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.

To Advise, or Not to Advise — How Robo-Advisors Evaluate the Risk Preferences of Private Investors

In a joint work with Michael Tertilt, an HSBA alumnus of MBA Corporate Management, we analyze the current quality of robo-advice.


Robo-advisors promise efficient, rational, and transparent investment advisory. We analyze how robo-advisors ascertain their user’s risk tolerance and which equity exposure is derived from the individual risk profile. Our findings indicate significant differences in the quality of offered investment advice. On average, robo-advisors ask relatively few questions in their user’s risk profile assessment, and it is particularly surprising that some of the questions seem not to have any impact on the risk categorization. Moreover, the recommended equity exposure is relatively conservative.


Michael Tertilt & Peter Scholz (2017): To Advise, or Not to Advise — How Robo-Advisors Evaluate the Risk Preferences of Private Investors. SSRN Working Paper.

HSBA Exkursion nach London

London calling! Mit 14 HSBA Studierenden begebe ich mich vom 3. bis 7. Oktober in die aktuelle Nummer Eins der Global Financial Centres. Auch dieses Jahr wartet ein spannendes Programm auf uns: Wir besuchen das King’s College, das Imperial War Museum, die Royal Bank of Scotland, Veritas Investment, Bloomberg, Lloyds, Alpha Insurance, TokioKiln Group, Bank of England Museum und die HSBC. Außerdem steht eine Pub Tour an. Ich bin gespannt wie die Stadt den Brexit verkraftet — zumindest die Preise sind dank des Rekordtiefs des Britischen Pfund vergleichsweise günstig.

HSBA Graduates 2013-2016

Foto: Roland Magunia

Congratulations Graduates 2016 at HSBA!

Especially, congrats to „my classes“:

Banking, B.Sc.

Logistics & Maritime Management, B.Sc.

Financial Markets & Risk Management, MBA

It has been a great time with you! I wish you all the best for your future endeavors!