The Big Smoke – in 2018, I plan to travel to the #7 in the ranking of the Global Financial Centres… Toronto! Weiterlesen
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.
From October 9th to 13th, I traveled to Hong Kong with 16 HSBA B.Sc. students and Sinan, my Ph.D. student.
This year, our destination had to be Asia, since five out of the top ten Global Financial Centres are located here. Currently, Hong Kong is third in the ranking, so we were curious what the city offers… besides a huge harbor and many, many skyscrapers…
Entscheidungen werden heute kaum noch ohne Online-Unterstützung getroffen. Warum also nicht auch die Wahl der Vermögensanlage dem Internet überlassen? Robo Advisors versprechen effiziente, rationale und transparente Anlageempfehlungen und entwickeln sich zur digitalen Beratungsalternative. Zu ihren Empfehlungen gelangen sie auf höchst unterschiedliche Weise.
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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.
In cooperation with my Ph.D. student Sinan Tıraş I plan to travel to Hong Kong in October 2017 – if you elect this destination.
Update Feb 15th, 2017: The trip is booked, so we are happy to travel to Hong Kong with you! A few spots are still available
Since Sinan has lived in Hong Kong, he has written the following study trip description: Weiterlesen