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Statistik und Ökonometrie für Wirtschaftswissenschaftler : eine anwendungsorientierte Einführung

Auer, Benjamin R.; Rottmann, Horst - 2015 - 3., überarbeitete und aktualisierte Auflage

Persistent link: https://www.econbiz.de/10014008551

Log-Normal Interest Rate Models: Stability and Methodology

Sandmann, Klaus; Sondermann, Dieter - 1997

The lognormal distribution assumption for the term structure of interest is the most natural way to exclude negative spot and forward rates. However, imposing this assumption on the continuously compounded interest rate has a serious drawback: rates explode and expected rollover returns are...

Persistent link: https://www.econbiz.de/10005841338

Angewandte Wirtschaftsstatistik : Daten und Zufall

Lübke, Karsten - 2014

Karsten Lübke und Martin Vogt führen in die Wirtschaftsstatistik ein. Dabei legen sie das Hauptaugenmerk auf die … Vermittlung der Grundlagen der deskriptiven und induktiven Statistik. Sie zeigen, wie aus den allgegenwärtigen Daten Erkenntnisse … Wirtschaftsmathematik und Statistik an der FOM Hochschule für Oekonomie & Management, Dortmund, und Autor zahlreicher Publikationen zu …

Persistent link: https://www.econbiz.de/10014017684

Angewandte Wirtschaftsstatistik : Daten und Zufall

Lübke, Karsten - 2014

Persistent link: https://www.econbiz.de/10010460273

Copula-Dependent Default Risk in Intensity Models

Schönbucher, Philipp J.; Schubert, Dirk - 2001

In this paper we present a new approach to incorporate default dependency in intensity-based default risk models. The model uses an arbitrary default dependency structure which is specified by the Copula of the times of default, this is combined with individual intensity-based models for the...

Persistent link: https://www.econbiz.de/10005841283

A Libor Market Model with Default Risk

Schönbucher, Philipp J. - 2000

In this paper a new credit risk model for credit derivatives is presented. The model is based upon the Libor market modelling framework for default-free interest rates. We model effective default-free forward rates and effective forward credit spreads as lognormal diffusion processes, and...

Persistent link: https://www.econbiz.de/10005841284

Factor Models for Portfolio Credit Risk

Schönbucher, Philipp J. - Institut für Gesellschafts- und … - 2000

This paper gives a simple introduction to portfolio credit risk models of the factor model type. In factor models, the dependence between the individual defaults is driven by a small number of systematic factors. When conditioning on the realisation of these factors the defaults become...

Persistent link: https://www.econbiz.de/10005841285

A Tree Implementation of a Credit Spread Model for Credit Derivatives

Schönbucher, Philipp J. - 2000

In this paper we present a tree model for defaultable bond prices which can be used for the pricing of credit derivatives. The model is based upon the two-factor Hull-White (1994) model for default-free interest rates, where one of the factors is taken to be the credit spread of the defaultable...

Persistent link: https://www.econbiz.de/10005841287

Optimal Shortfall Hedging of Credit Risk

Lotz, Christopher - 1999

In this paper we examine the problem of partially hedging a given credit risk exposure. We derive hedges which satisfy certain optimality criteria: For a given investment into the hedge they minimize the remaining risk, or vice versa. This is motivated by the fact that it is a core business of...

Persistent link: https://www.econbiz.de/10005841289

Pseudo-Arbitrage - A new Approach to Pricing and Hedging in Incomplete Markets

Sommer, Daniel - 1998

We develop a new approach to pricing and hedging contingent claims in incomplete markets framework the no-arbitrage arguments that have been developed in complete markets leads us to defining the concept we are able to extend the no-arbitrage ideo to a world of incomplete markets in such a way...

Persistent link: https://www.econbiz.de/10005841326