This paper attempts to assess the Europe-wide systemic risk in banking. We employ a bivariate GARCH model to estimate conditional correlations between European bank stock indices. These correlations are used as an indication for the interdependencies amongst the banking business in Europe and...

The Value at Risk approach (VaR) is more and more used as a tool for risk measurement. The approach however has shortcomings both from a theoretical and a practical point of view. VaR can be classified within existing concepts of risk measurement: it is particularly interpretable as a special...

The aim of this study is the analysis of so called socially responsible investments (SRI). First, the performance of SRI equity investment funds and equity indices is investigated using Jensen's alpha as performance measure. The analysis considers market timing strategies of the fund management...

Investments in socially responsible investments (SRI) are still a small, but growing segment of international capital markets. This study analyses whether a SRI screening process applied to equities results in a different performance outcome compared to relevant conventional benchmark indexes....

Abstract: Die ökonomische Analyse der Vermögensverwaltung von deutschen Stiftungen ist ein noch wenig erforschtes Gebiet. Im Gegensatz zu den zahlreichen juristischen Studien haben finanzwirtschaftliche Untersuchungen noch immer Seltenheitswert. Die folgende Studie versucht dazu beizutragen,...