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    <title>EconStor Collection: CPQF Working Paper Series, Frankfurt School of Finance and Management</title>
    <link>http://hdl.handle.net/10419/40167</link>
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      <title>Das Geschäft mit Derivaten und strukturierten Produkten: Welche Rolle spielt die Bank?</title>
      <link>http://hdl.handle.net/10419/57931</link>
      <description>Title: Das Geschäft mit Derivaten und strukturierten Produkten: Welche Rolle spielt die Bank?
&lt;br/&gt;
&lt;br/&gt;Authors: Schmidt, Wolfgang M.
&lt;br/&gt;
&lt;br/&gt;Abstract: Das Geschäft mit Derivaten und strukturierten Finanzprodukten ist verstärkter Kritik ausgesetzt. Ziel des Aufsatzes ist die kritische Auseinandersetzung mit den Thesen der Kritiker und der Rolle der Bank bei den genannten Geschäften.</description>
      <pubDate>Sat, 29 Oct 2011 22:58:59 GMT</pubDate>
    </item>
    <item>
      <title>The impact of network inhomogeneities on contagion and system stability</title>
      <link>http://hdl.handle.net/10419/57178</link>
      <description>Title: The impact of network inhomogeneities on contagion and system stability
&lt;br/&gt;
&lt;br/&gt;Authors: Hübsch, Arnd; Walther, Ursula
&lt;br/&gt;
&lt;br/&gt;Abstract: This work extends the contagion model introduced by Nier et al. (2007) to inhomogeneous networks. We preserve the convenient description of a financial system by a sparsely parameterized random graph but add several relevant inhomogeneities, namely well-connected banks, financial institutions with disproportionately large interbank assets, and big banks focusing on wholesale and retail customers. These extensions significantly enhance the model's generality as they reflect inhomogeneities as found in reality with a potentially decisive impact on system stability. Whereas well-connected banks and big retail banks have only a surprisingly modest impact, we find a significantly enhanced contagion risk in networks containing institutions with disproportionately large interbank assets. Moreover, we show that these effects can be partly compensated by a suitable regulatory response which demands additional net worth buffers for banks with above average volume of interbank assets. The stabilising effect is most notably achieved by a pure redistribution of equity capital without increasing its total amount.</description>
      <pubDate>Sat, 29 Oct 2011 22:58:59 GMT</pubDate>
    </item>
    <item>
      <title>The impact of network inhomogeneities on contagion and system stability</title>
      <link>http://hdl.handle.net/10419/57178</link>
      <description>Title: The impact of network inhomogeneities on contagion and system stability
&lt;br/&gt;
&lt;br/&gt;Authors: Hübsch, Arnd; Walther, Ursula
&lt;br/&gt;
&lt;br/&gt;Abstract: This work extends the contagion model introduced by Nier et al. (2007) to inhomogeneous networks. We preserve the convenient description of a financial system by a sparsely parameterized random graph but add several relevant inhomogeneities, namely well-connected banks, financial institutions with disproportionately large interbank assets, and big banks focusing on wholesale and retail customers. These extensions significantly enhance the model's generality as they reflect inhomogeneities as found in reality with a potentially decisive impact on system stability. Whereas well-connected banks and big retail banks have only a surprisingly modest impact, we find a significantly enhanced contagion risk in networks containing institutions with disproportionately large interbank assets. Moreover, we show that these effects can be partly compensated by a suitable regulatory response which demands additional net worth buffers for banks with above average volume of interbank assets. The stabilising effect is most notably achieved by a pure redistribution of equity capital without increasing its total amount.</description>
      <pubDate>Sat, 29 Oct 2011 22:58:59 GMT</pubDate>
    </item>
    <item>
      <title>Volatilität als Investment: Diversifikationseigenschaften von Volatilitätsstrategien</title>
      <link>http://hdl.handle.net/10419/55527</link>
      <description>Title: Volatilität als Investment: Diversifikationseigenschaften von Volatilitätsstrategien
&lt;br/&gt;
&lt;br/&gt;Authors: Detering, Nils; Zhou, Qixiang; Wystup, Uwe
&lt;br/&gt;
&lt;br/&gt;Abstract: In Zeiten stark schwankender Finanzmarkte liegt der Fokus von Investoren insbesondere auf dem mit einer Anlage verbundenen Risiko. Gerade in diesen Marktphasen suchen Investoren nach Moglichkeiten, ihr bestehendes Portfolio weiter zu diversifizieren. Volatilitätsinvestments bieten durch ihre negative Korrelation zu traditionellen Assetklassen diese Möglichkeit.</description>
      <pubDate>Sat, 29 Oct 2011 22:58:59 GMT</pubDate>
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