As a function of strike and time to maturity the implied volatilityestimation is a challenging task in nancial econometrics. DynamicSemiparametric Factor Models (DSFM) are a model class that allowsfor the estimation of the implied volatility surface (IVS) in a dynamiccontext, employing...

Modeling the portfolio credit risk is one of the crucial issues of the last yearsin the financial problems. We propose the valuation model of Collateralized DebtObligations based on a one- and two-parameter copula and default intensities estimatedfrom market data. The presented method is used to...

Supported by several recent investigations the empirical pricing kernel paradox might beconsidered as a stylized fact. In Chabi-Yo et al. (2008) simulation studies have been presentedwhich suggest that this paradox might be caused by regime switching of stock prices in financialmarkets....

In this paper we propose the GHADA risk management model that is based on the generalizedhyperbolic (GH) distribution and on a nonparametric adaptive methodology. Comparedto the normal distribution...

Recently, Diebold and Li (2003) obtained good forecasting results foryield curves in a reparametrized Nelson-Siegel framework. We analyze similarmodeling approaches for price curves of variance swaps that serve nowadaysas hedging instruments for options on realized variance. We consider the...

The first stages of any data analysis are to get to know the aims of the studyand to get to know the data. In this study the main goal is to predict acompany´s chances of going bankrupt based on its recent financial returns...

Die Berechnung des VaR führt zur Reduktion der Dimension des Raumes der Risikofaktoren. Die vorzunehmenden Vereinfachungen resultieren aus unterschiedlichen Beweggründen, z.B. technische Effizienz, Sachlogik der Ergebnisse und statistische Adäquanz des Modells. Im Kapitel 2 stellen wir drei...

One of the major cost factors in car manufacturing is the painting of bodyand other parts such as wing or bonnet. Surprisingly, the painting may beeven more expensive than the body itself. From this point of view it is clearthat car manufacturers need to observe the painting process carefully to...

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management. The recent availability of high-frequency data allows for refined methods in this field. In particular, more precise measures for the daily or lower frequency volatility can be...

Market option prices in last 20 years confirmed deviations from the Black and Scholes (BS) models assumptions, especially on the BS implied volatility. Implied binomialtrees (IBT) models capture the variations of the implied volatility known as \volatility smile". They provide a discrete...