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Schubert, Stefan Franz (contributor); Broll, Udo (contributor) - 2005

International and national investors are often exposed to real wealth risks, stemming from volatile asset prices and inflation uncertainty, making it difficult to stabilize consumption patterns. However, investors can enter futures markets to hedge against these risks. The paper develops a...

Persistent link: https://www.econbiz.de/10002740598

Differential taxation and corporate futures-hedging

Wahl, Jack E.; Broll, Udo - In: FinanzArchiv : European journal of public finance 63 (2007) 4, pp. 583-590

Persistent link: https://www.econbiz.de/10003636368

Modeling dependencies in finance using copulae

Härdle, Wolfgang (contributor); Okhrin, Ostap (contributor) - 2008

In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the …

Persistent link: https://www.econbiz.de/10003727552

Nonparametric risk management with generalized hyperbolic distributions

Chen, Ying; Härdle, Wolfgang; Jeong, Seok-oh - In: Journal of the American Statistical Association : JASA 103 (2008) 483, pp. 910-923

Persistent link: https://www.econbiz.de/10003772400

Differential taxation and corporate futures-hedging

Wahl, Jack E. (contributor); Broll, Udo (contributor) - 2007

Using a two-moment decision model this paper analyzes corporate hedging behavior in the presence of unified and differential income taxation. We start with the well-known result that risk-taking may increase when income tax rates increase and, therefore, the incentive for hedging reduces. We...

Persistent link: https://www.econbiz.de/10003481308

The new Basel accord and the nature of risk : a game theoretic perspective

Bieta, Volker; Broll, Udo; Milde, Hellmuth; Siebe, Wilfried - 2007

- game theory is a useful set of tools for better understanding different risk settings. Embedded in a short history of the … Basel Accord in this article we introduce some basic ideas of game theory in the context of rating procedures in accordance … with Basel II. As well, some insight is given how game theory works. Here, the primary value of game theory stems from its …

Persistent link: https://www.econbiz.de/10003481314

TERES: tail event risk expectile based shortfall

Gschöpf, Philipp; Härdle, Wolfgang; Mihoci, Andrija - 2015

A flexible framework for the analysis of tail events is proposed. The framework contains tail moment measures that allow for Expected Shortfall (ES) estimation. Connecting the implied tail thickness of a family of distributions with the quantile and expectile estimation, a platform for risk...

Persistent link: https://www.econbiz.de/10011349502

Banking firm, equity and value at risk

Broll, Udo; Sobiech, Anna; Wahl, Jack E. - In: Contemporary economics 6 (2012) 4, pp. 50-53

The paper focuses on the interaction between the solvency probability of a banking firm and the diversification potential of its asset portfolio when determining optimal equity capital. The purpose of this paper is to incorporate value at risk (VaR) into the firm-theoretical model of a banking...

Persistent link: https://www.econbiz.de/10009768157

TENET : Tail-Event driven NETwork risk

Härdle, Wolfgang; Sirotko-Sibirskaya, Natalia; Wang, … - 2014

We propose a semiparametric measure to estimate systemic interconnectedness across financial institutions based on tail-driven spill-over effects in a ultra-high dimensional framework. Methodologically, we employ a variable selection technique in a time series setting in the context of a...

Persistent link: https://www.econbiz.de/10010428185

Value at risk, bank equity and credit risk

Broll, Udo; Wahl, Jack E. - 2003

We study the implications of the value at risk concept for the bank's optimum amount of equity capital under credit risk. The market value of loans is risky and lognormally distributed. We show that the required equity capital depends upon managerial and market factors. Furthermore, the bank's...

Persistent link: https://www.econbiz.de/10010507748