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Eine spieltheoretische Analyse von Zulieferer-Abnehmer-Beziehungen auf Basis des JELS-Modells
(2001)
Evaluating the quality of credit portfolio risk models is an important issue for both banks and regulators. Lopez and Saidenberg (2000) suggest cross-sectional resampling techniques in order to make efficient use of available data. We show that their proposal disregards cross-sectional dependence in resampled portfolios, which renders standard statistical inference invalid. We proceed by suggesting the Berkowitz (1999) procedure, which relies on standard likelihood ratio tests performed on transformed default data. We simulate the power of this approach in various settings including one in which the test is extended to incorporate cross-sectional information. To compare the predictive ability of alternative models, we propose to use either Bonferroni bounds or the likelihood-ratio of the two models. Monte Carlo simulations show that a default history of ten years can be sufficient to resolve uncertainties currently present in credit risk modeling.
Rating agencies state that they take a rating action only when it is unlikely to be reversed shortly afterwards. Based on a formal representation of the rating process, I show that such a policy provides a good explanation for the puzzling empirical evidence: Rating changes occur relatively seldom, exhibit serial dependence, and lag changes in the issuers’ default risk. In terms of informational losses, avoiding rating reversals can be more harmful than monitoring credit quality only twice per year.
Elektronische Informationsressourcen, wie beispielsweise elektronische Zeitschriften und Datenbanken, gewannen in den letzten Jahren zunehmend an Bedeutung im Feld der akademischen Literaturversorgung. Mit diesem Trend einhergehend konnten Veränderungen der Bezugspraxis bei Bibliotheken einerseits und neue Preis- und Geschäftsmodelle bei Verlagen andererseits beobachtet werden. Neben der bequemeren Nutzbarkeit für die Leser bietet das neue Medium auch neue Formen des Kostencontrollings und der Optimierung für die Abnehmer. Dieser Workshop soll sich mit der Frage der Kostenrechnung und -verteilung für Konsortien für elektronische Informationsressourcen insbesondere eJournals beschäftigen. Dabei werden die neuen Möglichkeiten der Nutzungsmessung besonders berücksichtigt. Neben den theoretischen Ansätzen werden auch konkrete Beispielrechnungen durchgeführt und die Praktikabilität für die Umsetzung in der Praxis im besonderen Maße diskutiert.
US investors hold much less foreign stocks than mean/variance analysis applied to historical data predicts. In this article, we investigate whether this home bias can be explained by Bayesian approaches to international asset allocation. In contrast to mean/variance analysis, Bayesian approaches employ different techniques for obtaining the set of expected returns. They shrink sample means towards a reference point that is inferred from economic theory. We also show that one of the Bayesian approaches leads to the same implications for asset allocation as mean-variance/tracking error criterion. In both cases, the optimal portfolio is a combination the market portfolio and the mean/variance efficient portfolio with the highest Sharpe ratio.
Applying the Bayesian approaches to the subject of international diversification, we find that substantial home bias can be explained when a US investor has a strong belief in the global mean/variance efficiency of the US market portfolio and when he has a high regret aversion falling behind the US market portfolio. We also find that the current level of home bias can justified whenever regret aversion is significantly higher than risk aversion.
Finally, we compare the Bayesian approaches to mean/variance analysis in an empirical out-ofsample study. The Bayesian approaches prove to be superior to mean/variance optimized portfolios in terms of higher risk-adjusted performance and lower turnover. However, they not systematically outperform the US market portfolio or the minimum-variance portfolio.
Over-allotment arrangements are nowadays part of almost any initial public offering. The underwriting banks borrow stocks from the previous shareholders to issue more than the initially announced number of shares. This is combined with the option to cover this short position at the issue price. We present empirical evidence on the value of these arrangements to the underwriters of initial public offerings on the Neuer Markt. The over-allotment arrangement is regarded as a portfolio of a long call option and a short position in a forward contract on the stock, which is different from other approaches presented in the literature.
Given the economically substantial values for these option- like claims we try to identify benefits to previous shareholders or new investors when the company is using this instrument in the process of going public. Although we carefully control for potential endogeneity problems, we find virtually no evidence for a reduction in underpricing for firms using over-allotment arrangements. Furthermore, we do not find evidence for more pronounced price stabilization activities or better aftermarket performance for firms granting an over-allotment arrangement to the underwriting banks.
EFM Classification: 230, 410
Despite a legal framework being in place for several years, the market share of qualified electronic signatures is disappointingly low. Mobile Signatures provide a new and promising opportunity for the deployment of an infrastructure for qualified electronic signatures. We that SIM-based signatures are the most secure and convenient solution. However, using the SIM-card as a secure signature creation device (SSCD) raises new challenges, because it would contain the user’s private key as well as the subscriber identification. Combining both functions in one card raises the question who will have the control over the keys and certificates. We propose a protocol called Certification on Demand (COD) that separates certification services from subscriber identification information and allows consumers to choose their appropriate certification services and service providers based on their needs. This infrastructure could be used to enable secure mobile brokerage services that can ommit the necessity of TAN lists and therefore allow a better integration of information and transaction services.
Despite a legal framework being in place for several years, the market share of qualified electronic signatures is disappointingly low. Mobile Signatures provide a new and promising opportunity for the deployment of an infrastructure for qualified electronic signatures. We analyzed two possible signing approaches (server based and client based signatures) and conclude that SIM-based signatures are the most secure and convenient solution. However, using the SIM-card as a secure signature creation device (SSCD) raises new challenges, because it would contain the user’s private key as well as the subscriber identification. Combining both functions in one card raises the question who will have the control over the keys and certificates. We propose a protocol called Certification on Demand (COD) that separates certification services from subscriber identification information and allows consumers to choose their appropriate certification services and service providers based on their needs. We also present some of the constraints that still have to be addressed before qualified mobile signatures are possible.
Mobile telephony and mobile internet are driving a new application paradigm: location-based services (LBS). Based on a person’s location and context, personalized applications can be deployed. Thus, internet-based systems will continuously collect and process the location in relationship to a personal context of an identified customer. One of the challenges in designing LBS infrastructures is the concurrent design for economic infrastructures and the preservation of privacy of the subjects whose location is tracked. This presentation will explain typical LBS scenarios, the resulting new privacy challenges and user requirements and raises economic questions about privacy-design. The topics will be connected to “mobile identity” to derive what particular identity management issues can be found in LBS.