Auf Anleihemärkten versuchen Investoren mit aktiven Handelsstrategien eine über der risikoadäquaten Marktverzinsung liegende Rendite zu erwirtschaften. Dabei kommen prognoseorientierte Strategien wie auch Anlagepolitiken zur Verwendung, die zeitweilige Marktungleichgewichte zu nutzen...

Das Ombudsmannverfahren des Bundesverbandes deutscher Banken feiert am 1. Juli 2002 sein zehnjähriges Jubiläum. Das Jubiläum liefert eine willkommene Gelegenheit zur kritischen Bestandsaufnahme. Zudem soll der tiefergehenden Frage nachgegangen werden, ob sich die mit der Einführung des...

In illiquid markets, option traders may have an incentive to increase their portfolio value by using their impact on the dynamics of the underlying. We provide a mathematical framework within which to value derivatives under market impact in a multi-player framework by introducing strategic...

The paper proposes a data driven adaptive model selection strategy. The selection crite- rion measures economic exante forecasting content by means of trading implied cash flows. Empirical evidence suggests that the proposed strategy is neither exposed to selection bias nor to the risk of...

After exchanges and alternative trading venues have introduced electronic execution mechanisms worldwide, the focus of the securities trading industry shifted to the use of fully electronic trading engines by banks, brokers and their institutional customers. These Algorithmic Trading engines...

Since 1994, the German banking market is confronted with an entry wave of direct banks. This banking innovation may be explained by developments on the supply side as well as on the demand side. It is pushed by developments in telecommunication technologies during a period of rising cost...