Delia Coculescu, Oana Lupascu Stamate, Gabriele Visentin, Emergence and Evolution of Cooperation for Survival: A Continuous Time Model, In: SSRN, No. 1189182, 2021. (Working Paper)
For a large homogeneous population, where individuals rely on the availability of a resource for survival, we introduce a continuous time model for the availability of the resource in time and for each individual. In this framework, cooperation is defined as a mutual insurance mechanism, aimed at covering shortages for group members. We explore essential questions regarding the importance of cooperation: what are the characteristics of populations where cooperation is valuable, versus individualist populations, where cooperation destroys value; how large should be the groups of cooperating entities? In order to answer the latter question, we first characterise the optimal cooperation, which maximises the expected lifetime of entities in the population. Secondly, we explore the same question using a non cooperative stochastic game. This allows to understand to what extent strategic cooperation leads to inefficiencies as compared with optimal cooperation. We complete the theoretical results by suggestive numerical approaches. |
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Annette Krauss, Julia Meyer, Financial inclusion during the Covid-19 pandemic, 2021. (Other Publication)
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Marc Chesney, La crisis permanente : La oligarquía financiera y el fracaso de la democracia, Editorial Bellaterra, Barcelona, 2021. (Book/Research Monograph)
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Marc Chesney, Economics and Finance: The Monopoly and Dangers of the Mainstream School of Thought, In: Rethinking Finance in the Face of New Challenges, Emerald Publishing, Bingley, p. 199 - 204, 2021. (Book Chapter)
The academic world is too often disconnected with the needs and realities of the economy and society. It has not sufficiently drawn lessons from the 2008 financial crisis, and repeatedly demonstrates great restraint when faced with financial scandals. Its responsibility is, however, to analyze these problems and to argue objectively. To make sure academic freedom is not merely empty words or a pleasant principle inscribed on university pediments, it must be exercised and practiced regularly by faculty members. The field of finance addresses the issue of (asset) prices but does not transmit values. Money is presented implicitly or explicitly as an end rather than a means. |
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Julia Meyer, Annette Krauss, The social performance of microfinance investment vehicles, Journal of Sustainable Finance, Vol. 11 (2), 2021. (Journal Article)
Assessing whether investments result in the desired non-financial performance is a key concern in the fast growing field of impact investments, including microfinance. The social performance of the institutions that offer financial inclusion services to underprivileged populations has come under increasing scrutiny, whereas the social performance of the investment vehicles that in turn finance these institutions is researched less. This paper makes use of several large data sets to develop an approach to measure the social performance of microfinance investment vehicles. Drawing on methods from empirical social science and the literature on non-financial ratings of firms, we develop formal quality criteria that the selection of individual social performance indicators and their aggregation into a single metric need to satisfy. |
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Marc Chesney, Carlos Vargas, End of Life Decommissioning and Recycling of Solar Panels in the United States. A Real Options Analysis, Journal of Sustainable Finance & Investment, Vol. 11 (1), 2021. (Journal Article)
Hundreds of thousands of tons of solar panel waste are estimated to be produced yearly in the United States from the year 2035 on, most of which could be recycled. This paper estimates the amount of scrap material to be produced from solar panels decommissioning and determines the optimal date and location to establish either centralized or regional recycling centers to better deal with this issue from the perspective of the U.S. government as potential investor. Solar panel recycling could become a multi-billion USD industry, however, the main challenge today is to keep its overall costs down while allowing for the majority of panels to be recycled. Real Options Analysis is deployed to assess the optimal solution to face this challenge. Determining the optimal location of those facilities is a novel approach. Further applications of the model proposed in this work could scale up this analysis at an international level. |
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Marc Chesney, Jacob Stromberg, Alexander Wagner, Vincent Lars Wolff, Managerial incentives to take asset risk, Journal of Corporate Finance, Vol. 65, 2020. (Journal Article)
We argue that incentives to take equity risk (”equity incentives”) only partially capture incentives to take asset risk (“asset incentives”). This is because leverage, while central to the theory of risk-shifting, is not explicitly considered by equity incentives. Employing measures of asset incentives that account for leverage, we find that asset risk-taking incentives can be large compared to incentives to increase firm value. Stock holdings can induce substantial risk-taking incentives, contrary to the assumption that only stock options drive risk-taking. Finally, asset incentives help explain asset risk-taking of U.S. financial institutions before the 2007/08 crisis. |
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Nicolas Pinguely, Marc Chesney, La croissance sera de retour partout en Suisse et plus forte avec un vaccin, In: Tribune de Genève, 19 November 2020. (Media Coverage)
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Jannis Morgenthaler, Effectiveness in Innovative Finance: The pathway to success of Results-Based Finance Approaches in the area of education, University of Zurich, Faculty of Business, Economics and Informatics, 2020. (Bachelor's Thesis)
The goal of this paper is to bring structure into the Results-Based Finance universe
with its plethora of terminology. There is still no commonly agreed on term for
Results-Based Finance instruments, but a vast collection of terms that sound slightly
different, however, mostly mean the same. Firstly, in order to resolve this confusing
circumstance, Results-Based Finance Approaches (RBFA) is set as an all-encompassing
term. Secondly, the types of RBFA are separated into two main categories, the first one
being further subdivided. The two categories mainly show the distinction between
funding origin for the RBFA, which is in the first case public sector only, while in the
second case, private sector investment is added. |
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Lea Gehrig, The Effect of Legal and Policy Changes on the Relationship between FDI and CO2 Emissions: A Panel Data Analysis for Sub-Saharan Africa, University of Zurich, Faculty of Business, Economics and Informatics, 2020. (Bachelor's Thesis)
This study examines the impact of environmental regulations and policies on the effect of
foreign direct investment (FDI) on carbon dioxide (CO2) emissions. The latter effect has been
widely discussed in the empirical and theoretical literature for over two decades, whereby
varying findings were determined. With regard to the FDI host countries, both polluting effects
of FDI were identified as well as reductions in CO2 emissions due to FDI. To date, only a few
studies have incorporated additional circumstances to the relationship between FDI and CO2
emissions that could explain the inconsistency of the results. The aim of this study is to address
this research gap, thus provide an explanation for these varying findings and to identify possible
means of reducing CO2 emissions. |
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Lorenz Honegger, Marc Chesney, Es gibt eine Inflation der Aktienpreise, In: Neue Zürcher Zeitung, 27 October 2020. (Media Coverage)
Finanzprofessor Marc Chesney äussert sich im Interview besorgt über die Geldpolitik der Zentralbanken. |
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Redaktion, Marc Chesney, Remettre la finance au service de l'économie, In: RTS.ch, 21 October 2020. (Media Coverage)
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Robert Mayer, Marc Chesney, Nationalbank plant Fachstelle mit Umweltsachverstand, In: Tages Anzeiger, 15 October 2020. (Media Coverage)
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Robert Mayer, Marc Chesney, Die Nationalbank sucht Umweltexperten, In: BZ Berner Zeitung, 14 October 2020. (Media Coverage)
Geplant ist der Aufbau einer Abteilung, die sich mit dem Klimawandel beschäftigt und das Direktorium beraten soll. Experten fordern vor allem ein Umdenken der Notenbank bei den Aktienanlagen. |
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Philippe Beguelin, Julian Kölbel, Nachhaltig investieren, In: Finanz und Wirtschaft, 2 October 2020. (Media Coverage)
Auch Pensionskassen haben Freiraum, um auf Umwelt, Gesellschaft und Governance zu achten. |
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Patrick Amsler, How sensitive is the business model of coal producing companies to changes in cost of capital?, University of Zurich, Faculty of Business, Economics and Informatics, 2020. (Bachelor's Thesis)
Coal combustion and therefore the coal industry is one of the main reasons for the change in earth’s climate in the past century. The effect of the coal industry on our ecologic environment has been subject of various studies, generating suggestions for improvements in the industry and stressing the importance of renewable energy sources. Whilst extend literature focuses on the influence of investments and divestments on the coal output, this thesis aims to provide insight into the influence of cost of capital on the coal output of companies in the United States. Its ultimate goal is to examine the relationship between cost of capital and coal output in short tons. The models are built upon data of listed coal producers in the United States. The results suggest a weak positive correlation between cost of capital in form of a Weighted Average Cost of Capital (WACC) and coal output in short tons and a strong positive correlation between the ten-year treasury rate and coal output in short tons. |
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Dajana Lovrinovic, Nachhaltiges Anlegen und Sparen: Einfluss der Privatkundenberater auf Investoren, University of Zurich, Faculty of Business, Economics and Informatics, 2020. (Bachelor's Thesis)
Der Markt für nachhaltige Anlagen ist im Jahr 2019 erneut stark gewachsen. Seine positive Entwicklung wird unter anderem durch das steigende Interesse nach nachhaltigen Anlagelösungen der Investoren unterstützt. Neben den institutionellen, erhöhen auch private Investoren ihr nachhaltig investiertes Volumen stark an (Swiss Sustainable Finance [SSF] (2020a)). Dabei kommt eine Studie von der Bank Vontobel (2019) zum folgenden Schluss: Trotz der wachsenden Anzahl der Investoren, welche eine wertbasierte Finanzentscheidung verfolgen würden, werden viele aufgrund mangelnder Beratung und Unterstützung daran gehindert (Bank Vontobel AG (2019)).
Den Finanzintermediären kommt bei der Allokation von privat investiertem Kapital in nachhaltige Anlage- und Sparprodukte eine bedeutende Intermediärsrolle zu, da, wie schon erwähnt, das Bewusstsein der Investoren bezüglich der Integration von ESG-Kriterien in die Anlageentscheidung wächst. Die Europäische Kommission (EUK) hat auf Basis des Pariser Klimaabkommens und der Agenda 2030 der Vereinten Nationen einen Aktionsplan zur nachhaltigen Finanzierung veröffentlicht, der im Jahr 2022 in der Europäischen Union (EU) in Kraft treten wird. Der Aktionsplan verfolgt die Ziele, Kapitalflüsse in nachhaltige Anlageprodukte auszurichten, die Nachhaltigkeit stärker in das Risikomanagement zu integrieren und die Transparenz am Markt für nachhaltige Anlagen zu fördern (Schwarz und Auel (2020)). Dennoch fehlt es zurzeit an einer einheitlichen Berücksichtigung der Nachhaltigkeit in die Schweizer Aus- und Weiterbildung der Kundenberater und Kundenberaterinnen. Obwohl die Nachfrage nach nachhaltigen Anlage- und Sparprodukten steigt, wird Sustainable Investing in der obligatorischen Aus- und Weiterbildung noch nicht genügend berücksichtigt. Die Wissenslücke der Investoren kann dadurch nicht optimal geschlossen werden.
Das Ziel dieser Arbeit ist es, den aktuellen Wissensstand bezüglich nachhaltigen Anlage- und Sparprodukten der Privatkundenberater von Gross- Kantonal-, Privat-, Raiffeisen-Banken und Vermögensverwaltungsgesellschaften zu eruieren. Zusätzlich wird das Angebot von obligatorischen Aus- und Weiterbildungen der jeweiligen Unternehmen erhoben und ein Vergleich gezogen, welche Unternehmen eine Vorreiterrolle einnehmen. |
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Danny Schlumpf, Annette Krauss, Julian Kölbel, Schweizer Kleinstkredite helfen Millionen Armen, In: Blick, 27 September 2020. (Media Coverage)
Der Schweizer Finanzplatz ist noch lange nicht grün. Trotzdem ist die Schweiz Weltmeister im nachhaltigen Investieren: Sie ist das Zentrum der Mikrofinanz. |
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Delia Coculescu, Freddy DELBAEN, Fairness principles for insurance contracts in the presence of default risk, In: ArXiv.org, No. 2009.04408, 2020. (Working Paper)
We use the theory of cooperative games for the design of fair insurance contracts. An insurance contract needs to specify the premium to be paid and a possible participation in the benefit (or surplus) of the company. It results from the analysis that when a contract is exposed to the default risk of the insurance company, ex-ante equilibrium considerations require a certain participation in the benefit of the company to be specified in the contracts. The fair benefit participation of agents appears as an outcome of a game involving the residual risks induced by the default possibility and using fuzzy coalitions. |
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Vincent Lars Wolff, Enzo Rossi, Spillovers to exchange rates from monetary and macroeconomic communications events, In: SNB Working Paper Series, No. 18, 2020. (Working Paper)
We study the tightness of the link between U.S. monetary and macroeconomic communication events and the exchange rate movements against the USD of four major currencies - the euro, the Swiss franc, the Brazilian real and the Mexican peso - since the global financial crisis (GFC). We find three main results. Approximately 20 percent of the U.S. communications events were associated with statistically significant exchange rate effects. Unconventional and conventional monetary policy announcements had equal impacts. The reactions of the advanced countries' currencies were more in line with each another than with those of the emerging markets' currencies. |
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