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Contributions in Merlin

Contributions
Marco Bänziger, Der Zusammenhang zwischen Strukturierten Derivaten und dem Kreditrisiko auf dem Sekundärmarkt, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Bachelor's Thesis) null
David Deck, Einfluss delegierter Vermögensverwaltung auf die Dynamik der Asset Preise, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Bachelor's Thesis) null
Erika Cordova, Microcredit allocation and borrower selection: A qualitative study of microcredit allocation in Ecuador, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Bachelor's Thesis) null
Wiehl Michael, Risiken und Massnahmen im Hinblick auf eine Immobilienblase in der Schweiz, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Master's Thesis) null
Michael Iten, Das Risikomanagement von Mikrofinanzinstitutionen, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Bachelor's Thesis) null
Johanna Voser, Media Coverage and the Cross-Section of Stock Returns in Switzerland, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Master's Thesis) null
Reto Schläpfer, Alpha Opportunity barometer, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Master's Thesis) This thesis identifies the most powerful serial dependence estimator for daily financial returns with a monte carlo experiment and uses it to estimate market efficiency over time. With these efficiency estimates, the Alpha Opportunity Barometer is constructed, a time series that indicates market efficiency at any point in time. It is shown with a custom statistical test that past short term mean reversion indicated low future returns, high future volatility and momentum for the past ten years in major stock indices and some commodities.
Philipp Langenegger, Real estate in an asset allocation: an optimized portfolio through resampling, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Master's Thesis) null
Sandra Brechbühl, Indexierte Leistungsmessung in empirischen Bewertungsmodellen, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Bachelor's Thesis) null
Rossier Joël, Hedge Fund Placement - current situation and possible developments, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Master's Thesis) null
Adrian Gisler, Integration of the Brazilian stock market, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Bachelor's Thesis) null
Ivan Petzev, Too Big to Fail and Systemic Risk, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Master's Thesis) This thesis discusses the problem of too big to fail in the context of the recent financial crisis. Building upon research from Billio et al.(2010), it contributes to the growing literature on systemic risk by proposing a risk contribution measure. Moreover, a comparison between Bear Stearnsâ and Lehman Brothersâ relative systemic importance is undertaken. Empirical results provide some evidence on the validity of the indicator in respect to the identification of systemically important institutions. Still, some limitations concerning measure precision and robustness emerge. Moreover, no clear conclusion can be drawn on the relative importance of the aforementioned investmentbanks.
Daniel Gsponer, Zusammenhang zwischen unternehmensinterner (Überschuss-) Liquidität und wertgenerierenden M&A-Transaktionen im deutschsprachigen Raum, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Bachelor's Thesis) null
Jean-Marc Meier, The Impact of Market Conditions on the Performance of Different Option Pricing Models, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Master's Thesis) null
Andreas Ita, A Framework to Discuss the Impact of Conditional Contingent Capital on Banks, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Master's Thesis) This thesis develops a simple framework to price Conditional Contingent Capital (CoCos) building on Merton's option based credit risk model. The novelty of the approach lies in the replication of the payout of contingent capital by standard financial instruments in the context of a structural model. Barrier options are an indispensable mean to reflect the conditional conversion feature of contingent capital. The fair coupon of contingent capital varies with the specific structure of the instrument. The framework is applied to illustrate the impact of CoCos on other capital tranches and to examine asset substitution and underinvestment. This thesis finds that certain CoCos variants can lead to a severe debt overhang that threatens the ability of a bank to issue new capital by traditional means. Conjectures that the conversion of contingent capital can induce a selling wave in the firm's shares are substantiated.
Drazen Juric, Wie beeinflusst die optionsbasierte Entlohnung das Bankenrisiko: Eine empirische Analyse unter besonderer Berücksichtigung der 2007 - 2009er Krise, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Bachelor's Thesis) null
Patrice Bürgi, Do European Allowance Futures offer diversification gains for international investors? A portfolio analysis of the EU ETS from 2008 to 2010, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Master's Thesis) null
Gerd Guba, Bildung und Bewertung eines dynamischen Modellportfolios unter Anwendung des MACD-Indikators am Beispiel des DAX und SMI im Zeitraum von 2006-2010, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Bachelor's Thesis) AbstractÂ Die Suche nach Indikatoren zur Erzielung einer Ãberrendite beschäftigt die Finanzwissenschaft seit vielen Jahren. Im Zuge dessen wurden in dieser Arbeit unter Verwendung des MACD-Indikators im Zeitraum von 2006 bis 2010 zwei aus Aktientiteln des DAX und des SMI, welche die eigens gewählten monatlichen Restriktionen erfüllten, sowie aus einem Geldmarktfonds bestehende dynamische Modellportfolios konstruiert und die Ergebnisse mit den Vergleichsindizes verglichen. Hierbei erzielten beide Modellportfolios im gesamten Untersuchungszeitraum mit statistischer Signifikanz eine höhere Rendite bei gleichzeitig niedrigerer annualisierter Volatilität als ihre jeweiligen Vergleichsindizes. Des Weiteren werden die Fundamentalanalyse und die Technische Analyse vorgestellt und miteinander verglichen.
Etienne Schwartz, Die Risikoprämie auf die Veröffentlichung von Quartalszahlen: Eine empirische Analyse für den europäischen Aktienmarkt, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Bachelor's Thesis) null
Stefano Battiston, M Napoletano, F Schweitzer, Michael D König, Recombinant knowledge and the evolution of innovation networks, Journal of Economic Behavior & Organization, Vol. 79 (3), 2011. (Journal Article) We introduce a new model for the evolution of networks of firms exchanging knowledge in R&D partnerships. Innovation is assumed to result from the recombination of knowledge among firms in an R&D intensive industry. The decision of two firms to establish a new partnerships or to terminate an existing one, is based on their marginal revenues and costs, which in turn depend on the position they occupy in the network. Moreover, the formation of a collaboration has significant external effects on the other firms in the same connected component of the network. We show that this decentralized partner selection process leads to the existence of multiple equilibrium structures. Finally, by means of computer simulations, we study the properties of the emerging equilibrium networks and we show that they reproduce the stylized facts of R&D networks.

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