The existing theory of modularity explains how modular designs create value. We extend thistheory to address value appropriation. A product or process design that is modular with respect tointellectual property (IP) allows firms to better capture value in situations where knowledge andvalue...

This paper shows that skewness of individual firms return distributions has a considerable spurious effect on the mean-variance relationship as it is usually measured.

Die «Schweizerische Sozialversicherungsstatistik» gibt einen umfassenden Überblick über die Entwicklung der einzelnen Sozialversicherungszweige und der Gesamtrechnung der Sozialversicherungen. Sie weist aktuelle Angaben sowie Zeitreihen über Einnahmen, Ausgaben und Kapital, die Zahl der...

The Matching Distribution converges to a Poisson Distribution with ë = 1 as the parameter n converges to infinity. A generalization of the Matching Distribution is proposed. The properties of this Generalized Matching Distribution (GMD) turn out to be analogical to the case with ë = 1.

We examine the impact of performance groups on the estimation of therelative importance of ¯rm, industry and other e®ects on corporate performance.Performance groups comprise ¯rms from the same industry with asimilar performance over a longer period of time. We present a statisticalmethod...

In this paper we present a new approach to incorporate default dependency in intensity-based default risk models. The model uses an arbitrary default dependency structure which is specified by the Copula of the times of default, this is combined with individual intensity-based models for the...

In this paper a new credit risk model for credit derivatives is presented. The model is based upon the ‘Libor market’ modelling framework for default-free interest rates. We model effective default-free forward rates and effective forward credit spreads as lognormal diffusion processes, and...

This paper gives a simple introduction to portfolio credit risk models of the factor model type. In factor models, the dependence between the individual defaults is driven by a small number of systematic factors. When conditioning on the realisation of these factors the defaults become...

In this paper we present a tree model for defaultable bond prices which can be used for the pricing of credit derivatives. The model is based upon the two-factor Hull-White (1994) model for default-free interest rates, where one of the factors is taken to be the credit spread of the defaultable...

In this paper we examine the problem of partially hedging a given credit risk exposure. We derive hedges which satisfy certain optimality criteria: For a given investment into the hedge they minimize the remaining risk, or vice versa. This is motivated by the fact that it is a core business of...