Oliver Graf, Marc Chesney, Bildung: Umweltkompetenzen für die Finanzbranche, In: Bundesamt für Umwelt (BAFU), 21 June 2017. (Media Coverage)
|
|
Marc Chesney, Finance for the Future - is Switzerland on track?, In: Annual SSF Conference. 2017. (Conference Presentation)
|
|
Aaron Suarez, Gefährden Hedge-Fonds die Stabilität des globalen Finanzsystems?, University of Zurich, Faculty of Business, Economics and Informatics, 2017. (Bachelor's Thesis)
|
|
Delia Coculescu, From the decompositions of a stopping times to risk premium decompositions, ESAIM: Proceedings and Surveys, Vol. 60, 2017. (Journal Article)
The occurrence of some events can impact asset prices and produce losses. The amplitude of these losses are partly determined by the degree of predictability of those events by the market investors, as risk premiums build up in an asset price as a compensation of the anticipated losses. The aim of this paper is to propose a general framework where these phenomena can be properly defined and quantified.
Our focus are the default events and the defaultable assets, but the framework could apply to any event whose occurrence impacts some asset prices.
We provide the general construction of a default time under the so called (H) hypothesis, which reveals a useful way in which default models can be built, using both market factors and idiosyncratic factors. All the relevant characteristics of a default time (i.e. the Azema supermartingale and its Doob-Meyer decomposition) are explicitly computed given the information about these factors.
We then define the default event risk premiums and the default adjusted probability measure. These concepts are useful for pricing defaultable claims in a framework that includes possible economic shocks, such as jumps of the recovery process or of some default-free assets at the default time. These formulas are not classic and we point out that the knowledge of the default compensator (or the intensity process when the default time is totally inaccessible) is not a sufficient quantity for finding explicit prices; the Azema supermartingale and its Doob-Meyer decomposition are needed. The progressive enlargement of a filtration framework is the right tool for pricing defaultable claims in non standard frameworks where non defaultable assets or recovery processes may react at the default event. |
|
Fabian Töpperwein, KMU Finanzierung und wirtschaftliche Entwicklung in Entwicklungsländern, University of Zurich, Faculty of Business, Economics and Informatics, 2017. (Bachelor's Thesis)
|
|
Manuel Fehr, An Analysis of the FMIA and its impact on CDS Markets, University of Zurich, Faculty of Business, Economics and Informatics, 2017. (Bachelor's Thesis)
|
|
Nadine Wyss, Kritische Analyse zur Messung der Produktivität im Finanzsektor, University of Zurich, Faculty of Business, Economics and Informatics, 2017. (Bachelor's Thesis)
|
|
Stefan Häne, Marc Chesney, Nationalbank soll klimafreundlich investieren, In: Der Bund, 18 April 2017. (Media Coverage)
|
|
Lukas Münstermann, Impact Investing - What's Behind the Name, University of Zurich, Faculty of Business, Economics and Informatics, 2017. (Master's Thesis)
|
|
Olivier Kocher, Fundamentale Preisdeterminanten des EU Emissions Trading Scheme für CO2 Emissionszertifikate, University of Zurich, Faculty of Business, Economics and Informatics, 2017. (Bachelor's Thesis)
|
|
Julian Kölbel, Timo Busch, Leonhardt M Jancso, How Media Coverage of Corporate Social Irresponsibility Increases Financial Risk Media Coverage of Corporate Social Irresponsibility, Strategic Management Journal, Vol. 38 (11), 2017. (Journal Article)
This article explores the relationship between corporate social irresponsibility (CSI) and financial risk. We posit that media coverage of CSI generates risk by providing conditions that increase the potential for stakeholder sanctions. Through analyzing an international panel of 539 firms during 2008–2013, we find that firms receiving higher CSI coverage face higher financial risk. We show that the reach of the reporting media outlet is a critical condition for this relationship. Once the outlet has a high reach, the severity of CSI coverage is a boundary condition that further reinforces the effect. Our findings complement existing theory about the risk-mitigating effect of corporate social responsibility by illuminating the risk-generating effect of CSI coverage. For executives, these insights suggest complementary strategies for corporate risk management. |
|
Colombe de Boccard, Arnaud Cywie, Marc Chesney, Taxe sur les transactionsfinancières: les Suisses mieux lotis qu'en Europe?, In: Le temps, 21 March 2017. (Media Coverage)
|
|
Redaktion Echo der Zeit, Annette Krauss, Auch Investoren haben die Mikrofinanzierung entdeckt, In: Schweizer Radio und Fernsehen SRF, 15 March 2017. (Media Coverage)
|
|
Peter Seele, Marc Chesney, Toxic sustainable companies? A critique on the shortcomings of current corporate sustainability ratings and a definition of ‘financial toxicity, Journal of Sustainable Finance & Investment, Vol. 7 (2), 2017. (Journal Article)
Building on critical literature on corporate sustainability, we add a perspective thus far only scarcely addressed: The toxicity of financial products imposing systemic risk. We start with various illustrative cases from the financial sector which have also been discussed colorfully in the media. This sets the stage for toxic assets and practices as revealed after the onset of the financial crisis precipitated by the collapse of Lehman Brothers. To illustrate corporate toxicity we use the “Global 100 Index” from “Corporate Knights” to show which (financial) scandals or bailouts cases were detected at corporations awarded a position in the prestigious sustainability rating. Subsequently we develop the concept of ‘toxicity’ adopted from pharmacology as a meta-criterion, which, as we argue, should be added to the concept of Corporate Social Responsibility (CSR) and the ESG (environment, society, governance) universe. We discuss implications for theory development and the overall credibility of corporate sustainability ratings. |
|
Marc Chesney, Wachstum in Frage stellen, In: Tages Anzeiger, p. Online, 13 February 2017. (Newspaper Article)
|
|
Damian Durrer, The Relationship between Relative Maturity and Depth of Outreach of Microfinance Institutions, University of Zurich, Faculty of Business, Economics and Informatics, 2017. (Bachelor's Thesis)
|
|
Nicolas Wagner, Kreditvergabemethode und Kreditportfolios von Mikrofinanzinstituten, University of Zurich, Faculty of Business, Economics and Informatics, 2017. (Bachelor's Thesis)
|
|
Gabriel Sassoon, Marc Chesney, La finance est en proie à une crise des valeurs, In: 24 heures, Tribune de Genève, 23 January 2017. (Media Coverage)
|
|
Marc Chesney, Terrorisme, la fin de la trêve, In: Le Temps, p. Online, 12 January 2017. (Newspaper Article)
|
|
Delia Coculescu, Monique Jeanblanc, Some No-Arbitrage Rules under Short-Sales Constraints and Applications to Converging Asset Prices, In: Mathematical Finance, No. n/a, 2017. (Working Paper)
Under short sales prohibitions, no free lunch with vanishing risk (NFLVRS) is known to be equivalent to the existence of an equivalent supermartingale measure for the price processes (Pulido, 2014).We give a necessary condition for the drift of a price process to satsify (NFLVRS). For two given price processes, we introduce the concept of fundamental supermartingale measure, and when a certain condition necessary to the construction of this fundamental supermartingale measure is not fulfilled, we provide the corresponding arbitrage portfolios. The motivation of our study lies in understanding the particular case of converging prices, i.e., two prices that coincide at a bounded random time. |
|