In the work of the Basel Committee there has been a tradition ofdistinguishing market from credit risk and to treat both categories independentlyin the calculation of risk capital. In practice positionsin a portfolio depend simultaneously on both market and credit riskfactors. In this case, an...

In this study we develop and demonstrate a powerful and flexible forward-looking portfoliosimulation methodology for assessing the correlated impacts of market risk, and privatesector, sovereign and inter-bank default risk on both individual banks (i.e. 28 of the largestBrazilian banks) and...

In this paper we investigate the interaction between a credit portfolio and another risktype, which can be thought of as market risk. Combining Merton-like factor models forcredit risk with linear factor models for market risk, we analytically calculate their interriskcorrelation and show how...

Traditional tests of the CAPM following the Fama / MacBeth (1973) procedure are tests of thejoint hypotheses that there is a relationship between beta and realized return and that the marketrisk premium is positive. The conditional test procedure developed by Pettengill / Sundaram/ Mathur (1995)...

This paper analyzes how agency problems in nancial contracting determine risk-taking andinvestment. In perfect capital markets a risk-neutral rm would invest until the expectedmarginal return equals the interest rate. However, as rms with little net-worth face agencycost in nancial contracting...

Vorliegendes Arbeitspapier beschäftigt sich mit der mathematischen Modellierung von Marktrisiken.

Unter die Kategorie der Marktrisiken einer bestimmten Finanzposition subsumieren wir allgemein alle Risiken, die aus der Veränderung des Marktpreises dieser Position über eine bestimmte Zeitperiode resultieren. Die Finanzposition kann dabei ein einzelner Finanztitel, eine Klasse von...

Diese Arbeit präsentiert einen systematischen Zugang zu der Worst-Case-Analyse des Kreditrisikos eines Portfolios aus Finanzderivaten wie Optionen und Swaps...

This paper investigates theoretically and empirically the dynamics of the implied volatility (or implied standard deviation - ISD) around earnings announcements dates.

In der Praxis der internationalen Unternehmensbewertung werden bevorzugt outputorientierteDiscounted Cash Flow- bzw. DCF-Verfahren mit dem Ziel einer subjektiven Grenzpreisermittlungeingesetzt. Drei bedeutende Werteinflusskomponenten gilt es dabei regelmäßigfestzulegen: Der Bewerter muss (a)...