Convertible bond issues increase considerably since 1990. The papershows that these issues are more than just the combination of a bond and an option.The pricing depends on the share price, the shares volatility, the interest rate,and the interest volatility , the credit spread, and the...

We investigate the pricing of convertible bonds on the French convertible bond market using dailymarket prices for a period of 18 months. Instead of a firm-value model as used in previous studies, weuse a stock-based binomial-tree model with exogenous credit risk that accounts for all...

Der vorliegende Beitrag stellt die Ergebnisse einer Fragebogenuntersuchung unter deutschen,schweizerischen und österreichischen börsenkotierten Unternehmen über deren Motive zurEmission von Wandelanleihen vor. Die Antworten der Unternehmen bestätigen die Backdoor-Equity-Hypothese, wonach...

Dynamic financial analysis (DFA) has become an important tool in analyzing thefinancial situation of insurance companies. Constant development and documentationof DFA tools has occurred during the last years. However, several questionsconcerning the implementation of DFA systems have not been...

The Sharpe ratio is adequate for evaluating investment funds when the returns ofthose funds are normally distributed and the investor intends to place all his risky assetsinto just one investment fund. Hedge fund returns differ significantly from anormal distribution. For this reason, other...

Die Komplexität und Änderungsdynamik des Umfelds ökonomischer Entscheidungen bedingen hoheAnsprüche an die betriebswirtschaftliche Leistungsfähigkeit und Flexibilität von Softwaresystemenzur Unterstützung finanzwirtschaftlicher Planungsrechnungen. Diesen kann mit...

Investors need performance measures particularly as a means for funds selection in the process of exanteportfolio optimization. Unfortunately, there are various performance measures recommended for differentdecision situations. Since an investor may be uncertain which kind of decision problem is...