… Rudi Zagst manages to give an all-inclusive presentation of the topic, putting special … ,
you should look at Interest Rate Management by Rudi Zagst. The book is written for those who …

The purpose of this article is to analyze and compare two standard portfolio insurance methods:
Option-based Portfolio Insurance (OBPI) and Constant Proportion Portfolio Insurance (…

This article identifies key performance indicators for private equity funds by scrutinizing a
dataset of 358 funds holding an aggregate number of 7,511 portfolio companies. First, we show …

We propose an early warning system to timely forecast turbulence in the US stock market. In
a first step, a Markov-switching model with two regimes (a calm market and a turbulent …

In this paper we study a risk model with claim arrivals based on general compound Hawkes
processes and show that it is suitable to model empirical insurance data. We review a law of …

In this article, a framework for the joint modelling of default and recovery risk in a portfolio of
credit risky assets is presented. The model especially accounts for the correlation of defaults …

For determining an optimal portfolio allocation, parameters representing the underlying
market—characterized by expected asset returns and the covariance matrix—are needed. …

An early warning system to timely forecast turbulences in the Asian and European stock
market is proposed. To ensure comparability, the model is constructed analogously to the early …

This paper develops an approximate closed-form optimal portfolio allocation formula for a
spot asset whose variance follows a GARCH(1,1) process. We consider an investor with …

In this paper, we propose a method to price collateralized debt obligations (CDO) within
Merton's structural model on underlyings with a stochastic mean-reverting covariance …