, in bearish markets the classic insurance concept shows better returns. A stop loss strategy suffers from gap risk, whence … a CPPI strategy combines the strength of both gap risk minimization and equity ratio maximization. The effect of fees on …

quality is searched using an optimization algorithm based on data of an estimation period. The assumption is that this … is how stable these measures are. Do they produce tracking portfolios with the same tracking quality in the estimation … period and the investment period? Are the tracking portfolios with a high tracking quality in the estimation period compared …

What determines the risk structure of financial portfolios of German households? In this paper we estimate the … determinants of the share of financial wealth invested in three broad risk classes. We employ a new econometric approach - the so … called fractional multinomial logit model - which allows for joint estimation of shares while accounting for their fractional …

In this paper we stress-test credit portfolios of 28 German banks based on a Mertontype multi-factor credit risk model …%-80% for the total portfolio. This result confirms the need to account for hidden sectoral concentration risk because the … increase in expected loss is driven mainly by correlation effects with related industry sectors. Therefore, credit risk …

combine a credit risk stress test which simulates credit impairments via a CreditMetrics type multi-factor portfolio model …

with sector-dependant unobservable risk factors as drivers of the systematic risk. The German credit register provides us … with access to highly granular risk information on loan volumes and banks’ internal estimates of default probabilities … probabilities of default has a significant impact on the outcome of the stress test. -- Asset correlation ; portfolio credit risk …