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...

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...

Welche Einflussfaktoren bestimmen die Spreadentwicklung im Kapitalmarktsegment derBanken im Verlauf der Finanzkrise? Unter Verwendung der Regressionsanalyse werden dieDeterminanten von Asset-Swap- (ASW) und Credit-Default-Swap- (CDS) Spreads ausgewähltereuropäischer Banken im Zeitraum April...

Im Arbeitsbericht wurden die wesentlichen Kapitalbestandteile der Bank vorgestellt. Durchdas Bankenaufsichtsrecht entstehen bei Kern- und Ergänzungskapital haftende Eigenkapitalformen,die bilanziell aber wie Fremdkapital wirken. Dies führt zu einer Erweiterung desWACC im Bankenrahmen. Hinzu...

Funds of Hedge Funds (FHF) are perceived to be the premier choice of institutional investorsfor first-time allocations into the alternative investment asset class. While many papers coverthe bright side of FHF investing, we in this paper empirically investigate the maximum drawdownsof FHF....

This paper tracks a structured financial innovation, the commercial mortgage-backed securitywhich is not as novel as current discussion around the sub-prime crisis let assume. However,CMBS as credit-derivatives feature various factors that influence the risks arising from acommercial-mortgage...

Loss Given Default (LGD) is a major element for pricing credits and bonds. As there has beena substantial amount of research during the last years, this paper aims to give an overview.Initially, defaults and recovery definitions for credits and the differences to bonds are discussed.A survey of...

This paper discusses the management of loan commitments (“Kreditzusagen“). First, weelaborate on the necessary steps to efficiently manage liquidity facilities. In particular, thedrawdown pattern of single commitments and a portfolio of such commitments have to bemodelled. Based on the...

Hedge Funds are often considered as a possibility for optimizing traditional portfolios due to their alternative risk factors and sources of return. But as the return distribution of hedge funds shows negative skewness and excess kurtosis, using portfolio optimization techniques, based on the...