Publications des institutions partenaires
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...
Institution partenaire
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,...
Institution partenaire
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,...
Institution partenaire
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...
Institution partenaire
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...
Institution partenaire
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...
Institution partenaire
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-...
Institution partenaire
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....
Institution partenaire
English / 01/10/2016
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...
Institution partenaire
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...
Institution partenaire
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...
Institution partenaire
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...
Institution partenaire
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...
Institution partenaire
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....
Institution partenaire
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...
Institution partenaire
English / 14/06/2016
Risky utilities
We develop a theory of "risky utilities", i.e., private firms that manage an infrastructure for public service and that may be tempted to engage in excessively risky activities, such as reducing maintenance expenditures (at the risk of provoking a breakdown of the system) or in speculation (at the risk of incurring massive losses it cannot bear). These risky utilities...
Institution partenaire
English / 01/06/2016
Do we measure overconfidence? A closer look at the interval production task
The most common test for overconfidence in the form of miscalibration—the Interval Production task (IP)—is based on the assumption that people internalize requested confidence levels. We demonstrate experimentally that decision makers’ perceived confidence is, however, unaffected by variations in the requested confidence level. In addition, we find large heterogeneity in perceived...
Institution partenaire
English / 20/05/2016
The Impact of Merger Legislation on Bank Mergers
We find that stricter merger control legislation increases abnormal announcement returns of targets in bank mergers by 7 percentage points. Analyzing potential explanations for this result, we document an increase in the pre-merger profitability of targets, a decrease in the size of acquirers and a decreasing share of transactions in which banks are acquired by other banks. Other...
Institution partenaire
English / 18/05/2016
Foreign Ownership and Market Power in Banking: Evidence from a World Sample
The nexus between ownership and competition in the banking sector is a major concern to policymakers around the world but one that is rarely comprehensively examined. For 131 countries and 13 years we match bank ownership with over 50,000 bank-year estimates of individual bank market power. We find that ownership does not explain market power at the individual bank level. However, at...
Institution partenaire
English / 01/04/2016
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