The Golden Rule of Banking: Funding Cost Risks of Bank Business Models


Together with my Ph.D. student David, we have analyzed liquidity risks and therefore finished the third article for his thesis.


The liquidity regulation of banks in Pillar 1 of the Basel framework does not consider funding cost risks of different bank business models. Therefore, we assemble a data set of balance sheet positions including maturities and use the method of Value-Liquidity-at-Risk to explore 118 European retail, wholesale, and trading banks. When examining liquidity-induced equity risks, trigged by exemplary rating shifts, we find that retail banks bear significantly lower funding cost risks than wholesale and trading banks. Consequently, a prudential regulation, which simultaneously considers the funding cost risk and the diversification of the banking system is recommended.


David Großmann & Peter Scholz (2017): The Golden Rule of Banking: Funding Cost Risks of Bank Business Models. SSRN Working Paper.

Zurück in die Zukunft mit dem „Banco-Coin“


Drohende Bankenpleiten, negative Zinsen und ungelöste Schuldenkrise: Die europäische Zentralbank hat mit der Stabilisierung unseres Finanzsystems alle Hände voll zu tun. Um eine mögliche Alternative für ein Geldsystem der Zukunft zu finden, lohnt ein Blick auf das Beste aus zwei Welten: die Vergangenheit Hamburgs mit der Mark Banco sowie die Zukunft der Crypto-Währungen.


  • Sinan Krückeberg & Peter Scholz (2017): Zurück in die Zukunft mit dem „Banco-Coin“. Jahrbuch Finanzplatz Hamburg 2017/2018, S. 56-57.

Download Full Article

PC-Lab: Computational Finance, M.Sc.

This module has two main goals: it serves as a repetition of content students should already be familiar with as well as an application by transferring formulas into action. We rely on Excel, VBA, and MATLAB as software packages and cover basic concepts from B.Sc. studies as well as CFA Level I content. First and foremost, the essential time value of money, followed by applications in risk management as well as asset pricing, e.g. bonds, derivatives, and portfolios. By the end of this course, the participants are able to remember and to understand these basic concepts and they learned to apply these concepts on real data. Weiterlesen