User profiles for Rudi Zagst
Rudi ZagstVerified email at tum-think-tank.de Cited by 1478 |
[BOOK][B] Interest rate management
R Zagst - 2002 - Springer
… 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 …
you should look at Interest Rate Management by Rudi Zagst. The book is written for those who …
Stochastic dominance of portfolio insurance strategies: OBPI versus CPPI
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 (…
Option-based Portfolio Insurance (OBPI) and Constant Proportion Portfolio Insurance (…
What drives PE? Analyses of success factors for private equity funds
…, TIM Friederich, M Kalepky, R Zagst - The Journal of Private …, 2008 - JSTOR
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 …
dataset of 358 funds holding an aggregate number of 7,511 portfolio companies. First, we show …
Forecasting market turbulence using regime-switching models
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 …
a first step, a Markov-switching model with two regimes (a calm market and a turbulent …
[HTML][HTML] Hawkes processes in insurance: Risk model, application to empirical data and optimal investment
A Swishchuk, R Zagst, G Zeller - Insurance: Mathematics and Economics, 2021 - Elsevier
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 …
processes and show that it is suitable to model empirical insurance data. We review a law of …
Pricing distressed CDOs with stochastic recovery
S Höcht, R Zagst - Review of Derivatives Research, 2010 - Springer
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 …
credit risky assets is presented. The model especially accounts for the correlation of defaults …
Comparison and robustification of Bayes and Black-Litterman models
For determining an optimal portfolio allocation, parameters representing the underlying
market—characterized by expected asset returns and the covariance matrix—are needed. …
market—characterized by expected asset returns and the covariance matrix—are needed. …
[HTML][HTML] Forecasting turbulence in the Asian and European stock market using regime-switching models
J Engel, M Wahl, R Zagst - Quantitative Finance and Economics, 2018 - aimspress.com
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 …
market is proposed. To ensure comparability, the model is constructed analogously to the early …
[HTML][HTML] Closed-form portfolio optimization under GARCH models
M Escobar-Anel, M Gollart, R Zagst - Operations Research Perspectives, 2022 - Elsevier
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 …
spot asset whose variance follows a GARCH(1,1) process. We consider an investor with …
Pricing a CDO on stochastically correlated underlyings
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 …
Merton's structural model on underlyings with a stochastic mean-reverting covariance …