Untersuchungsgegenstand des Projekts sind die Übertragungsmechanismen (contagion) der Risiken in Finanzsystemen durch Verhaltenssymmetrien (z.B. durch Risikomodelle und ihre regulierte Umsetzung), Intransparenz (z.B. über Beteiligungsgesellschaften etwa im Bereich Private Equity) und Moral...

This paper provides market risk calculation for an equity-based trading portfolio. Instead of relying on the purely stochastic internal model method, which banks currently apply in line with the Basel regulatory requirements, we propose to include also alternative price mechanisms from the...

What is the output of financial institutions? And how can we measure their nominal and, more importantly, real value, especially since many financial services are provided without explicit charges? This paper summarizes the theoretical result that, to correctly impute the nominal value of...