Loss Given Default (LGD) is a major element for pricing credits and bonds. As there has beena substantial amount of research during the last years, this paper aims to give an overview.Initially, defaults and recovery definitions for credits and the differences to bonds are discussed.A survey of...

This paper studies ’Stylised Facts’ and ’Determinants’ of short-and long-termCDS-spreads of banks. As short-term spreads we choose 6M-, as long-termspreads we choose 5Y-spreads. In the section ’Stylised Facts’ we found thatthe correlation between short- and long-term spreads for the...

This paper discusses the management of loan commitments (“Kreditzusagen“). First, weelaborate on the necessary steps to efficiently manage liquidity facilities. In particular, thedrawdown pattern of single commitments and a portfolio of such commitments have to bemodelled. Based on the...

The paper examines the key drivers of gold investment. Since 2000 the gold price has risendrastically, making gold an interesting add-on to a portfolio. As gold futures have negativeroll returns, gold pool accounts are characterized by high credit risk and physical possessionof gold means high...

Hedge Funds are often considered as a possibility for optimizing traditional portfolios due to their alternative risk factors and sources of return. But as the return distribution of hedge funds shows negative skewness and excess kurtosis, using portfolio optimization techniques, based on the...

Most research on the performance and risk of hedge funds are based on calculations that justuse the data from one index provider. Also most product providers and even more and moreinvestors are using hedge fund indices for benchmarking purposes. As some academic articlespointed out, the world of...

Some traders estimate precipitation derivatives to have a potential which increases even thatof temperature derivatives. Precipitation derivatives can be used both for hedging and marketingpurposes for a diverse number of possible end users. However, the complex way ofmeasuring precipitation,...

Directors’ Dealings have been extensively analysed especially for U.S. and U.K.stock markets. This event study is meant to bridge the gap for Germany, Italy andthe Netherlands. The question to be investigated is whether board members andother company insiders earn abnormal returns with market...

Behavioral finance theory is used for the foreign exchange market toshow, that the profit of a typical trader is mainly due to the higher number of correctpositions. Using behavioral finance the amount of loss trades is larger than60%, however the individual gains are larger than the losses...

Convertible bond issues increase considerably since 1990. The papershows that these issues are more than just the combination of a bond and an option.The pricing depends on the share price, the shares volatility, the interest rate,and the interest volatility , the credit spread, and the...