Basel II changes risk management in banks strongly. Internal rating procedures would lead one to expect that banks are changing over to active risk control. But, if risk management is no longer a simple "game against nature", if all agents involved are active players then a shift from a...

Basel II changes risk management in banks strongly. Internal rating procedures would lead one to expect that banks are changing over to active risk control. But, if risk management is no longer a simple "game against nature", if all agents involved are active players then a shift from a...

To explain the strategic dimension in pricing options, it will be helpful to go back to the heart of the idea behind the concept of an option: options open up the possibility to postpone current decisions to a future point of time. Because of this flexibility additional information and new...

The mainstream model of option pricing is based on an exogenously given process of price movements. The implication of this assumption is that price movements are not affected by actions of market participants. However, if we assume that there are indeed impacts on the price movements it no...

In this paper we claim that modeling financial markets based on probability theory is a severe systematic mistake that led to the global financial crisis. We argue that the crisis was not just the result of risk managers using outdated financial data; we think that the employed efficiency...

In this paper we challenge basic results of signaling models. In our banking model each project of a borrower is described by a continuous density of outcomes. Different density functions are classified according to second stochastisch dominance. Combining these features we find that in a...

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In the present paper a Barro-Gordon model of monetary policy with asymmetric information is considered. Since monetary policy formation is an ongoing process with repeated interactions between the central bank and the private sector, game-theoretic methodology is the appropriate tool to analyse...

Der politische Wirkungsgrad multilateraler Finanzhilfe wird maßgeblich durch die Zahlungsbereitschaft der finanzierenden Länder bestimmt. Diese hängt auch vom Rückzahlungsverhalten der Empfängerländer ab. Durch die Interaktion dreier Partien (Geberländer, Fianzinstitut und...

In this paper we study the validity of the assertion that collateral is in a position to signal the degree of borrowers’ riskiness. We use a framework in which the cash flow from the risky project is described by means of a continuous density and projects are classified by second-order...