Publications des institutions partenaires
601 - 620 of 763
Allgegenwart der Finanzen: «Geld regiert die Welt»
Gedanken aus der Abschiedsvorlesung zum Thema «Geld
und Geist – oder: Von Mäusen und Menschen», gehalten am
22. Mai 2008 an der Universität Zürich.
Institution partenaire
Deutsch / 01/08/2008
Für den Finanzplatz Schweiz bin ich optimistisch
Institution partenaire
Deutsch / 25/07/2008
Regulierung ist etwas wert, auch wenn sie hart ist
Wegen der Finanzkrise fordert die Schweizer
Bankenaufsicht EBK, dass UBS und
Credit Suisse ihre Eigenmittel massiv aufstocken,
damit die beiden Banken zukünftig über ein dickeres Risikopolster verfügen. Über Sinn und Unsinn einer
Leverage Ratio ist eine intensive Diskussion entbrannt. Der abtretende Universitätsprofessor Rudolf Volkart befürwortet
eine…
Institution partenaire
Deutsch / 12/07/2008
The persistence of financial performance and the competitive advantage period: an empirical analysis
Institution partenaire
English / 01/07/2008
A new marked point process model for the federal funds rate target: methodology and forecast evaluation
Institution partenaire
English / 01/07/2008
A smolyak collocation algorithm for an international real business cycle model
We describe a sparse grid collocation algorithm to compute recursive solutions of dynamic economies with a sizable number of state variables. We show how powerful this method may be in applications by computing the nonlinear recursive solution of an international real business cycle model with a substantial number of countries, complete insurance markets and frictions that impede…
Institution partenaire
English / 28/06/2008
Die UBS muss ihre Bilanz halbieren
Der Zürcher Bankenprofessor Hans Geiger hält komplexere Regeln für die Bankenaufsicht für überflüssig, radikale Einschnitte aber für notwendig.
Institution partenaire
Deutsch / 20/06/2008
Second-order stochastic dominance, reward-risk portfolio selection, and the CAPM
Starting from the reward-risk model for portfolio selection introduced in De Giorgi (2004), we derive the reward-risk Capital Asset Pricing Model (CAPM) analogously to the classical mean-variance CAPM. The reward-risk portfolio selection arises from an axiomatic definition of reward and risk measures based on few basic principles, including consistency with second order stochastic…
Institution partenaire
English / 01/06/2008
Occupational choice and the spirit of capitalism
The British Industrial Revolution triggered a socioeconomic transformation whereby the landowning aristocracy was replaced by industrial capitalists rising from the middle classes as the economically dominant group. We propose a theory of preference formation under financial-market imperfections that can account for this pattern. Parents shape their children’s preferences in response…
Institution partenaire
English / 01/05/2008
A GARCH option pricing model with filtered historical simulation
We propose a new method for pricing options based on GARCH models with filtered historical innovations. In an incomplete market framework, we allow for different distributions of historical and pricing return dynamics, which enhances the model's flexibility to fit market option prices. An extensive empirical analysis based on S&P 500 index options shows that our model…
Institution partenaire
English / 01/05/2008
Globally evolutionarily stable portfolio rules
hort-run equilibrium of supply and demand. Assets pay dividends that are partially consumed and partially
reinvested. The traders use fixed-mix investment strategies (portfolio rules), distributing their wealth between
assets in fixed proportions. Our main goal is to identify globally evolutionarily stable strategies, allowing an
investor to “survive,” i.e., to…
Institution partenaire
English / 01/05/2008
Leading by example
Luca Taschini outlines how collaboration between the academic and the business world has helped one company in the cement industry to tackle the EU emissions trading scheme.
Institution partenaire
English / 01/04/2008
Assessing and managing operational risk with a special emphasis on terrorism risk
The objective of this thesis is to consider different risk
management issues in relation to operational risk with a special emphasis on terrorism risk. Our motivation to implement research in this particularly challenging area of risk management is due to the increasing magnitude of operational losses over the last decade and their negative effect on financial industry. This…
Institution partenaire
English / 01/04/2008
Valuation of default-sensitive claims under imperfect information
We propose a valuation method for financial assets subject to default risk, where investors cannot observe the state variable triggering the default but observe a correlated price process. The model is sufficiently general to encompass a large class of structural models and can be seen as a generalization of the model of Duffie and Lando (Econometrica 69:633–664, [2001]). In this…
Institution partenaire
English / 01/04/2008
Finanzmärkte brauchen eine klarere Sprache: unangemessene Strukturen und unvollständige Informationen
Der Dimension der Märkte und der Grösse der Institutionen nicht angemessene Strukturen, unvollständige Informationen über Positionen und Risiken sowie nicht adäquate Anreizstrukturen haben in eine tiefe Finanzkrise geführt. Die Rückkehr zur Normalität könnte Jahre dauern und wird teuer zu stehen kommen.
Institution partenaire
Deutsch / 22/03/2008
Hin und Her macht die Taschen leer
Das A und O beim Investieren ist, systematisch vorzugehen. Wer
dies unterlässt, tappt schnell in eine psychologische Falle und muss die Konsequenzen tragen. Deshalb verlassen sich viele Anleger bei der Suche nach der richtigen Strategie auf den Rat von Vermögensverwaltern. Jedoch beraten heute noch immer einige von ihnen auf Basis von Konzepten aus den fünfziger Jahren.…
Institution partenaire
Deutsch / 17/03/2008
Stock options and managers’ incentives to cheat
This paper develops a continuous-time real options’ pricing model to study managers’ incentives to cheat in the presence of equity-based compensation plans. It shows that managers’ incentives to cheat are strongly influenced by the efficiency of the justice. The model’s main result is that managers have greater incentives to commit fraudulent actions under stock options than under…
Institution partenaire
English / 16/03/2008
Liquidity management and overnight rate calendar effects: Evidence from German banks
We document a general pattern in the euro area overnight interbank rate (EONIA) and analyze how German banks compared to other EMU banks respond to these predictable changes in the price for reserve holdings. At the beginning of the maintenance period, when the EONIA is typically above average, we observe that German banks hold substantially less reserves than their daily average…
Institution partenaire
English / 01/03/2008
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