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Anwendung von Real Options in der Immobilienpraxis
Maurer, Thomas - Center for Urban & Real Estate Management <Zürich> - 2006
Risikomanagement zusehends an Bedeutung. Bei der Risikoallokation spielen Derivate eine wichtige Rolle... …
Persistent link: https://www.econbiz.de/10005871161
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Mortality-Indexed AnnuitiesManaging Longevity Risk via Product Design
Richter, Andreas; Weber, Frederik - Universität <München> / Institut für … - 2009
Longevity risk has become a major challenge for governments, individuals, andannuity providers in most countries, and especially its aggregate form, i.e. therisk of unsystematic changes to general mortality patterns, bears a large potentialfor accumulative losses for insurers. As obvious risk...
Persistent link: https://www.econbiz.de/10009248856
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Optimal Importance Sampling for Credit Portfolios with Stochastic Approximation
Egloff, Daniel; Leippold, Markus; Jöhri, Stephan - Institut für Schweizerisches Bankwesen <Zürich> - 2005
We introduce an adaptive importance sampling method for the loss distribution of credit portfolios based on the Robbins … distribution, we can improve significantly the variance reduction and outperform other recently proposed importance sampling … approaches that are based on deterministic methods providing asymptotically optimal importance sampling distributions …
Persistent link: https://www.econbiz.de/10005858875
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Closed Form Integration of Artificial Neural Networks With Some Applications to Finance
Gottschling, Andreas; Haefke, Christian; White, Halbert - 1999
Many economic and econometric applications require the integration of functions lacking a closed form antiderivative, which is therefore a task that can only be solved by numerical methods. We propose a new family of probability densities that can be used as substitutes and have the property of...
Persistent link: https://www.econbiz.de/10005843731
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Common Functional Implied Volatility Analysis
Benko, Michal; Härdle, Wolfgang - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2005
Trading, hedging and risk analysis of complex option portfolios depend on accurate pricing models. The modelling of implied volatilities (IV) plays an important role, since volatility is the crucial parameter in the Black-Scholes (BS) pricing formula. It is well known from empirical studies that...
Persistent link: https://www.econbiz.de/10005862325
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Implied Trinomial Trees
Čížek, Pavel; Komorád, Karel - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2005
Options are financial derivatives that, conditional on the price of an underlyingasset, constitute a right to transfer the ownership of this underlying. Morespecifically, a European call and put options give their owner the right to buyand sell, respectively, at a fixed strike price at a given...
Persistent link: https://www.econbiz.de/10005862330
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Calibration Risk for Exotic Options
Detlefsen, Kai; Härdle, W. K. - Sonderforschungsbereich Ökonomisches Risiko <Berlin>
Option pricing models are calibrated to market data of plain vanillas by minimization of an error functional. From the economic viewpoint, there are several possibilities to measure the error between the market and the model. These different specifications of the error give rise to different...
Persistent link: https://www.econbiz.de/10005854720
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Estimation Risk and Portfolio Selection
Kempf, Alexander; Kreuzberg, Klaus; Memmel, Christoph - 2001
This paper presents a new approach to incorporate estimation risk into mean-variance portfolio selection. The key contribution of our analysis is that we model the estimation risk as a second, independent source of risk.
Persistent link: https://www.econbiz.de/10005840708
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Diversifikation und Risikocluster im Schweizer Immobilien Direktanlagemarkt - zur Bedeutung von Markttransparenz und qunatitativer Methoden
Widmer, Cornel - Center for Urban & Real Estate Management <Zürich> - 2007
Direkt gehaltene Immobilienanlagen werden im institutionellen Umfeld aufgrund anlageklassenspezifischer Gegebenheiten als alternative Anlagen betrachtet.Mit einem durchschnittlichen Allokationsanteil von rund 12% ist deren Bedeutung in den gemischten Portfolios von Versicherungen, Pensionskassen...
Persistent link: https://www.econbiz.de/10005871153
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Establishing Consistent Collateral Policies for Central Banks’ Open Market Operations
Cossin, Didier; Huang, Zhijiang; González, Fernando; … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002
We derive a general framework for collateral risk control determination for central bank's open market operations. This framework allows us to determine the schedule of haircuts consistent with the risk tolerated by the central bank while at the same time reducing the possibility of arbitrage...
Persistent link: https://www.econbiz.de/10005859381