Publications des institutions partenaires
"Moralische Intelligenz" in der medizinischen Praxis : Zur Nutzung moralpsychologischer Konstrukte und Messverfahren in klinischer Diagnostik und Weiterbildung
Der klinische Alltag konfrontiert Fachpersonen aus Medizin und Pflege regelmässig mit ethischen Problemen, die gemeinsam mit Patienten und deren Angehörigen angegangen werden müssen. Entsprechend sollte der Umgang mit ethischen Fragen Teil der Aus- und Weiterbildung von Fachpersonen sein, wobei dies meist Deliberation umfasst. Psychologische Kompetenzen werden durch diesen Ansatz…
Institution partenaire
Deutsch / 01/01/2016
Computing equilibria in dynamic stochastic macromodels with heterogeneous agents
Institution partenaire
English / 29/12/2015
Simple ε-equilibria in stochastic economies with overlapping generations
Institution partenaire
English / 29/12/2015
Do casinos pay their customers to become risk-averse? Revising the house money effect in a natural experiment
In order to promote risky behavior, it is a common practice that casinos incentivize their customers through the provision of free financial means, i.e., free play. Thereby, casino operators try to exploit what is known as the house money effect. However, evidence from the field is scarce and prior research provides explanations that predict different behavioral outcomes. This…
Institution partenaire
English / 07/12/2015
Wahlbörsen liefern überaus präzise Prognosen ausser in der Schweiz
Institution partenaire
Deutsch / 06/12/2015
A Generalized Bachelier Formula for Pricing Basket and Spread Options
In this paper we propose a closed-form pricing formula for European basket and spread options. Our approach is based on approximating the risk-neutral probability density function of the terminal value of the basket using a Gauss-Hermite series expansion around the Gaussian density. The new method is quite general as it can be applied for a basket with a large number of assets and…
Institution partenaire
English / 04/12/2015
A review of empirical resarch on the design and impact of regulation in the banking sector
We review existing empirical research on the design and impact of regulation in the banking sector. The impact of each individual piece of regulation may inexorably depend on the set of regulations already in place, the characteristics of the banks involved (from their size or ownership structure to operational idiosyncrasies in terms of capitalization levels or risk taking behavior…
Institution partenaire
English / 01/12/2015
The perennial challenge to counter Too-Big-to-Fail in banking: Empirical evidence from the new international regulation dealing with Global Systemically Important Banks
This paper provides evidence on how the new international regulation on Global Systemically Important Banks (G-SIBs) impacts the market value of large banks. We analyze the stock price reactions for the 300 largest banks from 52 countries across 12 relevant regulatory announcement and designation events. We observe that the new regulation negatively affects the value of the newly…
Institution partenaire
English / 01/12/2015
Bank loan announcements and borrower stock returns before and during the recent financial crisis
The impact of U.S. bank loan announcements on the stock prices of the corporate borrowers
has been decreasing during the two last decades with estimated two-day cumulative abnormal returns slipping from almost 200 basis points in the beginning of the 1980s to close to zero by the turn of the Century. We estimate excess returns before and after the onset of the most recent…
Institution partenaire
English / 01/12/2015
A Random Forests Based Performance Ratio for Regulatory Asset Portfolio Management and Optimization
The following paper proposes a portfolio performance measure to optimize, mostly bond asset portfolios usually held for regulatory purposes from a risk focused perspective. The measure is based on variations of the proximity measure introduced by the Random Forests framework, leading to a proximity based performance ratio. The proximities are modeled using a recursive conditional…
Institution partenaire
English / 04/11/2015
Scalable high-dimensional dynamic stochastic economic modeling
We present a highly parallelizable and flexible computational method to solve high-dimensional stochastic dynamic economic models. Solving such models often requires the use of iterative methods, like time iteration or dynamic programming. By exploiting the generic iterative structure of this broad class of economic problems, we propose a parallelization scheme that favors hybrid…
Institution partenaire
English / 01/11/2015
Liquidity Management in Banking: What is the Role of Leverage?
This paper examines potential impacts of banks' leverage on their incentives to manage their liquidity. We analyze a model where banks control their liquidity risk by managing their liquid asset positions. In the basic framework, a model with a single bank, where the possibility of selling long-term assets when in need of liquidity is not taken into account, we find that the…
Institution partenaire
English / 31/10/2015
The motives for financial complexity: An empirical investigation
This paper investigates the motives for financial complexity by focusing on a large market of investment products exclusively targeted to households. We develop a robust measure of complexity by performing a text analysis of the term sheets of 55,000 retail structured products issued in 17 European countries since 2002. We first find that the complexity of structured products has…
Institution partenaire
English / 09/10/2015
More than money: exploring the role of investment advisors for sustainable investing
Purpose – Investment advisors play a significant role in financial markets, yet the determinants of their behavior have not been explored in detail. The purpose of this paper is to explore the determinants of how actively advisors communicate about sustainable investing with their clients, and differences in the preferences of advisors compared to investors. Design/methodology/…
Institution partenaire
English / 08/09/2015
Collateral smile
We analyze the impact of funding costs and margin requirements on index options traded on the CBOE. Assuming differential borrowing and lending rates, we derive no-arbitrage bounds for European options. We show that funding costs and the CBOE’s margin requirements lead to a price increase, which translates into skew and smile patterns for implied volatility curves even under constant…
Institution partenaire
English / 01/09/2015
Detecting abnormal trading activities in option markets
We develop an econometric method to detect "abnormal trades" in option markets, i.e., trades which are not driven by liquidity motives. Abnormal trades are characterized by unusually large increments in open interest, trading volume, and option returns, and are not used for option hedging purposes. We use a multiple hypothesis testing technique to control for false…
Institution partenaire
English / 01/09/2015
Seiten
Le portail de l'information économique suisse
© 2016 Infonet Economy