Christian Wiehenkamp

affiliation not provided to SSRN

SCHOLARLY PAPERS

7

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Scholarly Papers (7)

1.

A Call on Art Investments

Review of Derivatives Research, Vol. 15, No. 1, 2012.
Number of pages: 30 Posted: 17 Nov 2008 Last Revised: 20 Mar 2012
Roman Kräussl and Christian Wiehenkamp
Luxembourg School of Finance and affiliation not provided to SSRN
Downloads 778 (30,313)

Abstract:

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Art Market, Art Index, Alternative Investments, Option Pricing

2.

Art-Backed Lending: Implied Spreads and Art Risk Management

Number of pages: 37 Posted: 01 Apr 2008 Last Revised: 23 Mar 2009
Rachel A.J. Pownall and Christian Wiehenkamp
Tilburg University - Department of Finance and affiliation not provided to SSRN
Downloads 611 (41,941)

Abstract:

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Art Market, Credit Default Swaps, Risk Management

3.

Ambiguity and Reality

Swiss Finance Institute Research Paper No. 11-33, University of St.Gallen, School of Finance Research Paper No. 2014/18
Number of pages: 61 Posted: 30 Aug 2010 Last Revised: 27 Jan 2015
Fabio Trojani, Christian Wiehenkamp and Jan Wrampelmeyer
Swiss Finance Institute, affiliation not provided to SSRN and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 425 (66,359)

Abstract:

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Knightian Uncertainty, Model Risk, Ambiguity Aversion, Robust Econometrics, Portfolio Choice, Option Pricing

4.

A Global Liquidity Factor for Fixed Income Pricing

Number of pages: 36 Posted: 18 Dec 2008 Last Revised: 12 Aug 2009
Andreas Gintschel and Christian Wiehenkamp
JPMorgan and affiliation not provided to SSRN
Downloads 419 (67,479)

Abstract:

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Liquidity, Bond Market, Asset pricing, Factor Models

5.

Technical Note on Profit Sharing and Market-Consistent Embedded Value in German Life Insurance

Number of pages: 19 Posted: 22 Jun 2011 Last Revised: 02 Jul 2011
Christian Wiehenkamp
affiliation not provided to SSRN
Downloads 296 (100,422)

Abstract:

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life insurance, profit sharing, minimum guarantees, market-consistent embedded value

6.

Life Insurance and the Agency Conflict: An Analysis of Prudential Regulation to Guard Policyholders from Excessive Risk Taking

Number of pages: 47 Posted: 14 May 2010 Last Revised: 24 May 2010
Christian Wiehenkamp
affiliation not provided to SSRN
Downloads 193 (154,168)

Abstract:

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Solvency II, prudential regulation, agency conflict, market-consistent embedded value, life insurance valuation

7.

Internet Appendix for 'Ambiguity and Reality'

Number of pages: 38 Posted: 17 Feb 2013 Last Revised: 04 Dec 2014
Fabio Trojani, Christian Wiehenkamp and Jan Wrampelmeyer
Swiss Finance Institute, affiliation not provided to SSRN and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 62 (344,664)

Abstract:

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Knightian Uncertainty, Model Risk, Ambiguity Aversion, Robust Econometrics, Portfolio Choice, Option Pricing