Hintergrundrisiken und die Bewertung von Finanztiteln

Applicant Professor Dr. Günter Franke

Subject Area Accounting and Finance

Term from 2003 to 2011

Project identifier Deutsche Forschungsgemeinschaft (DFG) - Project number 5470460

Final Report Year 2010

Final Report Abstract

No abstract available

(2004): Background Risk and the Demand for State Contingent Claims. Economic Theory, vol. 23, 321-335
Franke, G., Stapleton, R. und Subrahmanyam, M. G.
(See online at https://doi.org/10.1007/s00199-003-0368-1)
(2005): Option Prices under Generalized Pricing Kernels. Review of Derivatives Research 8, 97 -123
During, B., und Lüders, E.
(See online at https://doi.org/10.1007/s11147-005-3852-x)
(2006): Default risk sharing between banks and markets. The contribution of collateralized loan obligations. The Risks of Financial Institutions, NBER, ed. by M. Carey and R. Stulz, University of Chicago Press, 603-631
Franke, G. und Krahnen, J.
(See online at https://doi.org/10.7208/9780226092980-015)
(2006): Multiplicative Background Risk, Management Science 52, 146-153
Franke, G., Schlesinger, H. und Stapleton, R.
(See online at https://doi.org/10.1287/mnsc.1050.0450)
(2010): Return Predictability and Stock Market Crashes in a Simple Rational Expectations Model. Advances in Decision Sciences
Franke, G. und Lüders, E.