We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory purposes in the year 2001. To this end, we introduce the notion of well-behaved forecast systems. Furthermore, we provide a series of statistical tools to perform our analyses....

This paper presents an analysis of tax clientele effects in the German government bond market from the viewpoint of private investors. The methods developed here allow the identification of bonds that are over-valued from the viewpoint of a certain tax class, the estimation of tax-specific term...

We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions. These distributions have been found to fit exceptionally well to the empirical distribution of stock returns. We review the background of hyperbolic distributions and prove...

This paper proposes linear higher order conditions on the term structure that allow to compute valuation bounds for any deterministic cash stream. Starting from bounds on the forward rate curve and its derivatives, which are nonlinear in the discount factors, we derive linear conditions that are...

Starting from the objective of banking supervision - to minimize the overall costs of banking to the general public - we show that the current standard of quantifying market risk is flawed. It is perfectly aligned with the interests of banks' shareholders and management, but not with the...

Qualitative and quantitative properties of the Cornish-Fisher-Expansion in the context of Delta-Gamma-Normal approaches to the computation of Value at Risk are presented. Some qualitative deficiencies of the Cornish-Fisher-Expansion - the monotonicity of the distribution function as well as...