Vorliegendes Arbeitspapier beschäftigt sich mit der mathematischen Modellierung von Marktrisiken.

In einem internationalen Effizienzvergleich der Telekommunikationswirtschaft für den Zeitraum 1981 bis 2002 liegt Deutschland auf einem mittleren Platz: Besser schneiden Frankreich und Großbritannien ab, schlechter die Niederlande und die USA. Allerdings unterliegt die angebotsseitige...

In this paper, we revisit the effects of government spending shocks on private consumption within an estimated New-Keynesian DSGE model of the euro area featuring non-Ricardian households. Employing Bayesian inference methods, we show that the presence of non-Ricardian households is in general...

Despite intense calls for safeguarding public investment in Europe, public investment expenditure, when measured in relation to GDP, has steadily fallen in the last three decades, evoking fears that economic activity may be correspondingly negatively affected. At the same time, however, public...

Using a structural VAR with time-varying parameters and stochastic volatility on post-WWII U.S. data, we document a striking negative correlation between the evolution of the long-run coefficient on inflation in the monetary rule and the evolution of the persistence and predictability of...

Policy counterfactuals based on estimated structural VARs routinely suggest that bringing Alan Greenspan back in the 1970s’ United States would not have prevented the Great Inflation. We show that a standard policy counterfactual suggests that the Bundesbank–which is near-universally...

We model the occurrence of an environmental accident as a stochastic event, in particular the situation of an oil spill is explored. Characteristics of the ship operator, and the different types of the ship's operating environment determine a stochastic process governing the time patterns and...

We compare the effects of taxes and quotas for an environmental problem in which the regulator and polluter have asymmetric information about abatement costs, and the environmental damage depends on the stock of pollution. We thus extend to a dynamic framework previous studies in which...

Traditional tools based on DCF methods fail to capture the value of R&D projects because of their dependence on future events that are uncertain at the time of the initial decision. We consider a continuous-time framework where information arrives both continuously and discontinu-ously. This is...