WorldCat Identities

Cremers, Heinz

Overview
Works: 43 works in 76 publications in 2 languages and 385 library holdings
Roles: Author, Creator
Classifications: HF5691, 332.7
Publication Timeline
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Most widely held works by Heinz Cremers
Mathematik für Wirtschaft und Finanzen by Heinz Cremers( Book )

9 editions published between 2002 and 2011 in German and Undetermined and held by 41 WorldCat member libraries worldwide

Basiswissen Mathematik und Stochastik für Banker by Heinz Cremers( Book )

2 editions published between 1998 and 1999 in German and held by 34 WorldCat member libraries worldwide

Interpolation of discount factors by Heinz Cremers( )

4 editions published in 1996 in English and held by 21 WorldCat member libraries worldwide

Modellierung des Kreditrisikos im Einwertpapierfall by Heinz Cremers( )

2 editions published in 2009 in German and held by 20 WorldCat member libraries worldwide

Modellierung des Kreditrisikos im Portfoliofall by Heinz Cremers( )

2 editions published in 2009 in German and held by 20 WorldCat member libraries worldwide

Das IRB-Modell des Kreditrisikos im Vergleich zum Modell einer logarithmisch normalverteilten Verlustfunktion by Michael Vetter( )

2 editions published in 2008 in German and held by 19 WorldCat member libraries worldwide

Risikosteuerung mit Kreditderivaten unter besonderer Berücksichtigung von Credit Default Swaps by Heinz Cremers( )

2 editions published in 2007 in German and held by 19 WorldCat member libraries worldwide

Handlungsalternativen einer Genossenschaftsbank im Investmentprozess unter Berücksichtigung der Risikotragfähigkeit by Patrick Traughber( )

2 editions published in 2007 in German and held by 19 WorldCat member libraries worldwide

Einführung in die Optionspreisbestimmung by Heinz Cremers( )

3 editions published in 1999 in German and held by 18 WorldCat member libraries worldwide

Value-at-risk-Konzepte für Marktrisiken by Heinz Cremers( )

3 editions published in 1999 in German and held by 18 WorldCat member libraries worldwide

Wertsicherungsstrategien für das Asset-Management by Norbert Kluß( )

2 editions published in 2005 in German and held by 18 WorldCat member libraries worldwide

Deskription und Bewertung strukturierter Produkte unter besonderer Berücksichtigung verschiedener Marktszenarien( )

1 edition published in 2007 in German and held by 17 WorldCat member libraries worldwide

Beta als Risikomass eine Untersuchung am europäischen Aktienmarkt( )

1 edition published in 2000 in German and held by 17 WorldCat member libraries worldwide

Konvergenz der binomialen Optionspreismodelle gegen das Modell von Black, Scholes, Merton by Heinz Cremers( )

3 editions published in 2000 in German and held by 17 WorldCat member libraries worldwide

Ratingverfahren: Diskriminanzanalyse versus Logistische Regression by Daniel Braun( )

2 editions published between 2011 and 2012 in German and held by 17 WorldCat member libraries worldwide

The credit business is an essential part of each banks' activities. With regard to the increasing regulatory obligations, the risk management and the associated minimum capital requirements gain in importance. Banks have got the possibility to determine their credit risk by an internal rating system. It is current practice to make use of quantitative methods to develop the system. This paper will focus on rating systems calibrated using the discriminant analysis and the logistic regression. Both methods will be presented on a theoretical basis and will be applied in a practical testing. In the first step, the borrowers are divided into rating classes. In the second step, a default probability is determined for each of them. The paper will explore the two approaches and reveal the differences. -- Discriminant Analysis ; Logistic Regression ; Logit ; Rating ; Bankinternes Rating ; Probability of Default (PD) ; Basel II ; IRB-Ansatz ; Credit Risk
Analytik by Heinz Cremers( Book )

2 editions published between 2002 and 2011 in German and held by 7 WorldCat member libraries worldwide

Komponenten und Determinanten des Credit Spreads empirische Untersuchung während Phasen von Marktstress by Alexander Odermann( Book )

2 editions published in 2013 in German and held by 4 WorldCat member libraries worldwide

The credit crisis and the following sovereign debt crisis during 2007 and 2012 led to an increasing volatility of European corporate bond credit spreads. European investment grade credit spreads rose in 2007 and 2008 from 50 BP to over 350 BP. In the years after the credit spreads declined to 100 BP caused by global central bank interventions. Since 2010 the sovereign debt crisis in the eurozone intensified and credit spreads simultaneously widened to 200 BP. This paper defines the components of the credit spread by analysing different risk factors of corporate bonds such as credit risk, market risk and residual spread risk. To specify the proper credit spread level, various mesurement methods like the yield to maturity, zero rate, z-spread and credit default swaps are compared. To better understand the changes of credit spreads over time this paper further discusses the determining drivers of the credit spread. Backed by a theoretical framework the relevant drivers of the credit spread changes are the term structure of interest rates, the economic cycle, the enterprise value and the market liquidity. The credit spread drivers are empirically tested in a regression analysis using European investment grade corporate bond data during 2007 and 2012
Integration des Marktliquiditätsrisikos in das Risikoanalysekonzept des Value at Risk by Florian Völker( Book )

2 editions published in 2012 in German and held by 4 WorldCat member libraries worldwide

Most traditional Value at Risk models neglect market liquidity risk and hence only consider the market price risk (i.e. risk associated with holding a certain position). In order to fully capture the market risk associated to holding and trading a position, we first define market liquidity risk, its dimensions (tightness, depth, resiliency, immediacy) and causes (exogenous / endogenous). We then present and evaluate different liquidity-adjusted Value at Risk models which capture one or more dimensions of market liquidity risk and thereby present a more true view on the overall market risk. This paper also spotlights how Basel III regulation defines liquid assets, derived from the Liquidity Coverage Ratio (LCR) framework, and evaluates if this regulation adequately reflects market liquidity risk. We conclude that the LCR concept is flawed as the defined buckets of liquid assets do not reflect the true liquidity of certain assets. Furthermore it can be said that the defined buckets might result in heightened systematic risk as banks will focus on certain asset classes. Additionally the corporate fixed income sector might experience a crowding out as these assets will appear less rewarding to banks. -- Market Risk ; Market Liquidity Risk ; Market Microstructure ; Liquidityadjusted Value-at-Risk ; Basel III ; Liquidity Coverage Ratio ; Liquid Assets
Portfoliooptimierung mit Hedge-Fonds unter besonderer Berücksichtigung der Risikokomponente by Daniel Balthasar( Book )

2 editions published in 2002 in German and held by 3 WorldCat member libraries worldwide

Fixed income strategies for trading and for asset management by Heinz Cremers( Book )

3 editions published in 2012 in German and English and held by 2 WorldCat member libraries worldwide

 
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Audience Level
0
Audience Level
1
  Kids General Special  
Audience level: 0.90 (from 0.85 for Mathematik ... to 0.96 for Fixed inco ...)

Associated Subjects
Languages
German (43)

English (5)