E-Dissertationen: Browsing E-Dissertationen by Author "Lütkebohmert-Holtz, Eva"
Now showing items 1-4 of 4
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Essays on Dual Risk Measures and the Asymptotic Term Structure
Schulze, Klaas (2009-08-27)This dissertation covers two distinct topics in the field of financial economics: risk measurement and the term structure of interest rates.<br /> The phenomenon of risk plays a ubiquitous role in finance and insurance as ... -
On Dynamic Coherent and Convex Risk Measures: Risk Optimal Behavior and Information Gains
Engelage, Daniel (2009-08-27)We consider tangible economic problems for agents assessing risk by virtue of dynamic coherent and convex risk measures or, equivalently, utility in terms of dynamic multiple priors and dynamic variational preferences in ... -
On Modeling and Measuring Credit, Recovery and Liquidity Risks
Cadena Ibarra, Juan Marcelo (2010-03-17)We investigate three major risks of financial markets: credit, recovery and liquidity risks.<br /> Chapter 1 studies credit risk in an irreversible investment problem. The analysis demonstrates that optimal investment time ... -
Valuation of Convertible Bonds
Huang, Haishi (2010-03-02)Convertible bonds are hybrid financial instruments with complex features. They have characteristics of both debts and equities, and usually several options are embedded in this kind of contracts. The optimality of the ...