Risk Assessment

1. Automotive Finance: The Case for an Industry-Specific Approach to Risk Management
Christian Diekmann

2. Evidence on Time-Varying Factor Models for Equity Portfolio Construction
Markus Ebner, Thorsten Neumann

3. Time Dependent Relative Risk Aversion
Enzo Giacomini, Michael Handel, Wolfgang K. Härdle

4. Portfolio Selection with Common Correlation Mixture Models
Markus Haas, Stefan Mittnik

5. A New Tempered Stable Distribution and Its Application to Finance
Young Shin Kim, Svetlozar T. Rachev, Michele Leonardo Bianchi, Frank J. Fabozzi

6. Estimation of a-Stable Sub-Gaussian Distributions for Asset Returns
Sebastian Kring, Svetlozar T. Rachev, Markus Höchstötter, Frank J. Fabozzi

7. Risk Measures for Portfolio Vectors and Allocation of Risks
Ludger Rüschendorf

8. The Road to Hedge Fund Replication: The Very First Steps
Lars Jaeger

9. Asset Securitisation as a Profits Management Instrument
Markus Schmidtchen

10. Recent Advances in Credit Risk Management
Frances Cowell, Borjana Racheva, Stefan Trück

11. Stable ETL Optimal Portfolios and Extreme Risk Management
Svetlozar T. Rachev, R. Douglas Martin, Borjana Racheva, Stoyan Stoyanov

12. Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research
Dezhong Wang, Svetlozar T. Rachev, Frank J. Fabozzi

Nyckelord: BUSINESS & ECONOMICS / Management Science BUS042000