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This paper describes the financial planning model InnoALM developed by Innovest for Austrian pension funds including their own managed for the Austrian employees of the electronics firm Siemens. The model is one tool in the analysis of the growing worldwide problem of ageing and the growing number of pensioners in an environment of increased demand for(More)
We analyze whether liquidity is an important price factor in the US corporate bond market. In particular, we focus on whether liquidity effects are more pronounced in periods of financial crises, and moreover, for bonds with high credit risk. We use a unique data-set covering more than 20,000 bonds, between October 2004 and December 2008, to examine three(More)
This investigation examines the relations between transforma-tional/transactional leadership and performance indicators of 20 diierent banks, using a sample of some 1500 observations. Leadership behavior is measured by the Multifactor Leadership Questionnaire (MLQ), which i s used for the rst time in the German-speaking area. The psychometric quality of the(More)
A previous version of this paper was circulated as " Jumps and Recovery Rates Inferred from Corporate CDS Premia ". We are thankful to FIRM@WU for access to their high-performance computing resources as well as friendly support, and to Dow Jones for providing us with complete ICB sector information. We are indebted to and an anonymous referee for many(More)
for helpful comments and suggestions. Financial support of the Vienna University of Technology in acquiring data used in this study is gratefully acknowledged. The author would also like to thank Reuters Ges.m.b.H (Vienna) for providing data. This article compares the characteristics and the price behavior of case-by-case privatization initial public(More)
In this article we estimate default intensities within the continuous time Jarrow/Turnbull (1995) model from daily observations of German bank bond prices, based on the default-free term structure estimated from the Svensson (1994) model provided by the Deutsche Bundesbank. Cross-sectional and time-series estimations are performed. We s h o w that pricing(More)
We study the properties of foreign exchange risk premiums that can explain the forward bias puzzle, defined as the tendency of high-interest rate currencies to appreciate rather than depreciate. These risk premiums arise endogenously from the no-arbitrage condition relating the term structure of interest rates and exchange rates. Estimating affine(More)
The London Interbank Offered Rate (Libor) and the Euro Interbank Offered Rate (Eu-ribor) are two key market benchmark interest rates used in a plethora of financial contracts with notional amounts running into the hundreds of trillions of dollars. The integrity of the rate-setting process for these benchmarks has been under intense scrutiny ever since the(More)