Current Projects
For the research focus 'Wealth and Risk', six broad research directions have been identified that are of general interest to all project participants.
The research directions are expected to produce strong synergies, at the research and teaching levels and in the areas of finance, banking, and insurance. For each direction, a subproject and a corresponding coordinator have been designated.
Subproject No. 1: “Long-Term Risk, Pension Finance, and Demographics”
Subproject Coordinator
Heinz Müller Assigned Research Projects - Valuation of Long-Term Investment Plans (by Fabio Trojani and Adamo Uboldi)
- Asset Liability Optimization with Markov-Switching Price Processes (by Karl Frauendorfer and Ulrich Jacoby)
- Pension Finance (by Roger Baumann and Heinz Müller)
- Investment Choice in the Swedish Premium Pension Plan (by Paul Söderlind and Felix Moldenhauer)
- Optimal Investment During Retirement (by Heinz Müller and David Schiess)
- Demographics and Taxes in Fully Funded and Pay-as-You-Go Systems (by Christian Keuschnigg)
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Subproject No. 2: “Macroeconomic Policy and Financial Markets”
Subproject Coordinator
Paul Söderlind Assigned Research Projects - Monetary Nonneutrality, Misspecification, and Asset Prices (by Fabio Trojani, Andrea Vedolin, and Peter Gruber)
- Capital Income Taxation and Bankruptcy of Firms (by Christian Keuschnigg)
- Inflation Risk and the Pricing of Bonds (by Paul Söderlind and Frederick Lundthofte)
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Subproject No. 3: “Credit Risk and Derivatives Pricing”
Subproject Coordinator
Manuel Ammann Assigned Research Projects - Hybrid Securities (by Manuel Ammann and Axel Kind)
- Employee Stock Options (by Manuel Ammann and Ralf Seiz)
- Incomplete Information and Credit Derivatives (by Manuel Ammann)
- Currency Options and the Joint Exchange Rate Distribution (by Paul Söderlind and Michael Fischer)
- Index Options Volatility Skews and the Cross-Section of Stock Options Implied Volatilities (by Fabio Trojani and Anna Cieslak)
- Implicit Options in Life Insurance Contracts: Valuation and Risk Management (by Nadine Gatzert and Hato Schmeiser)
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Subproject No. 4: “Dynamic Financial Analysis and Economic Analysis of Financial Market Regulations”
Subproject Coordinator
Hato Schmeiser Assigned Research Projects - Dynamic Financial Analysis in Insurance Companies (by Martin Eling, Thomas Parnitzke, and Hato Schmeiser)
- Economic Analysis of Financial Market Regulations (by Beat Bernet and Stephan Zwahlen)
- Developing New Risk-Based Capital Standards Across Europe (by Martin Eling and Hato Schmeiser)
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Subproject No. 5: “Venture Capital and Asset-based Contracts”
Subproject Coordinator
Christian Keuschnigg Assigned Research Projects - Explaining the Relative Performance of VC and Bank Financed Firms (by Christian Keuschnigg and Evelyn Ribi)
- Efficient Market Sharing of Banks and VCs (by Christian Keuschnigg and Benita von Lindeiner)
- The Role of Public Policy (by Christian Keuschnigg and Kai-Joseph Fleischhauer)
- Valuation and Optimal Exercise of American-Type Options in the Electric Power Industry (by Karl Frauendorfer, Gido Haarbrücker, Jens Güssow, and Daniel Kuhn)
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