This study provides a rigorous empirical comparison of structural and reduced-form credit risk frameworks. As major difference we focus on the discriminative modeling of default time. In contrast to previous literature, we calibrate both approaches to bond and equity prices. By using same input...

This paper contributes to the ongoing discussion on price formation in electricity markets. For this, we conduct an analysis of the German electricity wholesale spot market which is located at the European Energy Exchange (EEX). Our dataset covers three spot market segments, namely the intraday...

The mechanism behind price formation in electricity futures markets is still under discussion. Theory suggests that hedging pressure caused by deviating risk preferences is the most promising approach. This paper contributes to this discussion through an empirical investigation of electricity...

In this paper, we present a new approach to measure the returns of private equity investments based on a stochastic model of the dynamics of a private equity fund. Our stochastic model of a private equity fund consists of two independent stages: the stochastic model of the capital drawdowns and...

Im Rahmen der bestehenden Portfoliotheorie wird zur Risikobewertung auf Normalverteilungsannahmen der Renditen oder Korrelationen aus historischen Daten zurückgegriffen. In den Finanzkrisen der Jahre 2008/09 stiegen jedoch die Korrelationen zwischen risikobehafteten Kapitalanlagen stark an....

CAT bonds are of significant importance in the field of alternative risk transfer. Since the market of CAT bonds is not complete, the application of an appropriate pricing model is of high relevance. We apply different premium calculation models in order to compare them with regard to their...

We investigate the price dynamics of two illiquid agricultural futures contracts traded at the European Exchange in Frankfurt. Based on constant and time-varying vector error correction models, we measure the contribution of each futures market to price discovery. Although results from the...

Kursgewinne oder -verluste bei Wertpapieren werden in den allermeisten Steuersystemen erst dann besteuert, wenn sie realisiert werden, d.h. wenn es zu einer Veräußerung des Wertpapieres kommt. Aus steuerlichen Gesichtspunkten sollten Gewinne dann möglichst spät und Verluste möglichst früh...

In this paper I pose an old fashioned question, "Why do capitalist economies evolve in the way that they do?" The answer will lie, on the one hand, in the nature of human curiosity and the corresponding growth of knowledge and, on the other hand, in the particular instituted rules of the game...

We explore whether the market variance risk premium (VRP) can be predicted. First, we propose a novel approach to measure VRP which distinguishes the investment horizon from the variance swap's maturity. We extract VRP from actual rather than synthetic S&P 500 variance swap quotes, thus avoiding...