Insurers and banks are both suppliers of financial services and constitute together thebulk of the financial services industry. As such, they share certain common traits and,consequently, are often analyzed together. At the same time, they differ markedly in certainrespects, insurance and...

In jüngerer Zeit werden sog. Reverse Convertibles und Discount-Zertifikate immer häufiger von Kreditinstituten angeboten und von institutionellen sowie privaten Kapitalanlegern nachgefragt. Aus Anlegersicht steigt die Attraktivität dieser Finanztitel insbesondere in Zeiten niedriger Zinsen...

This paper considers the problem of investment of capital in risky assets in adynamic capital market in continuous time. The problem addressed is the control of risk, and in particular the risk associated with errors in the estimation of returns on assets. The framework for investment risk is a...

Anfang 2005 wurde die Schweizer „Capital Efficiency Group“ von den Lesern der bekanntenPublikation „Structured Finance International“ mit dem Preis “Innovativster Asset Back Dealdes Jahres 2004” ausgezeichnet sowie von „The Banker“ für einen der „Deals of the...

In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the bivariate framework and discuss the simple, elliptical and Archimedean classes of copulae. Since the copulae model the dependency structure between random variables, next we explain the...