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Dive into the research topics where Marc Gürtler is active.

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Featured researches published by Marc Gürtler.


Journal of Banking and Finance | 2013

Improvements in Loss Given Default Forecasts for Bank Loans

Marc Gürtler; Martin Hibbeln

An accurate forecast of the parameter loss given default (LGD) of loans plays a crucial role for risk-based decision making by banks. We theoretically analyze problems arising when forecasting LGDs of bank loans that lead to inconsistent estimates and a low predictive power. We present several improvements for LGD estimates, considering length-biased sampling, different loan characteristics depending on the type of default end, and different information sets according to the default status. We empirically demonstrate the capability of our proposals based on a data set of 69,985 defaulted bank loans. Our results are not only important for banks, but also for regulators, because neglecting these issues leads to a significant underestimation of capital requirements.


Journal of Risk and Insurance | 2013

Accuracy of Premium Calculation Models for CAT Bonds—An Empirical Analysis

Marcello Galeotti; Marc Gürtler; Christine Winkelvos

CAT bonds are of significant importance in the field of alternative risk transfer. Since the market of CAT bonds is not complete, the application of an appropriate pricing model is of high relevance. We apply different premium calculation models in order to compare them with regard to their predictive power. Without taking the financial crisis into account, a version of the Wang transformation model and the linear model are the most accurate ones. In contrast, under consideration of the financial crisis, all analyzed models are approximately equivalent. Furthermore, we find that CAT bond specific information does not improve out-of-sample results.


Journal of Risk and Insurance | 2014

The Impact of the Financial Crisis and Natural Catastrophes on CAT Bonds

Marc Gürtler; Martin Hibbeln; Christine Winkelvos

CAT bonds are important instruments for the insurance of catastrophe risk. Due to a low degree of deal standardization, there is uncertainty about the determination of the CAT bond premium. In addition, it is not apparent how CAT bonds react after the financial crisis or a natural catastrophe. We empirically verify which factors determine the CAT bond premium and what effects arise if a catastrophe occurs. On a broad data set using secondary market premiums we find strong evidence that the recent financial crisis has a significant impact on CAT bond premiums. Furthermore, we find that after hurricane Katrina an increased risk perception for hurricanes can be observed.


Journal of Risk | 2010

Measuring concentration risk for regulatory purposes

Marc Gürtler; Martin Hibbeln; Clemens Vöhringer

The measurement of concentration risk in credit portfolios is necessary for the determination of regulatory capital under Pillar 2 of Basel II as well as for managing portfolios and allocating economic capital. Existing multi-factor models that deal with concentration risk are often inconsistent with the Pillar 1 capital requirements. Therefore, we adjust these models to achieve Basel II-compliant results. Within a simulation study we test the impact of sector concentrations on several portfolios and contrast the accuracy of the different models. In this context, we also compare Value at Risk and Expected Shortfall regarding their suitability to assess concentration risk.


Journal of Risk and Insurance | 2016

The Impact of the Financial Crisis and Natural Catastrophes on CAT Bonds: The Impact of the Financial Crisis and Natural Catastrophes on CAT Bonds

Marc Gürtler; Martin Hibbeln; Christine Winkelvos

This article employs secondary market data to examine how natural catastrophes or financial crises affect CAT bond premiums. We find evidence that both the financial crisis and Hurricane Katrina significantly affected CAT bond premiums. The premium increase resulting from natural catastrophes can primarily be attributed to an increased coefficient of expected loss calculated by catastrophe modeling companies. Furthermore, our results indicate a positive relationship between corporate spreads and CAT bond premiums. Thus, CAT bonds should not be regarded as “zero�?beta�? securities. Moreover, our results indicate that deal complexity, ratings, and the reinsurance cycle are significant drivers of CAT bond premiums.


Archive | 2009

Shortcomings of a parametric VaR approach and nonparametric improvements based on a non-stationary return series model

Marc Gürtler; Ronald Rauh

A non-stationary regression model for financial returns is examined theoretically in this paper. Volatility dynamics are modelled both exogenously and deterministic, captured by a nonparametric curve estimation on equidistant centered returns. We prove consistency and asymptotic normality of a symmetric variance estimator and of a one-sided variance estimator analytically, and derive remarks on the bandwidth decision. Further attention is paid to asymmetry and heavy tails of the return distribution, implemented by an asymmetric version of the Pearson type VII distribution for random innovations. By providing a method of moments for its parameter estimation and a connection to the Student-t distribution we offer the framework for a factor-based VaR approach. The approximation quality of the non-stationary model is supported by simulation studies.


European Journal of Finance | 2006

Performance Evaluation, Portfolio Selection, and HARA Utility

Wolfgang Breuer; Marc Gürtler

Absract The main goal of this work is the generalization of the approach of Jobson and Korkie for funds performance evaluation. Therefore, the paper considers the portfolio selection problem of an investor who faces short sales restrictions when choosing among F different investment funds and assumes the investor’s utility function to be of the HARA type. A performance measure is developed and its relationship to previously proposed measures is discussed. Particular attention is given to the special case of cubic utility implying skewness preferences. Findings are illustrated by an empirical example.


The Journal of Fixed Income | 2010

A Capability Study of Portfolio Insurance Strategies for ABS Funds and CDS Total Return Indices during the Subprime Crisis

Stefan Ehlers; Marc Gürtler

Classic portfolio insurance theory analyzes combinations of one risky asset and one risk-free asset under a certain rule of trading. Due to a specified investment horizon an investor has the choice between static strategies on the one hand and dynamic insurance strategies on the other hand. Motivated by the downturn movement of the asset-backed and mortgage-backed securities markets and the rise of credit spreads during the subprime crisis starting in 2007, the authors focus on constant mix and stop-loss strategies as well as on constant-proportion portfolio insurance and its derivative time-invariant proportion portfolio, which are well accepted in theory and practice. The authors benchmark these strategies against a standard buy-and-hold portfolio and provide information on the capability of these strategies when managing European ABS, CDS total return index, and equity indices with respect to an investors risk appetite and risk awareness. The results support the conclusion that managing these asset classes and treating them as risky assets within active portfolio management strategies could have led to a significantly and nonrandom higher terminal portfolio wealth, allowing institutional investors to benefit from dynamic strategies even if they incorporate aggressive leverages.


Archive | 2010

Financial crises and information transfer: An empirical analysis of the lead-lag relationship between equity and CDS iTraxx Indices

Stefan Ehlers; Marc Gürtler; Sven Olboeter

This study examines the lead-lag-relationship between European equity and CDS markets in the context of the financial crisis. Previous research identified the stock market to lead the CDS market in an ordinary economic environment. Against the background of our study this lead-lag-relationship strengthens when moving from the non-crisis- to the crisisscenario on a daily as well as on a weekly basis. Hence, we conclude that information transfer from stock to CDS markets widens during the financial crisis. In addition and in contrast to the literature we find an extraordinary day-of-the-week-effect on weekly returns as an anomaly for information processing.


Archive | 2016

Informational Synergies in Consumer Credit

Martin Hibbeln; Lars Norden; Piet Usselmann; Marc Gürtler

Lenders can consider multiple sources of private information to assess consumer credit risk but little is known about the informational synergies between these sources. Using more than 1.7 million observations from checking accounts and credit card accounts of the same individuals during 2007-2014, we find that activity from both accounts contains information beyond credit scores and other controls. Checking accounts display warning indications earlier and more accurately than credit card accounts. Type I default prediction errors decrease by 33% when lenders consider information from both sources. The evidence suggests sizeable informational synergies that lenders can exploit to manage credit relationships.

Collaboration


Dive into the Marc Gürtler's collaboration.

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Martin Hibbeln

University of Duisburg-Essen

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Dirk Heithecker

Braunschweig University of Technology

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Clemens Vöhringer

Braunschweig University of Technology

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Franziska Feilke

Braunschweig University of Technology

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Jens-Peter Kreiss

Braunschweig University of Technology

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Julia Stolpe

Braunschweig University of Technology

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Stefan Ehlers

Braunschweig University of Technology

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