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Cost-Average-Strategie versus Einmalanlage : Shortfallrisiken und Probable Minimum Wealth

Albrecht, Peter; Dus, Ivica; Maurer, Raimond - In: Finanzintermediation : theoretische, …, (pp. 49-67). 2004

Persistent link: https://www.econbiz.de/10002078239

The supervisors portfolio : the market price risk of German banks from 2001 to 2003 ; analysis and models for risk aggregation

Memmel, Christoph (contributor); Wehn, Carsten (contributor) - 2005

The Value at Risk of a portfolio differs from the sum of the Values at Risk of the portfolio’s components. In this paper, we analyze the problem of how a single economic risk figure for the Value at Risk of a hypothetical portfolio composed of different commercial banks might be obtained for a...

Persistent link: https://www.econbiz.de/10002844479

Asset/liability management of German life insurance companies: a value-at-risk approach in the presence of interest rate guarantees

Albrecht, Peter; Weber, Carsten - In: Risk management : challenge and opportunity ; with 125 …, (pp. 407-419). 2005

Persistent link: https://www.econbiz.de/10002448077

Supervisor's portfolio : the market price risk of German banks from 2001 to 2004 ; analysis and models for risk aggregation

Memmel, Christoph; Wehn, Carsten - In: Journal of banking regulation 7 (2006) 3/4, pp. 310-325

Persistent link: https://www.econbiz.de/10003370070

The Supervisor's Portfolio : The Market Price Risk of German Banks from 2001 to 2003 - Analysis and Models for Risk Aggregation

Memmel, Christoph - 2016

The Value at Risk of a portfolio differs from the sum of the Values at Risk of the portfolio's components. In this paper, we analyze the problem of how a single economic risk figure for the Value at Risk of a hypothetical portfolio composed of different commercial banks might be obtained for a...

Persistent link: https://www.econbiz.de/10012989328