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Funding shocks and banks' credit reallocation

This paper provides evidence on the strategic lending decisions made by banks facing a negative funding shock. Using bank-firm level credit data, we show that banks reallocate credit within their domestic loan portfolio in at least three different ways. First, banks reallocate to sectors where they have high sector presence. Second, they also reallocate to sectors in which they are…

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English / 06/12/2016

Gender bias and credit access

We extract an exogenous measure of gender bias from survey responses by descendants of U.S. immigrants on questions about the role of women in society. We then use data on around 6,000 small business firms from 17 countries and find that in high-gender-bias countries, female entrepreneurs are more likely to opt out of the loan application process and to resort to informal finance,…

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English / 01/12/2016

Old-age provision: past, present, future

This is a summary of the main topics and findings from the Swiss Risk and Insurance Forum 2015. That event gathered experts from academia, insurance industry, regulatory bodies, and consulting companies to discuss the past and current developments and necessary next steps for dealing with old-age provision. Topics include the pension funding gap, demographic and societal challenges,…

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English / 01/12/2016

A proximity based macro stress testing framework

In this a paper a non-linear macro stress testing methodology with focus on early warning is developed. The methodology builds on a variant of Random Forests and its proximity measures. It is embedded in a framework, in which naturally defined contagion and feedback effects transfer the impact of stressing a relatively small part of the observations on the whole dataset, allowing to…

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English / 01/11/2016

The multiplex network of EU lobby organizations

The practice of lobbying in the interest of economic or social groups plays an important role in the policy making process of most economies. We carry out a multi-level network analysis of the relations among lobbying organizations in the EU transparency register, focusing on the domain of finance and climate. We find that the network centrality of organizations has no simple…

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English / 28/10/2016

Particle Filtering, Learning, and Smoothing for Mixed-Frequency State-Space Models

We propose a general particle filtering and learning framework for mixed-frequency state-space models. Our mixed-frequency particle methods use a smoother so as to draw the Bayesian in- ference from low-frequency observations. Our forward smoother is simple and efficient, and the sample path degeneracy is negligible with a small lag size. The backward smoother mitigates the sample…

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English / 25/10/2016

Pricing contract terms in a crisis: Venezuelan bonds in 2016

As of this writing in June 2016, the markets are predicting Venezuela to be on the brink of default. On June 1, 2016, the 6 month CDS contract traded at about 7000bps which translates into a likelihood of default of over 90%. Our interest in the Venezuelan crisis is that its outstanding sovereign bonds have a unique set of contractual features that, in combination with its near-…

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English / 01/10/2016

Securitization and lending standards: Evidence from the European wholesale loan market

We assess the effect of securitization activity on banks’ lending rates employing a uniquely detailed dataset from the euro-denominated syndicated loan market. We find that, in the run up to the 2007-2009 crisis banks that were more active at originating asset-backed securities did not price their loans more aggressively (i.e. with narrower lending spreads) than less-active banks.…

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English / 01/10/2016

Der Verwaltungsrat zwischen Regulierung und Marktdisziplin

Die Verwaltungsräte börsenkotierter Unternehmen stehen zunehmend aktiveren und kritischeren Investoren gegenüber. Gleichzeitig häufen sich regulatorische Anforderungen. Der Artikel beleuchtet anhand einer empirischen Analyse den Verwaltungsrat im Spannungsfeld zwischen Regulierung und Marktdisziplin.

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Deutsch / 09/09/2016

The price of complexity in financial networks

Financial institutions form multilayer networks by engaging in contracts with each other and by holding exposures to common assets. As a result, the default probability of one institution depends on the default probability of all of the other institutions in the network. Here, we show how small errors on the knowledge of the network of contracts can lead to large errors in the…

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English / 06/09/2016

Prefrontal connections express individual differences in intrinsic resistance to trading off honesty values against economic benefits

Individuals differ profoundly when they decide whether to tell the truth or to be dishonest, particularly in situations where moral motives clash with economic motives, i.e., when truthfulness comes at a monetary cost. These differences should be expressed in the decision network, particularly in prefrontal cortex. However, the interactions between the core players of the decision…

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English / 23/08/2016

Leveraging the network: a stress-test framework based on DebtRank

We develop a novel stress-test framework to monitor systemic risk in financial systems. The modular structure of the framework allows to accommodate for a variety of shock scenarios, methods to estimate interbank exposures and mechanisms of distress propagation. The main features are as follows. First, the framework allows to estimate and disentangle not only first-round effects (i.e…

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English / 19/08/2016

Is there Swissness in investment decision behavior and investment competence?

Based on a large international survey, we analyze how German-, French-, and Italian-speaking residents of Switzerland differ in their investment decision behavior and investment competence compared to their closest neighbors abroad who speak the same language. Although language may be closer to the individual self than country of residence, we find that there are greater similarities…

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English / 01/08/2016

Formal, informal or co-funding? Evidence on the co-funding of Chinese firms

Different modes of external finance provide heterogeneous benefits for the borrowing firms. Informal finance offers informational advantages whereas formal finance is scalable. Using unique survey data from China, we find that informal finance is associated with higher sales growth for small firms but lower sales growth for large firms. We identify a complementary effect between…

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English / 01/07/2016

Option-Implied Intra-Horizon Risk and First-Passage Disentanglement

We study the intra-horizon value at risk (iVaR) in a general jump diffusion setup and propose a new model of asset returns called displaced mixed-exponential model, which can arbitrarily closely approximate finite-activity jump-diffusions and completely monotone Levy processes. We derive analytical results for the iVaR and disentangle the risk contribution of jumps from diffusion.…

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English / 29/06/2016

Network Valuation in Financial Systems

We introduce a network valuation model (hereafter NEVA) for the ex-ante valuation of claims among financial institutions connected in a network of liabilities. Similar to previous work, the new framework allows to endogenously determine the recovery rate on all claims upon the default of some institutions. In addition, it also allows to account for ex-ante uncertainty on the asset…

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English / 14/06/2016

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