This paper investigates how investors who face both equity risk and credit risk would optimally allocate their financial wealth in a dynamic continuous-time setup.

This paper analyzes the relation between the quality of the legal enforcement of loan contracts and the allocation of credit to households, both theoretically and empirically.

Der Beitrag beschäftigt sich mit Aspekten der Identifikation und Bewertung der Rendite-/Risikoprofile von Teileinheiten des Versicherungskonzerns. Neben typisch versicherungstechnischen Einflüssen, wie beispielsweise die Gestaltung von Underwriting und Reservebildung, wird hier auch der...

1. Einleitung 2. Vorbemerkungen 2.1 Notation und Skalierungseigenschaft im Versicherungsfall 2.2 Spieltheoretische Modellierung 2.3 Axiomatische Lösungskonzepte 3. Allokationsansätze 3.1 Die Imputation 3.2 Ein Mengenansatz: Der Kern 3.3 Wertansätze 4. Schlußbetrachtungen Literaturverzeichnis

We aim to compare financial technical analysis techniques to strategies which depend on a mathematical model. In this paper, we consider the moving average indicator and an investor using a risky asset whose instantaneous rate of return changes at an unknown random time. We construct...

Bank supervisors have long recognized two types of shortcomingsin the Basle Accord’s risk-based capital (RBC)framework. First, the regulatory measures of “capital” maynot represent a bank’s true capacity to absorb unexpectedlosses. Deficiencies in reported loan loss reserves, forexample,...

Liberalization and deregulation have recently accelerated.It is therefore useful to keep risk within a certain level inrelation to capital, considering that financial institutionsmust control their risk appropriately to maintain thesafety and soundness of their operation. In 1988, the...

Richer and healthier agents tend to hold riskier portfolios and spend proportionallyless on health expenditures. Potential explanations include health and wealth eects onpreferences, expected longevity or disposable total wealth. Using HRS data, we perform astructural estimation of a dynamic...