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Risiko-Renditeprofil des neuen Covered-Call-Index der Deutschen Börse 德国证券交易所新并购指数的风险很高很高
Kredit Und Kapital Pub Date : 2008-05-01 DOI: 10.3790/KUK.41.1.37
P. Behr, H. Graf, A. Güttler
{"title":"Risiko-Renditeprofil des neuen Covered-Call-Index der Deutschen Börse","authors":"P. Behr, H. Graf, A. Güttler","doi":"10.3790/KUK.41.1.37","DOIUrl":"https://doi.org/10.3790/KUK.41.1.37","url":null,"abstract":"We have analysed in this article the risk-yield profile of the new DAXplus Covered- Call-Index of Deutsche Borse AG (German Stock Exchange) in the period from January 1993 to June 2005. It has turned out that, on a risk-adjusted basis, investing in DAXplus Covered Call Certificates was preferable to any direct investment in the DAX in the period under review. One of the reasons justifying this conclusion has been that the implied volatilities of DAX-based call options were too high compared with the historical volatilities and have resulted in excessive option premiums. We have also analysed the implications of several moneynesses and residual lifetimes of certificates for the risk-yield profile of covered call strategies and of the DAX. The DAXplus Covered Call can, as distinct from other covered call strategies, legitimately claim to have experienced the most favourable development in the period under review. In conclusion, we have compared the DAXplus Covered Call with three covered call strategies based on international stock indices. Measured by the Stutzer index, the DAXplus Covered Call shows that its risk-adjusted performance has been best.","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134089881","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Aspects of Payout Policy of German Savings Banks 德国储蓄银行支付政策的几个方面
Kredit Und Kapital Pub Date : 1900-01-01 DOI: 10.3790/KUK.43.1.39
Volker Kleff, Martin Weber
{"title":"Aspects of Payout Policy of German Savings Banks","authors":"Volker Kleff, Martin Weber","doi":"10.3790/KUK.43.1.39","DOIUrl":"https://doi.org/10.3790/KUK.43.1.39","url":null,"abstract":"The German savings banks’ distribution of profits among their public owners (i. e. municipalities and districts) requires that legal criteria are met ensuring the banks’ adequate funding via retained profits. In line with the legal framework, our analysis of savings banks in four federal states confirms that profitability and portfolio risk are important determinants of the savings banks’ payout decision. Heavily indebted municipalities and districts, however, might have a strong interest in the savings banks’ payouts to mitigate their financial distress. In fact, we find that the payout decision is also influenced by the public owners’ interest.","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121871633","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Ein dynamisches Modell der Kreditbeziehungen zwischen einer Bank und ihren Kreditnehmern 银行和借款人之间的动态信用关系模式
Kredit Und Kapital Pub Date : 1900-01-01 DOI: 10.5282/UBM/EPUB.10416
B. Rudolph
{"title":"Ein dynamisches Modell der Kreditbeziehungen zwischen einer Bank und ihren Kreditnehmern","authors":"B. Rudolph","doi":"10.5282/UBM/EPUB.10416","DOIUrl":"https://doi.org/10.5282/UBM/EPUB.10416","url":null,"abstract":"","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"60 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132147235","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Schwerpunkte europäischer Spitzenforschung in der Finanzwirtschaft – Eine Analyse auf Basis der Jahrestagung 2009 der European Finance Association in Bergen, Norwegen 欧洲在金融业领域的尖端研究——这是一项基于挪威卑尔根欧洲金融协会2009年年会的分析
Kredit Und Kapital Pub Date : 1900-01-01 DOI: 10.3790/KUK.43.1.149
C. Breuer, W. Breuer
{"title":"Schwerpunkte europäischer Spitzenforschung in der Finanzwirtschaft – Eine Analyse auf Basis der Jahrestagung 2009 der European Finance Association in Bergen, Norwegen","authors":"C. Breuer, W. Breuer","doi":"10.3790/KUK.43.1.149","DOIUrl":"https://doi.org/10.3790/KUK.43.1.149","url":null,"abstract":"Vom 19. bis 22. August 2009 fand die 36. Jahrestagung der European Finance Association (EFA) in Bergen, Norwegen, statt. Die Tagung unter der Leitung von Kristian R. Miltersen wurde bereits zum zweiten Mal an der Norwegian School of Economics and Business Administration durchgefuhrt. Miltersen folgte damit Jan Mossin, der genau 30 Jahre zuvor die 6. Jahrestagung der EFA im Jahr 1979 am gleichen Ort organisierte. Zur Tagung wurden ca. 1.200 Aufsatze eingereicht, von denen nach einem doppelt verdeckten Begutachtungsverfahren 215 Aufsatze zur Prasentation ausgewahlt wurden. Als prominenter Keynote Speaker konnte Richard Roll von der Anderson School at UCLA gewonnen werden.","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114168970","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Cross-Border Retail Banking: Exploring the Unknown Financial Globalization in Times of Financial Crises 跨境零售银行:金融危机时代金融全球化的未知探索
Kredit Und Kapital Pub Date : 1900-01-01 DOI: 10.3790/CCM.46.2.247
H. Sander, S. Kleimeier
{"title":"Cross-Border Retail Banking: Exploring the Unknown Financial Globalization in Times of Financial Crises","authors":"H. Sander, S. Kleimeier","doi":"10.3790/CCM.46.2.247","DOIUrl":"https://doi.org/10.3790/CCM.46.2.247","url":null,"abstract":"The surge in cross-border banking prior to the 2007 / 08 global financial crisis took place not only in the interbank market but also in the retail market, e.?g. between banks and their private customers abroad. Cross-border retail activities of banks now account for a substantial share of total international activities. Despite its rising importance, we are just starting to understand the role of crossborder retail banking for globalization and stability. In this study, we assess this less known part of financial globalization by reviewing the development and structure of cross-border banking, identifying the factors that drive retail customers across borders and assessing the impact of financial crises on global retail banking.","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129675672","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Do Economic Downturns Have an Impact on the Loss Given Default of Mobile Lease Contracts? – An Empirical Study for the German Leasing Market – 经济衰退对移动租赁合同违约造成的损失有影响吗?-德国租赁市场的实证研究-
Kredit Und Kapital Pub Date : 1900-01-01 DOI: 10.3790/KUK.43.1.65
Thomas Hartmann-Wendels, Martin Honal
{"title":"Do Economic Downturns Have an Impact on the Loss Given Default of Mobile Lease Contracts? – An Empirical Study for the German Leasing Market –","authors":"Thomas Hartmann-Wendels, Martin Honal","doi":"10.3790/KUK.43.1.65","DOIUrl":"https://doi.org/10.3790/KUK.43.1.65","url":null,"abstract":"Along with the probability of default, the loss given default (LGD) is a crucial variable for the quantification of credit risks. According to the German insolvency law, lessors are allowed to access the leased asset quickly and dispose of it autonomously if the lessee encounters a default. In order to benefit from this advantage over creditors of collateralized bank loans, a reliable estimation of the LGD is of special importance for leasing companies. Using an extensive and unique data set from two major German leasing companies, we analyse the LGD of mobile lease contracts. The contribution of our paper is threefold: First, we extend the empirical evidence about the level and distribution of the LGD according to different asset types. Second, we investigate the impact of macroeconomic conditions on the aggregated LGD and propose a method how leasing companies can determine a downturn LGD for their internal risk control. Third, we address the phenomenon that contracts can “‘resurrect’” from default after some time of financial distress, which has been neglected in academic research so far. Our results suggest that the level of the LGD varies considerably depending on the asset type and that the empirical LGD distribution can be characterized by a bimodal shape. Concerning the impact of the macro-economy on the LGD, we could identify a significant relationship for vehicle leases only. Regarding the resurrection rate, we found empirical evidence for a cyclical variability in all asset categories. On the whole, the findings of our study provide useful insights for the internal credit risk management of leasing companies.","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127799869","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 14
Einlegerschutzvorschriften für Kreditinstitute im Richtlinienentwurf der Kommission der Europäischen Gemeinschaften 在欧洲共同体委员会的建议中
Kredit Und Kapital Pub Date : 1900-01-01 DOI: 10.5282/UBM/EPUB.10428
B. Rudolph
{"title":"Einlegerschutzvorschriften für Kreditinstitute im Richtlinienentwurf der Kommission der Europäischen Gemeinschaften","authors":"B. Rudolph","doi":"10.5282/UBM/EPUB.10428","DOIUrl":"https://doi.org/10.5282/UBM/EPUB.10428","url":null,"abstract":"Die Kommission der Europäischen Gemeinschaften hat im Juli 1972 den „Entwurf einer Richtlinie zur Koordinierung der Rechtsund Verwaltungsvorschriften für die Aufnahme und Ausübung der selbständigen Tätigkeiten der Kreditinstitute\" vorgelegt. Setzt sich die Konzeption dieses Entwurfs durch — und wird in den Ländern der EG die Bankenaufsicht den Vorschlägen des Richtlinienentwurfs entsprechend gestaltet —, dann werden auch künftig die Aufsichtsämter der Gemeinschaftsstaaten in ihrem Bereich (dezentralisierte Bankenaufsicht) über ein ganzes Bündel von Vorschriften zu wachen haben. Ein Teil der Vorschriften ist ganz spezifisch auf das Zusammenwachsen der nationalen Kreditund Finanzmärkte abgestellt und betrifft insbesondere die übernationalen Ausweitungen der Bankfilialsysteme auf das Gebiet der Europäischen Gemeinschaft. Weitgehend finden sich in dem Entwurf aber Vorschriften, die schon im KWG ihren guten Platz hatten:","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130657523","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Der Durchgriffswert von Beteiligungen 证券的破坏价值
Kredit Und Kapital Pub Date : 1900-01-01 DOI: 10.5282/UBM/EPUB.10425
B. Rudolph
{"title":"Der Durchgriffswert von Beteiligungen","authors":"B. Rudolph","doi":"10.5282/UBM/EPUB.10425","DOIUrl":"https://doi.org/10.5282/UBM/EPUB.10425","url":null,"abstract":"","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"74 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124044516","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Die Konstruktion eines Performanceindexes für geschlossene Schiffsfonds 关于关闭船坞的表演指数的建设
Kredit Und Kapital Pub Date : 1900-01-01 DOI: 10.3790/KUK.45.1.79
Wolfgang Drobetz, Lars Tegtmeier, Mihail Topalov
{"title":"Die Konstruktion eines Performanceindexes für geschlossene Schiffsfonds","authors":"Wolfgang Drobetz, Lars Tegtmeier, Mihail Topalov","doi":"10.3790/KUK.45.1.79","DOIUrl":"https://doi.org/10.3790/KUK.45.1.79","url":null,"abstract":"Closed-end ship funds (KG-funds) have been an important form of capital investment for private investors for many years. They also represented the most successful financing instrument of German tramp ship-owners in the past. In spite of their great importance for the economy overall, closed-end ship funds have attracted comparatively little attention in the academic literature. The primary reason is the lack of a representative performance index, which would allow to incorporate this asset class into the framework of modern portfolio theory. We construct a performance index using a database of more than 300 German closedend ship funds during the sample period from December 1996 to December 2007. Moreover, we examine the risk-return characteristics of closed-end ship funds and compare them with other major asset classes.","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117036892","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Können die Banken ihre Kreditsicherheiten "vergessen"? 银行可以“忘却”其贷款担保吗?
Kredit Und Kapital Pub Date : 1900-01-01 DOI: 10.5282/UBM/EPUB.10414
B. Rudolph
{"title":"Können die Banken ihre Kreditsicherheiten \"vergessen\"?","authors":"B. Rudolph","doi":"10.5282/UBM/EPUB.10414","DOIUrl":"https://doi.org/10.5282/UBM/EPUB.10414","url":null,"abstract":"","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"73 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116302707","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
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