Welcome to Merlin
Merlin enables the members of WWF to manage their publications, contact data, organizational and employee data, as well as some personal data for reporting purposes.
|Markus Leippold, Nikola Vasiljevic, Option-Implied Intra-Horizon Value-at-Risk, Management Science, Vol. forthcoming, 2019. (Journal Article)
We study the intra-horizon value at risk (iVaR) in a general jump diffusion setup and propose a new model of asset returns called displaced mixed-exponential model, which can arbitrarily closely approximate finite-activity jump-diffusions and completely monotone Levy processes. We derive analytical results for the iVaR and disentangle the risk contribution of jumps from diffusion. Estimating the iVaR for several popular jump models using on S&P 100 option data, we find that option-implied estimates are much more responsive to market changes relative to their historical counterparts. Moreover, disentangling jumps from diffusion, jump account for about 90 percent of iVaR on average.
|Madeleine von Heyl, ECCforContiki: An ECC-based Security Solution for Contiki-based Sensor Networks, University of Zurich, Faculty of Business, Economics and Informatics, 2019. (Bachelor Thesis)
Wireless Sensor Networks (WSN) are networks composed of constrained devices. One problem related to WSN is how to secure the communication between the nodes of such a network, as cryptographic algorithms are usually resource intensive. Therefore, in this thesis, ECCforContiki, a security solution for WSNs is presented. ECCforContiki uses elliptic curve cryptography (ECC) for key generation and key exchange, and various symmetric key techniques for encryption between the network nodes. It does not rely on a certificate authority to provide authenticity, but uses asymmetric pre-shared keys. The solution was implemented on a WSN running the aggregation protocol TinyIPFIX on the operating system Contiki. As shown by the performed evaluation, the presented solution successfully secures the communication between sensor nodes without a central certificate authority.
|Johannes Katsarov, Markus Christen, David Schmocker, Carmen Tanner, Ralf Mauerhofer, Training moral sensitivity through video games: a review of suitable game mechanisms, Games and Culture, 2019. (Journal Article)
The goal of this study is to support game designers in the selection and implementation of game mechanisms to promote players’ moral sensitivity. A lack of moral sensitivity may lead people to behave unethically, without awareness for their actions’ moral implications. In this study, we conduct a theory-based evaluation of 20 distinct game mechanisms in view of their potential to promote moral sensitivity. Moral sensitivity is thereby operationalized in terms of three learning outcomes: Empathic concern for relevant groups, alertness to values/principles, and awareness for one’s vulnerability to biases. This study suggests that moral sensitivity is best promoted through a careful combination of game mechanisms, addressing all three learning outcomes.
|Wen Zhang, Bibek Paudel, Wei Zhang, Abraham Bernstein, Huajun Chen, Interaction Embeddings for Prediction and Explanation in Knowledge Graphs, In: International Conference on Web Search and Data Mining (WSDM), Association of Computing Machinery (ACM), New York, NY, 2019. (Conference or Workshop Paper published in Proceedings)
Knowledge graph embedding aims to learn distributed representations for entities and relations, and are proven to be effective in many applications. Crossover interactions --- bi-directional effects between entities and relations --- help select related information when predicting a new triple, but hasn't been formally discussed before. In this paper, we propose CrossE, a novel knowledge graph embedding which explicitly simulates crossover interactions. It not only learns one general embedding for each entity and relation as in most previous methods, but also generates multiple triple specific embeddings for both of them, named interaction embeddings. We evaluate the embeddings on typical link prediction task and find that CrossE achieves state-of-the-art results on complex and more challenging datasets. Furthermore, we evaluate the embeddings from a new perspective --- giving explanations for predicted triples, which is important for real applications. In this work, explanations for a triple are regarded as reliable closed-paths between head and tail entity. Compared to other baselines, we show experimentally that CrossE is more capable of generating reliable explanations to support its predictions, benefiting from interaction embeddings.
|Thomas Rüffieux, Three Essays on Investment Decisions in Decentralized Firms, University of Zurich, Faculty of Business, Economics and Informatics, 2019. (Dissertation)
|Mateusz Dolata, Mehmet Kilic, Gerhard Schwabe, When a computer speaks institutional talk: Exploring challenges and potentials of virtual assistants in face-to-face advisory services, In: 52nd Hawaii International Conference on System Sciences (HICSS 2019) Maui, 2019. (Conference or Workshop Paper published in Proceedings)
Advisory services are a highly sensitive form of collaboration: they rely on a clear distribution of roles between human participants who act according to an implicit set of practices and scripts. As such, they do not offer a specific role to a virtual assistant. At the same time, the technological improvements make the promise that institutional settings may be soon complemented with technology that allows for asking questions using natural speech, understands the context, and provides answers based on online processing of data. This article explores challenges and potentials of virtual assistants in advisory services while analyzing data from interviews and a workshop with clients and advisors from financial advisory services. It links the insights from the field with the institutional talk perspective. The findings unveil, that the concerns and hopes of potential users relate to their position and an implicit understanding of what an advisory service is about. This calls for careful and attentive design approach towards virtual assistants in advisory services.
|Andri Färber, Nicole Zigan, Mateusz Dolata, Philipp Stalder, Andrea Koppitz, Gerhard Schwabe, The digital transformation of physician–patient consultations: Identifying problems and approaches to improve adherence, In: 52nd Hawaii International Conference on System Sciences (HICSS 2019), Maui, 2019. (Conference or Workshop Paper published in Proceedings)
There is evidence for a correlation between effective physician–patient communication in consultations and improved adherence to treatment. Lack of time, limited communication training, growing administrative duties, and low recall of physicians’ information and recommendations by patients are antagonists to effective physician–patient communication. In interviews with physicians, therapists, and patients, we first identify problems of current consultation practices and condense them in a problem scenario. We then use interview results to explore potential solutions, applying modern information technology such as digital medical assistants. Lastly, those potential solutions are condensed in an activity scenario that can be used for further design science research activities. To effective physician–patient communication, such as lack of time [10, 15], limited communication training , growing administrative duties , and low recall by patients of physicians’ information and recommendations . The aim of this study is to explore the short- and long-term potential for improving the physician–patient consultation and thus adherence to treatment with the help of information technology. The physician–patient consultation as well as its preparation and follow-up are examined. We intend to identify starting points for the design of technological solutions that can be investigated and validated in further research with the help of Design Science Research (DSR) [17, 26]. We use scenarios to make problems and their potential solutions visible and tangible .
|Tilo Böhmann, Gerhard Schwabe, Robert O. Briggs, Tuure Tuunanen, Advancing Design Science Research with Solution-based Probing, In: 52nd Hawaii International Conference on System Sciences (HICSS 2019) Maui,, 2019. (Conference or Workshop Paper published in Proceedings)
We propose solution-based probing as an extension of action design research. The core idea is that researchers bring a prototype solution (probe) into one or more fields and explore to synthesize robust and generalizable design knowledge, along with knowledge of the phenomena and correlations we discover. We believe proposing solutions creates opportunities for researchers to innovate and to document the impact. In addition, solutions can be effective probes for advancing theory, in terms of design theories and in creating exploratory foundations for behavioral and causal theory. We illustrate solution-based probing with four exemplar studies in the areas governance of municipalities, police work in informing citizens, learning in public schools, and naval decision making. We identify critical activities for ideating and initiating solution-based probing and for deriving sustainable solutions and scholarly knowledge from such studies. Finally, we discuss future directions for improving researchers’ ability to conduct high-impact solution-based probing research.
|Rafael Ziolkowski, Geetha Parangi, Gianluca Miscione, Gerhard Schwabe, Examining Gentle Rivalry: Decision-Making in Blockchain Systems, In: 52nd Hawaii International Conference on System Sciences (HICSS 2019), s.n., Maui, Hawaii, 2019-01-08. (Conference or Workshop Paper published in Proceedings)
The blockchain comes with the promise of being a disruptive technology with the potential for novel ways of interaction in a wide range of applications. Although scholarly interest in the technology is growing, a broad analysis of blockchain applications from a governance perspective lacks to date. This research pays special attention to the governance of blockchain systems and illustrates core governance decisions on 15 blockchain systems from four application domains. Based on academic literature, semi-structured interviews with representatives from those companies, and content analysis of grey literature, different blockchain governance decisions have been derived and their enactment described. The identification of them enriches the scarce body of knowledge on blockchain systems with a better understanding of how key governance decisions are enacted in practice.
|Liudmila Zavolokina, Gianluca Miscione, Gerhard Schwabe, Buyers of Lemons: Addressing Buyers’ Needs in the Market for Lemons with Blockchain Technology, In: 52nd Hawaii International Conference on System Sciences (HICSS 2019), s.n., Maui, Hawaii, 2019-01-08. (Conference or Workshop Paper published in Proceedings)
The automotive market is in the top three markets with the least trust from consumers. In particular, in the second-hand car market, consumers suffer from such problems as the car being in worse condition than initially indicated, accident damage that is not disclosed, fraud, etc. Akerlof, described the market for used cars as an example of the problem of information asymmetries and resulting quality uncertainty. In order to cope with quality uncertainties, used car buyers actively engage themselves in information seeking. Blockchain technology promises to automatize the tracking of cars through their lifecycles and provide reliable information at any point in time it is needed. In our study, we investigate the problems car buyers face during information seeking and propose requirements for the design of a blockchain-based system to address these.
|Ingrid Bauer, Liudmila Zavolokina, Fabian Leisibach, Gerhard Schwabe, Exploring Blockchain Value Creation: The Case of the Car Ecosystem, In: 52nd Hawaii International Conference on System Sciences (HICSS), s.n., Hawaii, 2019-01-07. (Conference or Workshop Paper published in Proceedings)
Blockchain is expected to create a variety of new opportunities for businesses. Yet, little is known about how companies can exploit business value from the technology. However, without a clear understanding of how, and corresponding adaption of business practices, the realization of value is doomed to failure. Hence, we contribute to this gap by analyzing and explicating the specificities of value creation from blockchain in the ecosystem of a car. In the course of an exploratory case analysis we conducted interviews and workshops with industry and blockchain experts from five diverse stakeholder groups. In brief, we provide early evidence that (1) blockchain enables value creation through: Distributed Product Innovation, Controlled Customer Intimacy and Shared Operational Efficiency. Further, (2) we derive guidelines and discuss learnings for other businesses aiming to leverage value from blockchain technology.
|Alin Marius Andries, Simona Nistur, Steven Ongena, Nicu Sprincean, On becoming an O-SII ("Oter Systemically Important Institution"), In: ASSA. 2019. (Conference Presentation)
How do financial markets react to the disclosure of the list of Other Systemically Important Institutions by the European Banking Authority? With an event study of bank stock prices, we document that the immediate reaction of the stock market is negative. However, within a few days investors change their perception, both in the case of euro zone and non-euro zone banks. CDS spreads react similarly, increasing first before decreasing almost immediately thereafter. Abnormal returns are more negative for large, traditionally-focused or state-owned banks, and in countries with less competitive banking markets or lower fiscal capacity. In addition, the quantitative or qualitative approach by which O-SIIs are selected, as well as the existence and level of the capital buffers imposed on them, have a significant impact on both the short and long run market reaction.
|Qing He, Liping Lu, Steven Ongena, Who Gains from Credit Granted between Firms? Evidence from Inter-Corporate Loan Announcements Made in China, In: ASSA, 2019. (Conference or Workshop Paper published in Proceedings)
Who gains from inter-corporate credit? To answer this question we measure the impact of the announcements of inter-corporate loans in China on the stock prices of the firms involved. We find that the average abnormal return for the issuers of inter-corporate loans is significantly negative, whereas it is positive for the receivers. Firms issuing inter-group loans may be perceived by investors to have run out of worthwhile projects to finance, although the loans may bring benefits to these firms through the high interest revenues involved. Firms receiving these inter-group loans are being certified as creditworthy borrowers, although the cost on these loans may be high. Issuance of intra-group loans on the other hand may signal the propping up of financially distressed subsidiaries and their resultant expropriation in the future and the firms granting and receiving such loans will be assessed accordingly. Subsequent investment and firm performance confirms these immediate valuations as overall accurate.
|Carlo Altavilla, Miguel Boucinha, Sarah Holton, Steven Ongena, Credit Supply and Demand in Unconventional Times, In: ASSA. 2019. (Conference Presentation)
Do borrowers demand less credit from banks with weak balance sheet positions? To answer this question we use novel bank-specific survey data matched with confidential balance sheet information on a large set of euro area banks. We find that, following a conventional monetary policy shock, bank balance sheet strength influences not only credit supply but also credit demand. The resilience of lenders plays an important role for firms when selecting whom to borrow from. We also assess the impact on credit origination of unconventional monetary policies using survey responses on the exposure of individual banks to quantitative easing and negative interest rate policies. We find that both policies do stimulate loan supply even after fully controlling for bank-specific demand, borrower quality, and balance sheet strength.
|Steven Ongena, Miguel Garcia-Posada, Oscar Arce, Sergio Mayordomo, Adapting Lending Policies when Negative Interest Rates Hit Banks' Profits, In: ASSA. 2019. (Conference Presentation)
What is the impact of negative interest rates on bank lending and risk-taking? To answer this question we study the changes in lending policies using both the Euro area Bank Lending Survey and the Spanish Credit Register. Banks whose net interest income is adversely affected by negative rates are concurrently lowly capitalized, take less risk and adjust loan terms and conditions to shore up their risk weighted assets and capitalization. These banks also increase non-interest charges more. But, importantly, we find no differences in banks’ credit supply or standard setting, neither in the Euro area nor in Spain. These findings suggest that negative rates do not necessarily contract the supply of credit and that the so-called “reversal rate” may not have been reached yet.
|Beat Gygi, Thorsten Hens, Schluss mit grossen Krisen, In: Die Weltwoche, 3 January 2019. (Media Coverage)
Das vergangene Jahr hat Anleger in der ganzen Welt enttäuscht, viele erschreckt, Börsenkurse und Stimmung gaben im Herbst derart nach, dass im Dezember Minuszeichen und Ratlosigkeit dominier- ten. Die zwanzig Unternehmen des Schweizer Aktienindexes (SMI) haben 2018 im Durchschnitt 11 Prozent an Marktwert verloren. Die interna- tional tonangebenden amerikanischen Aktienkörbe Dow Jones und S&P 500 standen mit 6 und 7 Prozent Verlust weltweit fast am besten da. Dabei hatte das Jahr mit Optimismus und einem SMI-Rekord begonnen. Die mittlere Grafik zeigt, wie dann vor allem US-Aktien ihren Höhenflug fortsetzten, bis im Oktober Stimmung und Kurs- entwicklung weltweit umschlugen. Plötzlich machte sich Pessimismus breit. Wer an der Börse inves- tiert, tut das auf eigenes Risiko, aber was im Herbst passierte, hat dramatische Fragen aufge- worfen. Sind die Aktien stark überbewertet? Kommt der grosse Absturz? Wird der Bulle, Symbol für steigende Kurse, von seinem Gegner, dem Bär, besiegt?
|Ulrich Woitek, Gabriela Wüthrich, Switzerland, In: The economic development of Europe's regions: a quantitative history since 1900, Routledge, Abingdon, Oxon, p. 1 - 18, 2019. (Book Chapter)
This book is the first quantitative description of Europe’s economic development at a regional level over the entire twentieth century. Based on a new and comprehensive set of data, it brings together a group of leading economic historians in order to describe and analyze the development of European regions, both for nation states and for Europe as a whole. This provides a new transnational perspective on Europe’s quantitative development, offering for the first time a systematic long-run analysis of national policies independent from the use of national statistical units. The new transnational dimension of data allows for the analysis of national policies in a more thorough way than ever before. The book provides a comprehensive database at the level of modern NUTS 2 regions for the period 1900–2010 in 10-year intervals, and a panoramic view of economic development both below and above the national level. It will be of great interest to economic historians, economic geographers, development economists and those with an interest in economic growth.
|Benjamin Schneider, Monetary Policy Transmission in Switzerland: Headline Inflation and Asset Prices, University of Zurich, Faculty of Business, Economics and Informatics, 2019. (Master Thesis)
This thesis evaluates the eects of the Swiss National Bank's (SNB) monetary policy on headline inflation and asset prices (housing and equities) by estimating vector autoregressive models using timing-restrictions to identify impulse response functions. An analysis of the relationship between inflation and the policy rate indicates a structural break around the financial crisis. Results over pre- and post-crisis subsamples suggest that the SNB has lost its impact on headline in ation after the crisis. Neither conventional nor unconventional expansionary measures are found to have increased headline in ation over the past decade. On the other hand, asset prices respond mostly positively.
|Pablo Bétrisey, Corporate Governance und Governance Aktivismus in der Schweiz – Eine Analyse der Sichtweisen der Markteilnehmer, University of Zurich, Faculty of Business, Economics and Informatics, 2019. (Bachelor Thesis)
Innerhalb dieser Bachelorarbeit wurden durch eine umfangreiche Umfrage die Sichtweisen von Pensionskassen, schweizerischer und internationaler, institutioneller Investoren und Schweizer Emittenten zu ausgewählten aktuellen Themenbereichen der Grundsätze der Coporate Governance ausgewertet. Dabei wurden aktuelle Herausforderungen und Fragen zu Aktionärsrechte, Regulierung, Verwaltungsrat, Vergütung, Audit, Payout und Corporate Social Responsibility untersucht. Zusätzlich wurden die diesjährigen Resultate zwischen den verschiedenen Teilnehmergruppen mit den Ergebnissen der Corporate Governance-Umfragen der letzten Jahren verglichen und die dazugehörige Entwicklung und entstandenen Differenzen interpretiert. Die Umfrage hat ergeben, dass sich die Marktteilnehmer grösstenteils einig sind.
|Ulrich Kaiser, Hans C. Kongsted, Keld Laursen, Ann-Kathrine Ejsing, Experience matters: The role of academic scientist mobility for industrial innovation, Strategic Management Journal, Vol. 39 (7), 2019. (Journal Article)
Research Summary: A learning-by-hiring approach is used to scrutinize scientists' mobility in relation to the recruiting firms' subsequent innovation output. Our starting point is that among firm hires, individuals with university research experience—hired from universities or firms—can be particularly valuable. However, conflicting institutional logics between academia and industry makes working with academic scientists challenging at times for firms. We suggest two solutions to this difficulty: hiring “ambidextrous” individuals with a mix of experience of university research and working for a technologically advanced firm, and a strong organizational research culture in the recruiting firm reflected by the presence of a scientist on the top management team. We track the mobility of R\&D workers empirically using patent and linked employer-employee data. Managerial Summary: An important way to make organizations more innovative is hiring individual researchers with the right types of skills and experience. We show that individuals with university research experience beyond their final degree are particularly likely to help boost firm-level innovation output after hiring compared to R\&D workers with other types of skills and experience. However, to obtain good returns to innovation from hiring such individuals, firms need a university research–friendly organizational culture when hiring individuals with university research experience, from either firms or academia.