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Roswita Königswieser gehört zu den erfahrensten und erfolgreichsten Organisationsberatern im deutschsprachigen Raum. Zu ihren Kunden zählen Automobilhersteller ebenso wie "Big Players" im Dienstleistungssektor. Was ist das Geheimnis ihres Erfolgs, worin unterscheidet sich ihre Arbeit von der...
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In this paper we investigate the interaction between a credit portfolio and another risk type, which can be thought of as market risk. Combining Merton-like factor models for credit risk with linear factor models for market risk, we analytically calculate their interrisk correlation and show how...
Persistent link: https://www.econbiz.de/10012989273
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To understand why investors hold green instruments we analyse the structure of investor demand for green and conventional bonds. Contrary to previous studies, we do not work with surveys or pricing data, but study data from primary market transactions. We analyse investor types in de- tail and...
Persistent link: https://www.econbiz.de/10014351256
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In this paper we investigate the interaction between a credit portfolio and another risk type, which can be thought of as market risk. Combining Merton-like factor models for credit risk with linear factor models for market risk, we analytically calculate their interrisk correlation and show how...
Persistent link: https://www.econbiz.de/10003721586
The lack of a liquid market for implied correlations requires traders to estimate correlation matrices for pricing multi-asset equity options from historical data. To quantify the precision of these correlation estimates, we devise a block bootstrap procedure. The resulting bootstrap...
Persistent link: https://www.econbiz.de/10010296446
Starting from well-known empirical stylised facts of nancial time series, we develop dynamic portfolio protection trading strategies based on econometric methods. As a criterion for riskiness we consider the evolution of the value-at-risk spread from a GARCH model with normal innovations...
Persistent link: https://www.econbiz.de/10012433187