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.

Set forth below in Part I is a discussion of the backgroundof the Pilot; in Part II, conclusions arising out of the conductof the Pilot; and in Part III, the Participating Institutions’views as to the next steps. The Pilot left the ParticipatingInstitutions with three core conclusions:• that...

Traditionally, regulation of banks has focused on the riskentailed in bank loans. Loans are typically nontradedassets. In recent years, another component of bank assetshas become increasingly important: assets actively tradedin the financial markets.1 These assets form the “tradingbook” of a...

[...]This paper presents an overview of the new capitalrequirements. In the first section, we describe the structureof the requirements and the considerations that went intotheir design. In addition, we address some of the concernsthat have been raised about the methods of calculating...

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)...