Risk management and the thorough understanding of the relations betweenfinancial markets and the standard theory of macroeconomics have always been among the topics most addressed by researchers, both financial mathematicians and economists. This work aims at explaining investors behavior from a...

Graphical data representation is an important tool for model selection in bankruptcy analysis since the problem is highly non-linear and its numericalrepresentation is much less transparent. In classical rating models a convenientrepresentation of ratings in a closed form is possible reducing...

The calibration of option pricing models leads to the minimization of an error functional. We show that its usual specification as a root mean squared error implies fluctuating exotics prices and possibly wrong prices...

Recently, Diebold and Li (2003) obtained good forecasting results foryield curves in a reparametrized Nelson-Siegel framework. We analyze similarmodeling approaches for price curves of variance swaps that serve nowadaysas hedging instruments for options on realized variance. We consider the...

The first stages of any data analysis are to get to know the aims of the studyand to get to know the data. In this study the main goal is to predict acompany´s chances of going bankrupt based on its recent financial returns...

Die Berechnung des VaR führt zur Reduktion der Dimension des Raumes der Risikofaktoren. Die vorzunehmenden Vereinfachungen resultieren aus unterschiedlichen Beweggründen, z.B. technische Effizienz, Sachlogik der Ergebnisse und statistische Adäquanz des Modells. Im Kapitel 2 stellen wir drei...

One of the major cost factors in car manufacturing is the painting of bodyand other parts such as wing or bonnet. Surprisingly, the painting may beeven more expensive than the body itself. From this point of view it is clearthat car manufacturers need to observe the painting process carefully to...