goals, his risk tolerance and maybe further restrictions. Formal portfolio selection models can support the allocation …

Hedge Funds are often considered as a possibility for optimizing traditional portfolios due to their alternative risk … higher moments we can show that hedge funds can be useful in enhancing the return and reducing the risk of the overall …

For credit risk assessment, probability of default and correlation have to be estimated simultaneously. However, these … how many periods should be available for assessing credit risk taking account of estimation uncertainty if bootstrapping … available for similar results. -- confidence region ; credit portfolio risk ; estimation uncertainty ; bootstrapping …

which include estimation uncertainty but ignore default correlation might estimate the real credit risk more correctly than … the underlying probability distributions of these intervals. -- probability of default ; estimation uncertainty ; risk …

The current financial market crisis has impressively demonstrated the importance of an effective credit risk management … as a result of the crisis. Over the past decade, credit derivatives emerged as an important part of credit risk … management as these offer a broad range of possibilities to reduce credit risk through active credit portfolio management. This …