Cooperation workshop with investment professionals


Type Congress Organisation

Duration March 1, 2001 - July 1, 2002

  • Finance and Financial Markets AE (Former organization)

Tags

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  • Loistl, Otto (Details) Project Head
  • Veverka, Alexander (Former researcher)
 

Abstract (German)

Ziel dieses Workshops ist die Lösung aktueller Problemstellungen der Investmentbank Dresdner Kleinwort Wasserstein (DrKW). Durch das Zusammenspiel von Investment Professionals, wissenschaftlichen Mitarbeitern und Studenten des IFM werden durch die Bereitstellung der Entwicklungswerkzeuge (z.B. das Softwarepaket CreditManager TM 2.5.3) seitens der Dresdner Bank vier Themengebiete bearbeitet. Lösungsvorschläge der Arbeitsgruppen werden zu den Themen Risikoarbitrage am Beispiel Deutsche Telekom/Voicestream, Credit Portfolio Management, Asset Backed Securities und Risikocontrolling (Transforming realized spot data into volatility surfaces) erarbeitet und dokumentiert.


Abstract (English)

This workshop aims at generating solutions for current issues at Dresdner Kleinwort Wasserstein (DrKW). Our external partner supported the Cooperation between Investment Professionals, scientists and students technically and financially. For instance, the software package Credit Manager 2.5.3 was available during the entire period of cooperation. Advancements are achieved and documented regarding the issues of riskarbitrage in a case study between Deutsche Telekom/Voicestream, credit portfolio management, asset backed securities and riskcontrolling (transforming realized spot data into volatility surfaces).

Partners

Publications

Journal article

2002 Lankenau, K./ Veverka, A. / Kabon, A. / Qureshi, J. / Reiter, S. / Sovic, S. / Stuppnig, A.. 2002. Credit Portfolio Management to Enhance Profits. Impact of Rating Changes, Recovery Rate and Correlation on Credit Risk. Finanz Betrieb, 4, 7/8, 455-467 (Details)

Classification

Expertise

  • riskcontrolling
  • asset backed securities
  • riskarbitrage
  • credit portfolio management