The current financial market crisis has impressively demonstrated the importance of aneffective credit risk management for financial institutions. At the same time, the use and thevaluation of credit derivatives has been widely criticised as a result of the crisis. Over the pastdecade, credit...

This paper empirically investigates the risk and performance of three types of alternative betaproducts over the January 2002 to September 2009 time period: funds of hedge funds (FHFs),investable hedge fund indices (IHFIs), and hedge fund replication strategies (HFRS). Weshow that IHFIs are true...

This paper studies the effects that heterogeneous multiple bank financing hason a firm’s risk- and information-policy, particularly with respect to credit rene-gotiation efficiency. We find that a significant, yet limited, degree of relationshiplending enables firms with high asset specificity...

Within the last decade, credit risk management of financial institutions has been subject to major changes due to the development of the credit derivatives market. In the past, financial institutions merely had the possibility to manage their credit portfolio by either approving or refusing a...

Investment decisions of cooperative banks are very restricted to their risk capacity. A well defined and organised Risk Management Process supports those investment activities and assists to achieve a balanced situation between risk and return.Several ways can be chosen to allocate risk capital....

In May 2004 the CFO Forum harmonized the various efforts of reporting the embedded valueof life insurance companies by issuing the European Embedded Value (EEV) Principles.In this working paper a methodology is proposed to derive a maximum lending amountfrom EEV figures without much additional...

The aim of portfolio insurance strategies is to put a floor on the value of a stock portfolio byprogressively selling stocks and buy safe, short-term debt securities as stock prices fall. Thispaper analyzes the current static and dynamic methods in use and explains their pros andcons.

Underlyings of weather derivatives in Europe tend to be average temperaturecompared to heating (cooling) day in the USA because of a smaller volatility intemperature. The derivatives are priced using as burn analysis. Using a gas utilitycompany, hedging techniques are shown using temperature...