… In Panel C we compare the GARCH forecasts to the forecasts based on implied volatilities.
We find an opposite result compared to the RiskMetrics forecasts. At the short forecasting …

… Baule and Tallau investigate the pricing and performance of bonus certificates in the
German market, under several alternative models, with different assumptions about volatility …

We empirically assess the sensitivity of Basel risk weights to bank portfolio risk and the
business cycle. With our econometric model, we distinguish between cross-sectional risk …

Volatility implied from option prices is widely regarded as the market’s estimate of future
expected volatility of the underlying asset. We construct an implied volatility index for the SandP/…

… fair values, D C i d , and the ask prices of the certificates, D C i a s k . The gross margin
over the total lifetime of a certificate is defined as(6) M i l i f e = D C i a s k − D C i d D C i d . …

This paper develops a model for the valuation of high-growth innovative companies. We
propose a customer-based approach, ie we link customer valuation and firm valuation. …

In 2014, the German Derivatives Association introduced the policy of disclosing an Issuer
Estimated Value (IEV) for structured retail investment products. The IEV is supposed to reflect …

Recent literature suggests that regulatory risk measures do not adequately capture the
actual economic risk of bank portfolios. We shed new light on this issue by analyzing both …

… Finałly, the payoff profile (c) corresponds to a binary option, which proises a fixed payment
if the stock price … According to this model, the value C of a European cali option with strike …

Bonds issued by member states of the European Union benefit from privileges in banking
regulation throughout all risk categories. In contrast to the risk-based approach applied to …