The current financial market crisis has impressively demonstrated the importance of an effective credit risk management for financial institutions. At the same time, the use and the valuation of credit derivatives has been widely criticised as a result of the crisis. Over the past decade, credit...

Während direkte Immobilieninvestments lang Zeit als renditeträchtig bei gleichzeitig begrenztem Risiko galten, führte den Anlegern insbesondere die gegenwärtige Finanzmarktkrise vor Augen, dass auch Immobilienanlagen insbesondere in den USamerikanischen Häusermarkt mit hohen Risiken...

We use a unique and comprehensive data set on open-end real estate funds in Germany to study a liquidity crisis that hit this industry between 2005 and 2006. Since this industry is comparably unregulated our data set permits us to contrast competing explanations of liquidity crisis. We find that...

On the basis of portfolio selection theory, this paper finds that whole-farm risk must be regarded as a major reason for the low level of credit flow to agriculture in North-western Kazakhstan. A quadratic programming model was used in order (a) to demonstrate the comparatively high overall risk...

Owners of private companies often invest a substantial share of their net worth in one company, which exposes them to idiosyncratic risk. For US companies we investigate whether owners require compensation for lack of diversification in the form of higher returns to equity. Exposure to...

One of Keynes’ core issues in his liquidity preference theory is how fundamental uncertainty affects the propensity to hold money as a liquid asset. The paper critically assesses various formal representations of fundamental uncertainty and provides an argument for a more bounded rational...

Traditional risk-adjusted performance measures, such as the Sharpe ratio, the Treynor index or Jensen's alpha, based on the mean-variance framework, are widely used to rank mutual funds. However, performance measures that consider risk by taking into account only losses, such as Value-at-Risk...

Owners of private companies often invest a substantial share of their net worth in one company, which exposes them to idiosyncratic risk. For US companies we investigate whether owners require compensation for lack of diversification in the form of higher returns to equity. Exposure to...

Credit risk measurement and management become more important in all financial institutions in the light of the current financial crisis and the global recession. This particularly applies to most of the complex structured financing forms whose risk cannot be quantified with com-mon rating...

Dieser Beitrag entwickelt ein Verfahren, das die Komplexität der Endvermögensberechnung von Aktienanlagen unter Berücksichtigung der Besteuerung und regelmäßiger Portfolioumschichtung erheblich reduziert. Bisher ist eine vergleichbar präzise Berechnung wegen rekursiver Abhängigkeiten sehr...