Year of publication
- English (16) (remove)
- Keep on Smiling? Volatility Surfaces and the Pricing of Quanto Options when all Covariances are Stochastic (2009)
- Pricing Turbo Certificates in the Presence of Stochastic Jumps, Interest Rates, and Volatility (2007)
- International Corporate Risk Management : A Comparison of Three Major Airlines (2005)
- In addition to catastrophe and operational risks like e.g. the terrorist attacks on the World Trade Center airlines are exposed to substantial capital market risks. This study examines the cases of three major airlines including Lufthansa, United Airlines, and Qantas. Their risk profiles are analyzed with respect to commodity and exchange rate risks by applying the “Earnings at Risk”-concept to the profit and loss statements of the year 2003. Furthermore, potential hedging strategies are explored. It turns out that airlines are especially sensitive to movements of the oil price. However, hedges can provide (partial) protection against adverse movements of the risk factors.
- The New Basel Capital Accord (2005)
- This paper addresses the capital requirements based on the RiskMetrics™ framework and the BIS standard model. A case study is developed which shows that the capital requirements can be reduced by applying the more accurate RiskMetrics™ framework. Furthermore it gives an overview of the capital requirement rules for credit risk and operational risk in the Basel II Accord.