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Institution
Wirtschaftswissenschaftliche Fakultät (47)
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330 Wirtschaft (47)
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Wirtschaftswissenschaftliche Fakultät (47)
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330 Wirtschaft (47)
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2016-12-29Diskussionspapier
Dynamic credit default swaps curves in a network topology 
Xu, Xiu; Chen, Cathy Yi-Hsuan; Härdle, Wolfgang Karl
Systemically important banks are connected and have dynamic dependencies of their default probabilities. An extraction of default factors from cross-sectional credit default swaps (CDS) curves allows to analyze the shape ...
2016-12-07Diskussionspapier
Central Bank Reputation, Cheap Talk and Transparency as Substitutes for Commitment 
Experimental Evidence
Duffy, John; Heinemann, Frank
We implement a repeated version of the Barro-Gordon monetary policy game in the laboratory and ask whether reputation serves as a substitute for commitment, enabling the central bank to achieve the efficient Ramsey equilibrium ...
2017-08-28Diskussionspapier
Das deutsche Arbeitsmarktwunder: Eine Bilanz 
Burda, Michael C.; Seele, Stefanie
Dem deutschen Arbeitsmarkt ging es noch nie seit der Wiedervereinigung so gut wie heute. Die nachhaltige Entwicklung seit 2005 ist auf zwei entscheidende Treiber zurückzuführen: die Umverteilung eines beinahe gleichbleibenden ...
2017-08-23Diskussionspapier
The systemic risk of central SIFIs 
Chen, Cathy Yi-Hsuan; Nasekin, Sergey
Systemic risk quantification in the current literature is concentrated on market-based methods such as CoVaR(Adrian and Brunnermeier (2016)). Although it is easily implemented, the interactions among the variables of ...
2017-08-23Diskussionspapier
Pricing Green Financial Products 
Melzer, Awdesch; Härdle, Wolfgang Karl; López-Cabrera, Brenda
With increasing wind power penetration more and more volatile and weather dependent energy is fed into the German electricity system. To manage the risk of windless days and transfer revenue risk from wind turbine owners ...
2016-11-23Diskussionspapier
Beta-boosted ensemble for big credit scoring data 
Zieba, Maciej; Härdle, Wolfgang Karl
In this work we present a novel ensemble model for a credit scoring problem. The main idea of the approach is to incorporate separate beta binomial distributions for each of the classes to generate balanced datasets that ...
2017-01-18Diskussionspapier
Fake Alpha 
Müller, Marcel; Rosenberger, Tobias; Uhrig-Homburg, Marliese
Why do investors entrust active mutual fund managers with large sums of money while receiving negative excess returns on average? Our explanation is that investors have a coarser information set than fund managers which ...
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