Funds of Hedge Funds (FHF) are perceived to be the premier choice of institutional investors for first-time allocations into the alternative investment asset class. While many papers cover the bright side of FHF investing, we in this paper empirically investigate the maximum drawdowns of FHF....

The paper deals with the evaluation of Collateralized Debt Obligations for investment purposes. CDOs are classified in the asset backed environment. Its specific risks (market, timing, recovery, agency) are discussed. To understand the portfolio aspect, the concept of the diversity score is...

This paper gives an overview of the capital requirements for banks. Regulatory capital is analyzed, followed by the discussion of economic capital. These ideas are used to explain risk adjusted performance measures.

Während die Markpreisrisiken (Zinsen, Aktien und Währungen) mit Hilfe des RiskMetrics-Ansatzes gut beschrieben werden können und dafür relativ überzeugende Derivate zur Absicherung unerwünschter Risiken zur Verfügung stehen, hat diese Entwicklung im Kreditbereich erst begonnen. Bei der...

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 and the Netherlands. The question to be investigated is whether board members and other company insiders earn abnormal returns with market...

This paper tracks a structured financial innovation, the commercial mortgage-backed security which is not as novel as current discussion around the sub-prime crisis let assume. However, CMBS as credit-derivatives feature various factors that influence the risks arising from a commercial-mortgage...

Im Arbeitsbericht wurden die wesentlichen Kapitalbestandteile der Bank vorgestellt. Durchdas Bankenaufsichtsrecht entstehen bei Kern- und Ergänzungskapital haftende Eigenkapitalformen,die bilanziell aber wie Fremdkapital wirken. Dies führt zu einer Erweiterung desWACC im Bankenrahmen. Hinzu...

Funds of Hedge Funds (FHF) are perceived to be the premier choice of institutional investorsfor first-time allocations into the alternative investment asset class. While many papers coverthe bright side of FHF investing, we in this paper empirically investigate the maximum drawdownsof FHF....