Economic Risk Seminar

Systemic Risk Spillovers in the European Banking and Sovereign Network

Speaker(s): 
Melanie Schienle (Hannover)
Date: 
Monday, November 10, 2014 - 2:00pm
Location: 
Spandauer Straße 1, Room 23

We propose a framework for estimating network-driven time-varying systemic risk contributions that is applicable to a high-dimensional financial system. Tail risk dependencies and contributions are estimated based on a penalized two-stage fixed-effects quantile approach, which explicitly links bank interconnectedness to systemic risk contributions. The framework is applied to a system of 51 large European banks and 17 sovereigns through the period 2006 to 2013, utilizing both equity and CDS prices.

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Speaker(s): 
Marcel Prokopczuk (Zeppelin University)
Date: 
Monday, November 3, 2014 - 2:00pm
Location: 
Spandauer Straße 1, Room 23

Semiparametric GEE Analysis in Partially Linear Single-Index Models for Longitudinal Data

Speaker(s): 
Jia Chen (York)
Date: 
Monday, October 27, 2014 - 2:00pm
Location: 
Spandauer Straße 1, Room 23

We study a partially linear single-index model for longitudinal data under a general framework which includes both the sparse and dense longitudinal data cases. A semiparametric estimation method based on the combination of the local linear smoothing and generalized estimation equations (GEE) is introduced to estimate the two parameter vectors as well as the unknown link function.

Managerial Short-Termism and Investment: Evidence from Accelerated Option Vesting

Speaker(s): 
Zacharias Sautner (Frankfurt School of Finance & Management)
Date: 
Thursday, October 23, 2014 - 2:00pm
Location: 
Spandauer Straße 1, Room 23

We show that executives with more short-term incentives engage in myopic behavior by reducing investment. We document this effect by exploiting a unique event, in which more than 700 firms accelerated the vesting periods on executive stock options to avoid an accounting expense under FAS 123‐R. This led to a substantial decrease in executives' incentives--at accelerating firms 52% of unvested equity became immediately exercisable, and CEOs responded with a significant increase in both option exercises and equity sales.

Students Presentation

Date: 
Monday, July 14, 2014 - 2:00pm
Location: 
Spandauer Straße 1, Room 23

Intermediation and Innovation

Speaker(s): 
Peter MacKay (HKUST)
Date: 
Thursday, July 10, 2014 - 2:00pm
Location: 
Spandauer Straße 1, Room 220

We propose a model of research and development (“innovation”) under costly external finance. In the research stage, the entrepreneur draws on human capital to raise the base productivity of an endowed project before seeking funds from uninformed investors. True base productivity (and the implied optimal research effort) can be conveyed to investors by incurring a fixed cost. In the development stage, the entrepreneur allocates scarce financial capital between the base project and its risky enhancement.

Playing the devil's advocate: The causal effect of risk management on loan quality

Speaker(s): 
Tobias Berg (Universität Bonn)
Date: 
Monday, June 30, 2014 - 2:00pm
Location: 
Spandauer Straße 1, Room 23

Casual observation suggests that most banks do not try to align loan officer incentives with those of the bank (i.e. to grant positive NPV loans). Instead, they deliberately assign opposing incentives to loan officers (loan volume) and risk management (risk). Decisions are then driven by competition of loan officers and risk management trying to defend their particular causes. Using 75,000 retail mortgage applications at a major European bank from 2008-2011, I analyze the effect of risk management involvement on loan default rates.

Sorting Multidimensional Types: Theory and Application

Speaker(s): 
Ilse Lindenlaub (EU Institute)
Date: 
Monday, June 16, 2014 - 2:00pm
Location: 
Spandauer Straße 1, Room 23

Payment Conversion Optimisation and Quantitative Methods and Business

Speaker(s): 
Andreas Antrup (Head of Data Intelligence at Zalando GmbH)
Date: 
Monday, June 2, 2014 - 2:00pm
Location: 
Spandauer Straße 1, Room 23

(1) Empirical Performance of Reduced-Form Models for Emission Permit Prices (2) Oil Prices and the Macroeconomy in General Equilibrium

Speaker(s): 
Steffen Hitzemann
Date: 
Monday, May 26, 2014 - 2:00pm
Location: 
Spandauer Straße 1, Room 23

(1) The design of environmental trading systems induces specific features of the emission permit price dynamics. We evaluate the performance of reduced-form models for emission markets that capture these features in a simplified way and are still feasible for calibration to permit spot, futures, and option prices.

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