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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)
Our main goal is the generalization of the approach of Jobson and Korkie (1984) for funds performance evaluation. Therefore, we consider the portfolio selection problem of an investor who faces short sales restrictions when choosing among F different investment funds and assume the investor's utility function to be of the HARA type. We develop a performance(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)
In the last decade, portfolio credit risk measurement has improved significantly. The current state-of-the-art models analyze the value of the portfolio at a certain risk horizon, e.g. one year. Most popular has become the Merton-type one-factor model of Vasicek, that builds the fundament of the new capital adequacy framework (Basel II) finally adopted by(More)
Forschungsgegenstände sind alle Aspekte unternehmerischer Finanzierungs-und Investitions-entscheidungen einschließlich der Erörterung kapitalmarkttheoretischer Rahmenbedingungen. Schwerpunkte der Analyse bilden informationsökonomisch orientierte Fragestellungen sowie Proble-me des finanzwirtschaftlichen Risikomanagements. Research activities concern all(More)
(CATastrophe e Bonds are of significant importance in the field of alternative risk transfer. Since the market of CAT Bonds is not as liquid as e.g. the stock market, the use of pricing models is of high relevance. One important parameter in all pricing models is the probability of catastrophe. Consequently , there are two possibilities of determination. On(More)
Forschungsgegenstände sind alle Aspekte unternehmerischer Finanzierungs-und Investitions-entscheidungen einschließlich der Erörterung kapitalmarkttheoretischer Rahmenbedingungen. Schwerpunkte der Analyse bilden informationsökonomisch orientierte Fragestellungen sowie Proble-me des finanzwirtschaftlichen Risikomanagements. Research activities concern all(More)
The most relevant practical impediment to an application of the Markowitz portfolio selection approach is the problem of estimating return moments, in particular return expectations. We analyze the consequences of using return estimates implied by analysts' dividend forecasts under the explicit notion of taxes and non-flat term structures of interest rates(More)
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