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.

Automatisches Investment – Anlageempfehlung vom Robo Advisor

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.

Lesen Sie meinen Artikel weiter auf der Seite Der Bank Blog →

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 Study Trip 2017 – Hong Kong

 Photo by Base64 (Own work) [CC BY-SA 3.0], via Wikimedia Commons

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