We investigate the shape of risk appetite when the bank is financed also with contingent convertible bonds (CoCos). Our contribution to the existent literature is to assess risk appetite in a multi-dimensional perspective and to account for differences among banks' clusters, especially in a...

Diese Dissertation besteht aus drei individuellen Forschungsthemen. Sie beinhaltet einen neuen Ansatz für das Risikomanagement, empirische Forschung in Unternehmensfinanzierung und theoretische Forschung im Bereich Firmenstruktur. In Kapitel I präsentiere ich empirische und theoretische...

My PhD thesis consists of three papers which study the nature, structure, dynamics and price of variance risks. As tool I make use of multivariate affine jump-diffusion models with matrix-valued state spaces. The first chapter proposes a new three-factor model for index option pricing. A core...