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Modélisation du prix des actifs financiers
Jondeau, Eric; Nicolaï, Jean-Paul - 1993
Persistent link: https://www.econbiz.de/10000871284
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Default risk in bond and credit derivatives markets
Benkert, Christoph - 2004
Due to the scarcity of reliable data, the existing literature on default risk still displays an imbalance between theoretical and empirical contributions. Consequently, the focus of this book is on empirical work. Within an intensity based modelling framework a broad range of promising...
Persistent link: https://www.econbiz.de/10002146228
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Valuation of bond warrants
Bühler, Wolfgang - In: Review of futures markets 9 (1990) 3, pp. 612-636
Persistent link: https://www.econbiz.de/10001128325
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Spanning Tests for Assets with Option-Like Payoffs : The Case of Hedge Funds
Karehnke, Paul - 2020
We draw on the skewness literature to propose regression-based performance evaluation tests designed for investments with option-like returns. These tests deliver conclusions valid for all risk-averse mean-variance-skewness investors and can better account for non-linearities in returns than...
Persistent link: https://www.econbiz.de/10012855976
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Default Risk in Bond and Credit Derivatives Markets
Benkert, Christoph - 2004
Due to the scarcity of reliable data, the existing literature on default risk still displays an imbalance between theoretical and empirical contributions. Consequently, the focus of this book is on empirical work. Within an intensity based modelling framework a broad range of promising...
Persistent link: https://www.econbiz.de/10013519782
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Loss potential and disclosures related to credit derivatives : a cross-country comparison of corporate bond funds under US and German regulation
Gałkiewicz, Dominika - 2014 - This version: August 2014
high as net assets, while in Germany, this potential can be even higher. Regarding the information funds provide to … investment behavior of funds. For instance, in Germany, funds that use more short than long CDS often state that they only use …
Persistent link: https://www.econbiz.de/10010530827
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Loss potential from credit derivative use by corporate bond funds under U.S. and German Regulation : a cross country comparison
Gałkiewicz, Dominika - In: Credit and capital markets : Kredit und Kapital 49 (2016) 2, pp. 245-298
Persistent link: https://www.econbiz.de/10011555110
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Similarities and differences between US and German regulation of the use of derivatives and leverage by mutual funds : what can regulators learn from each other?
Gałkiewicz, Dominika Paula - 2014
.S. and Germany. After presenting a detailed overview of U.S. and German regulations, this study thoroughly compares the level … of flexibility funds have in both countries. I find that funds in the U.S. and Germany face limits on direct leverage … their net assets). Additionally, issuer-oriented rules in the U.S. and Germany account for issuer risk differently: U …
Persistent link: https://www.econbiz.de/10010402916
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Similarities and differences between US and German regulation of the use of derivatives and leverage by mutual funds : what can regulators learn from each other?
Galkiewicz, Dominika Paula - 2014
.S. and Germany. After presenting a detailed overview of U.S. and German regulations, this study thoroughly compares the level … of flexibility funds have in both countries. I find that funds in the U.S. and Germany face limits on direct leverage … their net assets). Additionally, issuer-oriented rules in the U.S. and Germany account for issuer risk differently: U …
Persistent link: https://www.econbiz.de/10010402939
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Loss potential and disclosures related to credit derivatives : a cross-country comparison of corporate bond funds under US and German regulation
Gałkiewicz, Dominika - 2015
high as net assets, while in Germany, this potential can be even higher. Regarding the information funds provide to … investment behavior of funds. For instance, in Germany, funds that use more short than long CDS often state that they only use …
Persistent link: https://www.econbiz.de/10010503880