infonet-economy

This book chapter develops a mulit-layered privacy interaction framework to account for the social embeddedness of online privacy. Drawing on Urie Bronfenbrenner's ecological systems theory, we analyze informational privacy on the Internet on four layers: the micro-system, the exo-system, the meso-system and the macro-system. The micro-system encompasses the individual and its...

This paper analyzes the equity risk module of Solvency II, the new regulatory framework in the European Union. The equity risk module contains a symmetric adjustment mechanism called equity dampener which shall reduce procyclicality of capital requirements and thus systemic risk in the insurance sector. We critically review the equity risk module in three steps: we first analyze the...

This paper reviews the extant research on systemic risk in the insurance sector and outlines new areas of research in this field. We summarize and classify 43 theoretical and empirical research papers from both academia and practitioner organizations. The survey reveals that traditional insurance activity in the life, non-life, and reinsurance sectors neither contributes to systemic...

We study retail deposit withdrawals from commercial banks which were
differentially exposed to distress during the 2007-2009 financial crisis. We show that the propensity of households to withdraw deposits increases with the severity of bank distress. Withdrawal risk is, however, substantially mitigated by strong bank-client relationships. Considering the most distressed bank...

We define risk spillover as the dependence of a given asset variance on the past covariances and variances of other assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an international equity portfolio. According to the risk management strategy proposed, portfolio risk is seen as a specific combination of daily...

Does after-school care provision promote mothers' employment and balance the allocation of paid work among parents of schoolchildren? We address this question by exploiting variation in cantonal (state) regulations of after-school care provision in Switzerland. To establish exogeneity of cantonal regulations with respect to employment opportunities and preferences of the...

Modeling natural gas futures prices is essential for valuation purposes as well as for hedging strategies in energy risk management. We present a general multi-factor affine diffusion model which incorporates the joint stylized features of both spot and futures prices. The model is brought into state space form on which Kalman filter techniques are applied to evaluate the maximum...

Standard sample selection models with non-randomly censored outcomes assume (i) an exclusion restriction (i.e., a variable affecting selection, but not the outcome) and (ii) additive separability of the errors in the selection process. This paper proposes tests for the joint satisfaction of these assumptions by applying the approach of Huber and Mellace (2011) (for testing instrument...