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Cyclical correlations, credit contagion, and portfolio losses
Giesecke, Kay (contributor); Weber, Stefan (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001919109
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Default compensator, incomplete information, and the term structure of credit spreads
Giesecke, Kay - 2001
We provide a framework for the analysis of term structures of credit spreads on corporate bonds in the presence of informational asymmetries. While bond investors observe default incidents, we suppose that they have incomplete information on the firm's assets and/or the threshold asset level at...
Persistent link: https://www.econbiz.de/10009620780
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Correlated default with incomplete information
Giesecke, Kay - 2001
We propose a model of correlated multi-firm default with incomplete information. While public bond investors observe issuers' assets and defaults, we suppose that they are not informed about the threshold asset level at which a firm is liquidated. Bond investors form instead a prior on these...
Persistent link: https://www.econbiz.de/10009621426
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Compensator-based simulation of correlated defaults
Giesecke, Kay - 2002
The market for derivatives with payoffs contingent on the credit quality of a number of reference entities has grown considerably over recent years. The risk analysis and valuation of such multi-name structures often relies on simulating the performance of the underlying credits. In this paper...
Persistent link: https://www.econbiz.de/10009624843
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Credit risk modeling and valuation : an introduction
Giesecke, Kay - 2002
Credit risk refers to the risk of incurring losses due to unexpected changes in the credit quality of a counterparty or issuer. In this paper we give an introduction to the modeling of credit risks and the valuation of credit-risky securities. We consider individual as well as correlated credit...
Persistent link: https://www.econbiz.de/10009625799
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Credit contagion and aggregate losses
Giesecke, Kay; Weber, Stefan - 2002
theory of interacting particle systems. We clarify the structure of the equilibrium joint rating distribution using ergodic … losses ; voter model ; Choquet theory ; ergodic decomposition ; re-scaling …
Persistent link: https://www.econbiz.de/10009627288
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Efficient hedging : cost versus shortfall risk
Föllmer, Hans; Leukert, Peter - 1999
An investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial market. As this is often quite expensive, we study partial hedges, which require less capital and reduce the risk. In a previous paper we determined quantile hedges which succeed with maximal...
Persistent link: https://www.econbiz.de/10009579176
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Coherent risk measures, valuation bounds, and (my,p)-portfolio optimization
Jaschke, Stefan R.; Küchler, Uwe - 1999
This paper presents a general theory that works out the relation between coherent risk measures, valuation bounds, and … theory presented seems to fill a gap between arbitrage valuation on the one hand and single agent utility maximization or … full-fledged equilibrium theory on the other hand. "Coherent" valuation bounds strike a balance in that the bounds can be …
Persistent link: https://www.econbiz.de/10009581108
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Please, marry me! : an experimental study of risking a joint venture
Güth, Werner; Ivanova-Stenzel, Radosveta; Tjotta, Sigve - 1999
Empirical studies in family economics usually rely on questionnaires, statistical or panel data. Here we try to study experimentally some crucial aspects of engaging in a marriage. First the female partner can end the relationship or suggest one of the two forms of joint venture. Whereas a full...
Persistent link: https://www.econbiz.de/10009582415
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Quantile-VaR is the wrong measure to quantify market risk for regulatory purposes
Jaschke, Stefan R. - 2001
Starting from the objective of banking supervision - to minimize the overall costs of banking to the general public - we show that the current standard of quantifying market risk is flawed. It is perfectly aligned with the interests of banks' shareholders and management, but not with the...
Persistent link: https://www.econbiz.de/10009614286