Marc Gürtler

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OBJECTIVE Different factors such as exercise habits and alcohol consumption may modulate postprandial lipid metabolism. What are the effects of alcohol on postprandial metabolism in untrained and trained individuals? METHODS The postprandial lipid response to an oral fat load (1 g fat per kg body weight (bw)) with and without alcohol (0.5 g/kg bw) was(More)
The measurement of concentration risk in credit portfolios is necessary for the determination of regulatory capital under Pillar 2 of Basel II as well as for managing portfolios and allocating economic capital. Existing multi-factor models that deal with concentration risk are often inconsistent with the Pillar 1 capital requirements. Therefore, we adjust(More)
Several attempts have been made to reduce the impact of estimation errors on the optimal portfolio composition. On the one hand, improved estimators of the necessary moments have been developed and on the other hand, heuristic methods have been generated to enhance the portfolio performance, for instance the "resampled efficiency" of Michaud (1998). We(More)
In this paper we first investigate the validity of a general Value at Risk approach, which is widely used for risk management in banking and insurance companies. We discuss and widely reject the conventional assumptions, e.g. independent identically distributed normal returns, and as consequence develop an improved model for non-stationary returns. Therein(More)
In case of a natural catastrophe there is an increased demand for skilled labor and materials which in turn leads to significant price increases that should be taken into account in the forecast of catastrophe losses. Such price effects are referred to as "Demand Surge" effects. The paper at hand presents an extensive econometric analysis and modeling of(More)
The measurement of concentration risk in credit portfolios is necessary for the determination of regulatory capital under pillar 2 of Basel II as well as for managing the portfolios and allocating economic capital. Although there exist some multi-factor models that deal in-depth with concentration risk these approaches are often not consistent with the(More)
In this paper we analyze an econometric model for non-stationary asset returns. Volatility dynamics are modelled by nonparametric regression; consistency and asymptotic normality of a symmetric and of a one-sided kernel estimator are outlined with remarks on the bandwidth decision. Further attention is paid to asymmetry and heavy tails of the return(More)
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 predictive power. Without taking the financial crisis into account,(More)
A non-stationary regression model for financial returns is examined theoretically in this paper. Volatility dynamics are modelled both exogenously and deterministic, captured by a nonparametric curve estimation on equidistant centered returns. We prove consistency and asymptotic normality of a symmetric variance estimator and of a one-sided variance(More)
* Professor Dr. Marc Gürtler Technical University Braunschweig Department of Finance Abt-Jerusalem-Str. 7 D-38106 Braunschweig Germany Tel.: +49 531 3912895 Fax: 3912899 e-mail: marc.guertler@tu-bs.de ** Dipl.-Wirtsch.-Ing. Dirk Heithecker Technical University Braunschweig Department of Finance Abt-Jerusalem-Str. 7 D-38106 Braunschweig Germany Tel.: +49 531(More)