Loss Given Default (LGD) is a major element for pricing credits and bonds. As there has been a 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...

In den letzten Jahren hat eine intensive Entwicklung von Kreditderivaten begonnen.Im Kern soll hiermit die Möglichkeit geschaffen werden, das Adressenrisiko einer Transaktion von ihrem Marktrisiko zu separieren und es damit einzeln handelbar, aber insbesondere auch hedgebar zu machen. Die...

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

Merger and acquisition activities can have a strong impact on the capital structure of the companies involved and therefore on the value of debt. This paper discusses the role of covenants within debt contracts. Using the Real Option approach to quantify the implications of covenants on the...

This paper shows that Economic Value Added (EVA) can be used to optimize the performance of european share investements. Investing in the top third relative EVA performers, leads to a significant outperformance. This is true for market and sektor investments. The best results were found for...

Underlyings of weather derivatives in Europe tend to be average temperature compared to heating (cooling) day in the USA because of a smaller volatility in temperature. The derivatives are priced using as burn analysis. Using a gas utility company, hedging techniques are shown using temperature...

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

This paper discusses the management of loan commitments (Kreditzusagen). First, we elaborate on the necessary steps to efficiently manage liquidity facilities. In particular, the drawdown pattern of single commitments and a portfolio of such commitments have to be modelled. Based on the drawdown...

Mindestmarge ist der entscheidende Baustein bei der Steuerung des Vertriebs. Im Arbeitsbericht wird eine moderne Margenkalkulation in vier Stufen vogestellt. Dabei beschreibt Mindestmarge I Zins- und Kündigungskosten, Mindestmarge II Ausfallkosen, Mindestmarge III Stückkosten und Mindestmarge...