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• "Zero Coupon Yield Curve Estimation with the Package termstrc", Ferstl, Hayden, 2010

  Publication

  Since zero-coupon rates are rarely directly observable, they have to be estimated from market data. In this paper we review several widely-used...

  Publication on epub.uni-regensburg.de: "Zero Coupon Yield Curve Estimation with the Package termstrc" (external link, opens in a new window)

• "Flexing the default barrier", Dorfleitner, Schneider, Veza, 2011

  Publication

  The paper introduces a Black-Cox-type structural model for credit default swaps (CDS). The existing literature on structural CDS pricing is extended...

  Publication on epub.uni-regensburg.de: "Flexing the default barrier" (external link, opens in a new window)

• "Asset-liability management under time-varying investment opportunities", Ferstl, Weissensteiner, 2011

  Publication

  Stochastic linear programming is a suitable numerical approach for solving practical asset-liability management problems. In this paper, we consider a...

  Publication on epub.uni-regensburg.de: "Asset-liability management under time-varying investment opportunities" (external link, opens in a new window)

• "Microcredit as an Asset Class: Structured Microfinance", Dorfleitner, Leidl, Priberny, 2011

  Publication

  Publication on epub.uni-regensburg.de: "Microcredit as an Asset Class: Structured Microfinance" (external link, opens in a new window)

• "Risk capital allocation for RORAC optimization", Buch, Dorfleitner, Wimmer, 2011

  Publication

  This paper considers the financial optimization problem of a firm with several sub-businesses striving for its optimal RORAC. An insightful example...

  Publication on epub.uni-regensburg.de: "Risk capital allocation for RORAC optimization" (external link, opens in a new window)

• "Kleine Kredite, große Rendite?Zur Refinanzierung von Mikrokrediten", Dorfleitner, Leidl, 2011

  Publication

  Blick in die Wissenschaft

  Publication on epub.uni-regensburg.de: "Kleine Kredite, große Rendite? Zur Refinanzierung von Mikrokrediten" (external link, opens in a new window)

• "Theory of social returns in portfolio choice with application to microfinance", Dorfleitner, Leidl, Reeder, 2012

  Publication

  We complement the Markowitz portfolio theory by adding a social dimension. Every asset is assigned a social return, which is generally modeled as...

  Publication on epub.uni-regensburg.de: "Theory of social returns in portfolio choice with application to microfinance" (external link, opens in a new window)

• "On the diversification benefits of commodities from the perspective of euro investors", Belousova, Dorfleitner, 2012

  Publication

  This paper investigates the diversification contribution of several commodities to a portfolio of traditional assets from the perspective of a euro...

  Publication on epub.uni-regensburg.de: "On the diversification benefits of commodities from the perspective of euro investors" (external link, opens in a new window)

• "The effect of the Japan 2011 disaster on nuclear and alternative energy stocks worldwide: An event study", Ferstl, Utz, Wimmer, 2012

  Publication

  This event study investigates the impact of the Japanese nuclear disaster in Fukushima-Daiichi on the daily stock prices of German, French, Japanese...

  Publication on epub.uni-regensburg.de: "The effect of the Japan 2011 disaster on nuclear and alternative energy stocks worldwide: An event study" (external link, opens in a new window)

• "Specification risk and calibration effects of a multi-factor credit portfolio model", Dorfleitner, Fischer, Geidosch, 2012

  Publication

  Journal of Fixed Income

  Publication on epub.uni-regensburg.de: "Specification risk and calibration effects of a multi-factor credit portfolio model" (external link, opens in a new window)