Publications des institutions partenaires
Training moral sensitivity through video games: a review of suitable game mechanisms
The goal of this study is to support game designers in the selection and implementation of game mechanisms to promote players’ moral sensitivity. A lack of moral sensitivity may lead people to behave unethically, without awareness for their actions’ moral implications. In this study, we conduct a theory-based evaluation of 20 distinct game mechanisms in view of their potential to...
Institution partenaire
English / 20/07/2018
Kryptowährungen bieten Diversifikation : Die Kursbewegungen von Bitcoin & Co. weisen nahezu keinen Zusammenhang zu den etablierten Anlageklassen auf
Institution partenaire
Deutsch / 23/01/2018
Are ratings the worst form of credit assessment apart from all the others?
We present a prediction model to forecast corporate defaults. In a theoretical model, under incomplete information in a market with publicly traded equity, we show that our approach must outperform ratings, Altman’s Z-score, and Merton’s distance to default. We reconcile the statistical and structural approaches under a common framework, i.e., our approach nests Altman’s and Merton’s...
Institution partenaire
English / 01/01/2018
Rethinking large-scale economic modeling for efficiency: optimizations for GPU and Xeon Phi clusters
We propose a massively parallelized and optimized framework to solve high-dimensional dynamic stochastic economic models on modern GPU- and MIC-based clusters. First, we introduce a novel approach for adaptive sparse grid index compression alongside a surplus matrix reordering, which significantly reduces the global memory throughput of the compute kernels and maps randomly accessed...
Institution partenaire
English / 01/01/2018
Shareholder Risk Measures
The aim of this paper is to put forward a new family of risk measures that as the coherent/convex risk measures impose a preference order on random cash flows and can be interpreted as prices. But at the difference of the axiomatic approach of Artzner, Delbaen, Eber and Heath (1999) and the subsequent extensions of this model, our risk measures are associated with the optimal...
Institution partenaire
English / 01/01/2018
Sell in May and Go Away: The Evidence in the International Equity Index Futures Markets
Institution partenaire
English / 13/12/2017
Cumulative prospect theory and mean-variance analysis: a rigorous comparison
We propose a numerical optimization approach that can be used to solve portfolio selection problems including several assets and involving objective functions from cumulative prospect theory (CPT). Implementing the suggested algorithm, we compare asset allocations that are derived for CPT based on two different methods: maximizing CPT along the mean–variance efficient frontier so...
Institution partenaire
English / 01/12/2017
The Code is the Model
Conventionally, agent-based models are specified in a combination of natural language and mathematical terms, and their implementation seen as an afterthought. I challenge this view and argue that it is the source code that represents the model best, with natural language and mathematical descriptions serving as documentation. This modeling paradigm is inspired by agile software...
Institution partenaire
English / 01/12/2017
Die Ökonomie der Verpackung : Performance unterschiedlicher Immobilien-Anlagestrukturen im Vergleich
Institution partenaire
Deutsch / 15/11/2017
Buy and Hold – auch bei Fonds? : Der Swissinvest Immobilienfonds behauptet sich auf dem ersten Platz
Institution partenaire
Deutsch / 08/11/2017
Default ambiguity: credit default swaps create new systemic risks in financial networks
Institution partenaire
English / 01/11/2017
The Sovereign Debt Crisis: Rebalancing or Freezes?
Using high-frequency data we document that episodes of market turmoil in the European sovereign bond market are on average associated with large decreases in trading volume. The response of trading volume to market stress is conditional on transaction costs. Low transaction cost turmoil episodes are associated with volume increases (investors rebalance), while high transaction cost...
Institution partenaire
English / 30/10/2017
Capital Regulation and Credit Fluctuations
We provide a rationale for imposing counter-cyclical capital ratios on banks. In our simple model, bankers cannot pledge the entire future revenues to investors, which limits borrowing in good and bad times. Complete markets do not sufficiently stabilize credit fluctuations, as banks allocate too much borrowing capacity to good states and too little to bad states. As a consequence,...
Institution partenaire
English / 01/10/2017
Shadow banking and competition: Decomposing market power by activity
The term “shadow banking” refers to credit intermediation performed outside the regulated perimeter of traditional lenders. Banks, however, do play a significant role in it. The authors review the origins and characteristics of the shadow banking system, investigate how banks control various steps of the securitization process, and analyze the nexus with competition. They use a...
Institution partenaire
English / 29/09/2017
Autoregressive Lag-Order Selection Using Conditional Saddlepoint Approximations
A new method for determining the lag order of the autoregressive polynomial in regression models with autocorrelated normal disturbances is proposed. It is based on a sequential testing procedure using conditional saddlepoint approximations and permits the desire for parsimony to be explicitly incorporated, unlike penalty-based model selection methods. Extensive simulation results...
Institution partenaire
English / 19/09/2017
Portfolio Diversification and Systemic Risk in Interbank Networks
The recent credit crisis of 2007/08 has raised a debate about the so-called knife-edge properties of financial markets. The paper contributes to the debate shedding light on the controversial relation between risk-diversification and financial stability. We model a financial network where assets held by borrowers to meet their obligations, include claims against other borrowers and...
Institution partenaire
English / 01/09/2017
Strategic technology adoption and hedging under incomplete markets
We investigate the implications of technological innovation and non-diversifiable risk on entrepreneurial entry and optimal portfolio choice. In a real options model where two risk-averse individuals strategically decide on technology adoption, we show that the impact of non-diversifiable risk on the option timing decision is ambiguous and depends on the frequency of technological...
Institution partenaire
English / 01/08/2017
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