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Bedeutung der Spezifikation für Ratingmodelle
Rönnberg, Michael - 2010
Ziel dieser Arbeit ist die Untersuchung der Bedeutung der Spezifikation für Ratingmodelle zur Prognose von Kreditausfallwahrscheinlichkeiten. Ausgehend von dem in der Bankenpraxis etablierten Logit-Modell werden verschiedene Modellerweiterungen diskutiert und hinsichtlich ihrer Eigenschaften...
Persistent link: https://www.econbiz.de/10009433704
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Finanzierungsmöglichkeiten im privaten Wohnbau
Schlager, Christian - 2009
Inhalt dieser Arbeit ist es, die Finanzierungsmöglichkeiten im privaten Wohnbau vorzustellen und deren Vor- und Nachteile aufzuzeigen. Ein umfangreicher Überblick über die verschiedenen Möglichkeiten soll eine Entscheidungshilfe für potentielle Kreditnehmer darstellen. Es ist nicht Ziel...
Persistent link: https://www.econbiz.de/10009434325
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Estimating Value at Risk and the Expected Shortfall for Heteroscedastic Financial Log Returns: A Two-Stage Method
Wu, Weiwei - 2005
Value at Risk and the Expected Shortfall are two measurements of market risks for financial assets. Statistically, they are extreme quantiles of the distribution of financial log returns. Though financial log return data are usually both heteroscedastic and fatter-tailed, most of the existing...
Persistent link: https://www.econbiz.de/10009431181
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Portfolio Diversification under Local and Moderate Deviations from Power Laws.
Walden, Johan; Ibragimov, Rustam - 2008
Economics
Persistent link: https://www.econbiz.de/10009431952
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Modeling dependency: application to currency
Aw, Ee Ling Grace - 2011
The primary purpose of this dissertation is to investigate the behavior of the elements of the foreign exchange market, the largest financial market in the world. Whilst the market itself is not new, the concept of currency as an alternative asset, is. Apart from growing awareness of the...
Persistent link: https://www.econbiz.de/10009434892
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European Sectors and Conditional Measures of Extreme Market and Credit Risk
Powell, Robert; Allen, David - 2010
The objective of this paper is to determine how relative market and credit risk changes among European sectors during times of extreme market fluctuations. Ten sectors comprising the S&P Euro index are compared prior to and during the Global Financial Crisis (GFC). Market risk is measured using...
Persistent link: https://www.econbiz.de/10009440833
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Risk management in the German electricity market : the case of power-trading utility companies
Wittenberg, Stefan - 2010
Modern societies are facing energy and environmental challenges. In a framework of climate change, escalating global energy consumption, declining fossil sources and uncertainties regarding future supply, one key question of the 21st century is how to secure a clean and efficient power...
Persistent link: https://www.econbiz.de/10009461027
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The impact of the market risk of capital regulations on bank activities
Eksi, Emrah - 2006
market risk capital regulations on bank capitallevels and derivative activities is investigated. In addition, this study also … review concerning capital regulationsillustrates that in particular the impact of these regulations on bank capital levels … marketrisk. In order to evaluate these approaches, firstly differences on bank VaR practicesare investigated by employing a …
Persistent link: https://www.econbiz.de/10009461296
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Portfolio optimization with risk constraints
Gandy, Ralf - 2005
In dieser Arbeit setzen wir uns mit den Auswirkungen von Risikobeschränkungen auf das optimale Verhalten eines Investors auseinander, welcher versucht, den erwarteten Endnutzen zu einem festgelegten Zeitpunkt zu maximieren. Dazu kann er ein vorgegebenes Anfangsvermögen in einem Markt...
Persistent link: https://www.econbiz.de/10009462193