Bank Regulation — One Size Does Not Fit All

Abstract

Bank business models show diverse risk characteristics, but these differences are not sufficiently considered in Pillar 1 of the regulatory framework. Even if the business model is analyzed within the European SREP, global Pillar 2 approaches differ and could lead to competitive disadvantages. Using the framework of Miles et al. (2012), we examine a dataset of 115 European banks which is split into retail, wholesale, and trading banks. We show that shifts in funding structure affect business models differently. Consequently, a “one size” approach in Pillar 1 for the regulation of banks does not fit all.

Citation

David Großmann & Peter Scholz (2017): Bank Regulation — One Size Does Not Fit All. Journal of Applied Finance & Banking (forthcoming).

Droht den Banken die feindliche Übernahme durch FinTechs?

Abstract

FinTechs traten in jüngerer Vergangenheit häufig mit dem Ziel auf, den Bankensektor zu revolutionieren. Disruptives Potenzial dürfte in Deutschland aber nur selten entstehen. Die Neue Institutionenökonomik liefert Hinweise, in welchen Geschäftsbereichen FinTechs der Wettbewerb leichter fallen dürfte und in welchen Marktsegmenten es besonders schwierig werden könnte. Gelingt es den Start-ups nicht, Kundenvertrauen zu erlangen und echten Mehrwert zu bieten, dann sind Kooperationen mit Banken vielversprechender als Alleingänge.

FinTechs aim to revolutionize the traditional banking sector. However, it is unlikely that they will develop large disruptive potential in Germany. The New Institutional Economics helps to predict in which banking divisions FinTechs are more likely to succeed. If the start-ups are unable to build up customer confidence and to generate real added value, then it seems to be more promising to cooperate with banks than to challenge them.

Citation

Peter Scholz (2017): Droht den Banken die feindliche Übernahme durch FinTechs? Corporate Finance Nr. 01-02, S. 3-7.

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Tradition verpflichtet — Banking in Hamburg

Abstract

Hamburg präsentierte sich bereits im 17. Jahrhundert als bedeutender Handelsplatz in Europa. Mit der Gründung von Bankhäusern und der Einrichtung von Girokonten entwickelte sich die Hansestadt zum wichtigen Impulsgeber für Finanzdienstleistungen.

Citation

Peter Scholz (2016): Tradition verpflichtet — Banking in Hamburg. Jahrbuch Finanzplatz Hamburg 2016/2017, S. 24-25.

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Managing Position Size Depending On Asset Price Characteristics

Abstract

The application of a technical trading rule requires investors to determine a position size of the trades selected. In order to find an optimal position size, the Kelly criterion is widely suggested, which bets relative fractions from the remaining trading budget. Therefore, the general impact of position sizing on timing strategies and the relation to the Kelly criterion have been analyzed. The introduction of relative position sizing has a major impact on trading results. In contrast to a standard Kelly framework, however, an optimal position size does not exist.

Citation

Peter Scholz (2014): Managing Position Size Depending On Asset Price Characteristics. Journal of Applied Operational Research 6(4), 189-206.

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Performance Analysis of Investment Strategies – Pitfalls and Surprises

Abstract

Active investment strategies are a subject of endless debates. Myriads of studies have been conducted to proof performance potential or to reject previous studies due to flaws or misinterpretations. The presentation will address three specific aspects which often are disregarded when performance is measured. Firstly, we will discuss the role of backtests and show that this instrument — even when used carefully and skilled — may lead to biased and misleading results. Secondly, we give an example that the concepts of performance and forecast power must be strictly distinguished. Finally, we demonstrate that implementation details, while largely neglected, may strongly impact and bias a strategy’s performance.

Citation

Peter Scholz & Ursula Walther (2013): Performance Analysis of Investment Strategies — Pitfalls and Surprises. Lecture Notes in Management Science Vol. 5, 176-180.

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