on the aptitude of listed companies to remain listed although the authors were well aware that a negative...

Persistent link: https://www.econbiz.de/10005026953

Möglichkeiten der Strukturierung von Hedgefondsportfolios

Heidorn, Thomas; Hoppe, Christian; Kaiser, Dieter G. - Frankfurt School of Finance and Management - 2005

The year 2000 started the evolution of the German market for Structured Products with incorporated Hedge Fund exposures. This paper provides an extensive commentary on this fast growing segment. Our analysis suggests that the market for existing products is affected by significant heterogeneity....

Persistent link: https://www.econbiz.de/10005026954