Two different probability measures are of importance when calculating the risk of a large portfolio: the risk … Libor model. It is well-known that calibrating this model to caps and swaptions results in a dispersion of risk …

Vorliegende Dissertation vergleicht die Rechenlegung von Deutschland und Finnland. …

Rendite und Risiko sind die Kontrapunkte einer jeden Kapitalanlage und eines jeden Investments. Dies gilt auch für die … Rendite/Risiko-Profile von Renten-, Aktien- und Immobilienfonds mit denen der Kapitalanlage von Lebensversicherungsunternehmen …

Zielsetzung der vorliegenden Untersuchung ist die Entwicklung und Umsetzung einer Methodik zum systematischen Vergleich …

While the relationship between volatility and risk is central to much of thefinancial literature it has not been … distribution at different horizons. Using the right-hand tail of the distribution as a measure of the risk, we are able to show how … the volatility of the underlying variables as well as potential interactions between them influences country risk …

This paper presents a theoretical study of how incentives affect hedge fund risk and returns and an empirical study of … the performance of a large group of operating hedge funds. Most hedge fund managers receive a flat fee plus a share of the … returns above a certain benchmark. We investigate how these features of hedge fund fees affect risk taking by the fund manager …