Diese empirische Studie untersucht Diversifikationseffekte, wenn einem traditionellen Portfolio mitStocks und Bonds, Alternative Investments, wie z.B. Hedge Funds, Managed Futures, Real Estate,Private Equities und Commodities beigemischt werden. Neben den historischen Schätzern werdenauch...

The paper focuses on the interaction between the solvency probability of a banking firm and the diversification potential of its asset portfolio when determining optimal equity capital. The purpose of this paper is to incorporate value at risk (VaR) into the firm-theoretical model of a banking...

According to many authors, so-called “central planning” had disappeared from European countries by 1989. However, this is by no means certain. Many former centrally planned economies still engage in central planning, in both the private and public sectors. Moreover, there is a striking...

We derive approximate formulae for the credit value-at-risk and the economic capital of a large credit portfolio. The representation allows to change the risk horizon quickly and avoids simulation or numerical procedures. The Poisson mixture model is equivalent to CreditRisk and uses the same...