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Validierung von Konzepten zur Messung des Marktrisikos : insbesondere des Value at Risk und des Expected Shortfall

Mehmke, Fabian; Cremers, Heinz; Packham, Natalie - 2012

Market risk management is one of the key factors to success in managing financial institutions. Underestimated risk can have desastrous consequences for individual companies and even whole economies, not least as could be seen during the recent crises. Overestimated risk, on the other side, may...

Persistent link: https://www.econbiz.de/10009575075

Volatility in discrete and continuous time models : a survey with new evidence on large and small jumps

Duong, Diep; Swanson, Norman R. - 2011

variables. We then provide empirical evidence on "small" and "large" jumps from the perspective of their contribution to overall …, Bollerslev and Diebold (2007) and Ai͏̈t-Sahalia and Jacod (2009a,b,c). Evidence of jumps is found in around 22.8% of the days … role of jumps is lessening, the role of large jumps has not decreased, and indeed, the relative role of large jumps, as a …

Persistent link: https://www.econbiz.de/10009130524

Empirical Option Pricing Models

Bates, David S. - National Bureau of Economic Research - 2021

This paper is an overview of empirical options research, with primary emphasis on research into systematic stochastic volatility and jump risks relevant for pricing stock index options. The paper reviews evidence from time series analysis, option prices and option price evolution regarding those...

Persistent link: https://www.econbiz.de/10012794582

Value chain analysis methodologies in the context of environment and trade research

Faße, Anja; Grote, Ulrike; Winter, Etti - 2009

This paper gives an overview of different methodologies related to value chain analysis in the context of environment and trade research. Four major fields of methodologies are identified: Accounting of input-output flows, general computable equilibrium models, econometrics, and global commodity...

Persistent link: https://www.econbiz.de/10003878473

Bilanzielle Behandlung von hybriden Finanzinstrumenten : eine Übersicht

Schröder, Michael; Gans, Julia - 2009

Im Zusammenhang mit den neuen "Basel-II"-Regelungen, die die Kreditvergabe an Unternehmen verändern, wächst das Interesse besonders kleiner und mittlerer Unternehmen an hybriden Finanzierungsinstrumenten. Diese Finanzierungsform wird auch als Mezzanine-Finanzierung bezeichnet. Je nach...

Persistent link: https://www.econbiz.de/10003814053

The relationship between exchange rates and International Trade : a review of economic literature

Auboin, Marc; Ruta, Michele - 2011 - Manuscript date: October 2011

This paper surveys a wide body of economic literature on the relationship between currencies and trade. Specifically, two main issues are investigated: the impact on international trade of exchange rate volatility and of currency misalignments. On average, exchange rate volatility has a negative...

Persistent link: https://www.econbiz.de/10009376106