We obtain an explicit formula for the bilateral counterparty valuation adjustment of a credit default swaps portfolio referencing an asymptotically large number of entities.We perform the analysis under a doubly stochastic intensity framework, allowing for default correlation through a common...

We consider the optimal portfolio problem of a power investor who wishes to allocate her wealth between several credit default swaps (CDSs) and a money market account. We model contagion risk among the reference entities in the portfolio using a reduced form Markovian model with interacting...

Die Dissertation umfasst drei Artikel aus den Bereichen Asset Liability Management und Asset Management. Im ersten Artikel entwerfen wir einen Liability Benchmark, welcher zur Beurteilung der Anlage von Pensionskassen dient. Die relative Rendite der Strategischen Asset Allokation (SAA) im...

This study investigates the relationship between governance, investment performance and asset allocation of pension funds in Switzerland. Our sample includes survey data from 139 Swiss occupational pension plans for which we develop a governance metric comprising attributes of organisational...