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Kreditrisiko (CreditMetrics)
Heidorn, Thomas - Frankfurt School of Finance and Management - 1999
Während die Markpreisrisiken (Zinsen, Aktien und Währungen) mit Hilfe des RiskMetrics-Ansatzes gut beschrieben werden können und dafür relativ überzeugende Derivate zur Absicherung unerwünschter Risiken zur Verfügung stehen, hat diese Entwicklung im Kreditbereich erst begonnen. Bei der...
Persistent link: https://www.econbiz.de/10005027056
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Kreditderivate
Heidorn, Thomas - Frankfurt School of Finance and Management - 1999
In den letzten Jahren hat eine intensive Entwicklung von Kreditderivaten begonnen.Im Kern soll hiermit die Möglichkeit geschaffen werden, das Adressenrisiko einer Transaktion von ihrem Marktrisiko zu separieren und es damit einzeln handelbar, aber insbesondere auch hedgebar zu machen. Die...
Persistent link: https://www.econbiz.de/10005026963
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Third Moment of Yield Probability Distributions for Instruments on Slovenian Financial Markets
Devjak, Srečko; Grum, Andraž - In: Prague Economic Papers 2006 (2006) 4, pp. 364-373
Due to the capital decree legislated by the Bank of Slovenia, Slovenian commercial banks can apply internal models for …
Persistent link: https://www.econbiz.de/10005036506
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Indexzertifikat oder ETF? Eine entscheidungstheoretische Analyse
Klein, Christian; Kundisch, Dennis - In: Metrika 19 (2008) 3, pp. 353-370
Private investors increasingly use passive investment strategies, i.e. investment methods that try to replicate a stock market index as accurate as possible. In this paper we compare retail index certificates and exchange traded funds. Both investment products promise a performance that...
Persistent link: https://www.econbiz.de/10010995156
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Investitionen in Collateralized Debt Obligations
Heidorn, Thomas; König, Lars - Frankfurt School of Finance and Management - 2003
The paper deals with the evaluation of Collateralized Debt Obligations for investment purposes. CDOs are classified in the asset backed environment. Its specific risks (market, timing, recovery, agency) are discussed. To understand the portfolio aspect, the concept of the diversity score is...
Persistent link: https://www.econbiz.de/10005027050
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The Risk of Optimization in Marketing Campaigns
Paetz, Jürgen - In: International Journal of Business Analytics (IJBAN) 4 (2017) 4, pp. 1-20
In marketing one of the most common important tasks is to assign campaigns to sets of customers. These sets of customers, the target groups, consist of persons with similar properties, for example a high buying affinity for a certain product. Database marketers would not only assign a campaign...
Persistent link: https://www.econbiz.de/10012043191
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News Sentiment Incorporation in Real-Time Trading: Alpha Testing the Event Trading Strategy in HFT
Karn, Arodh Lal; Qiang, YE; Karna, Rakshha Kumari; … - In: Journal of Global Information Management (JGIM) 26 (2018) 4, pp. 18-35
This article describes how machines are the new breed of traders as news sentiment arrivals drive the stock price change. Strategies are the technical approach to search for profit from event-based speculations. This paper revisits these topics in a novel way and first uncovers distinctive...
Persistent link: https://www.econbiz.de/10012049098
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Value at Risk and Bank Equity / Value at Risk und Eigenkapitalausstattung von Banken
Broll, Udo; Wahl, Jack E. - In: Jahrbücher für Nationalökonomie und Statistik 223 (2003) 2, pp. 129-135
demonstrate that managerial and market factors determine optimal asset liability and equity policy of the bank. It is shown that … the probability of bankruptcy has a complex impact upon the decision making of bank management.  … Eigenkapitalausstattung definiert die Value at Risk-Kennzahl einen maximalen Verlustbetrag der Bank in Bezug auf Marktwertminderungen der …
Persistent link: https://www.econbiz.de/10014608925
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Liquidity and the Value at Risk
Großmaß, Lidan - In: Jahrbücher für Nationalökonomie und Statistik 234 (2014) 5, pp. 572-602
Summary We introduce an intuitive method of enhancing low-frequency volatility measures used to compute Value-at-Risk (VaR) by incorporating intradaily liquidity information from the limit order book. Using the quote slope of Hasbrouck and Seppi (2001), a compound liquidity measure comprising...
Persistent link: https://www.econbiz.de/10014609486
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Computational aspects of portfolio risk estimation in volatile markets: a survey
Fabozzi, Frank J.; Stoyanov, Stoyan V.; Rachev, Svetlozar T. - In: Studies in Nonlinear Dynamics and Econometrics 17 (2013) 1, pp. 103-120
Abstract Portfolio risk estimation requires appropriate modeling of fat-tails and asymmetries in dependence in combination with a true downside risk measure. In this survey, we discuss computational aspects of a Monte Carlo based framework for risk estimation and risk capital allocation. We...
Persistent link: https://www.econbiz.de/10014620428