Benjamin Mösch, Die Regulierung von Leerverkäufen, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2010. (Bachelor's Thesis)
|
|
Patrick Höfliger, The Transaction Volume of Derivatives during scheduled and unscheduled Events, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2010. (Bachelor's Thesis)
|
|
Claudia Fernandes, Imposing the Right Constraints on Behavioral Portfolios, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2010. (Master's Thesis)
|
|
Matthias Schnare, Credit Default Swap contracts and credit risk during the financial crisis, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2010. (Master's Thesis)
|
|
Vasso Ioannidou, Steven Ongena, “Time for a Change”: Loan conditions and bank behavior when firms switch banks, Journal of Finance, Vol. 65 (5), 2010. (Journal Article)
This paper studies loan conditions when firms switch banks. Recent theoretical work on bank–firm relationships motivates our matching models. The dynamic cycle of the loan rate that we uncover is as follows: a loan granted by a new (outside) bank carries a loan rate that is significantly lower than the rates on comparable new loans from the firm's current (inside) banks. The new bank initially decreases the loan rate further but eventually ratchets it up sharply. Other loan conditions follow a similar economically relevant pattern. This bank strategy is consistent with the existence of hold-up costs in bank–firm relationships. |
|
Simon Scheidegger, Gravitational waves from 3D MHD core-collapse supernova simulations with neutrino transport, University of Basel, Faculty of Science, Departement Physik, Physik, Theoretische Physik Astrophysik , 2010. (Dissertation)
Core-collapse supernovae (CCSNe) are among the most energetic explosions in the universe, liberating the prodigious amount of ~ 1053 erg, the binding energy of their compact remnants, neutron stars or stellar mass black holes. While 99% of this energy is emitted in neutrinos, 1% goes into the internal and asymptotic kinetic energy of the ejecta, and it is reasonable to assume that a tiny fraction is radiated in gravitational waves (GWs). Ever since the first experimental efforts to detect GWs, CCSNe have been considered prime sources of gravitational waves for interferometric detectors. Besides neutrinos, which have already been observed in the context of stellar core collapse of SN1987A, GWs could provide us access to the electromagnetically hidden compact inner core of some such cataclysmic events, supplying us for example with valuable information about the angular momentum distribution and the baryonic equation of state, both of which are uncertain. Furthermore, they might even help to constrain theoretically predicted SN mechanisms. However, GW astronomy strongly depends on the extensive data processing of the detector output on the basis of reliable GW estimates, which only recently have become feasible with the emerging power of supercomputers. The work presented in this thesis is concerned with numerical CCSN models and their imprints in GWs. I performed an extensive series of more than 30 three-dimensional magnetohydrodynamical (MHD) core-collapse simulations. My models are based on a 15M [...] progenitor stemming from stellar evolution calculations, an effective general relativistic potential and either the Lattimer-Swesty (with three possible compressibilities) or the Shen equation of state (EoS) for hot, dense matter. Furthermore, the neutrino transport is tracked by computationally efficient algorithms for the radiative transfer of massless fermions. I systematically investigated the effects of the microphysical finite-temperature nuclear EoS, the initial rotation rate, both the toroidal and the poloidal magnetic fields, and multidimensional gravitational potentials on the GW signature. Based on the results of these calculations, I obtained the largest – and also one of the most realistic – catalogue of GW signatures from 3D MHD stellar core collapse simulations at present. I stress the importance of including postbounce neutrino physics, since it quantitatively alters the GW signature. Non- and slowly-rotating models show GW emission caused by prompt and protoneutron star (PNS) convection. Moreover, the signal stemming from prompt convection allows for the distinction between the two different nuclear EoS indirectly by different properties of the fluid instabilities. For simulations with moderate or even fast rotation rates, I only find the axisymmetric type I wave signature at core bounce. In line with recent results, I could confirm that the maximum GW amplitude scales roughly linearly with the ratio of rotational to gravitational energy (T/|W|) at core bounce below a threshold value of about 10%. Furthermore, I point out that PNS can become dynamically unstable to rotational instabilities at T/|W| values as low as ~ 2% at core bounce. Apart from these two points, I show that it is generally very difficult to discern the effects of the individual features of the input physics in a GW signal from a rotating CCSN that can be attributed unambiguously to a specific model. Weak magnetic fields do not notably influence the dynamical evolution of the core and thus the GW emission. However, for strong initial poloidal magnetic fields ≥ 1012G, the combined action of flux-freezing and field winding leads to conditions where the ratio of magnetic field pressure to matter pressure reaches about unity which leads to the onset of a jet-like supernova explosion. The collimated bipolar out-stream of matter is then reflected in the emission of a type IV GW signal. In contradiction to axisymmetric simulations, I find evidence that nonaxisymmetric fluid modes can counteract or even suppress jet formation for models with strong initial toroidal magnetic fields. I emphasize the importance of including multidimensional gravitational potentials in rapidly rotating 3D CCSN simulations: taking them into account can alter the resulting GW amplitudes up to a factor of 2 compared to simulations which encounter gravity only by a monopolar approximation. Moreover, I show that the postbounce dynamics occuring in the outer layers (at radii R ≥ 200km) of models run with 3D gravity deviates vastly from the ones run with a 1D or 2D gravitational potential. The latter finding implies that both spherically symmetric and axisymmetric treatments of gravity are too restrictive for a quantitative description of the overall postbounce evolution of rapidly rotating CCSN models. The results of models with continued neutrino emission show that including deleptonization during the postbounce phase is an indispensable issue for the quantitative prediction of GWs from core-collapse supernovae, because it can alter the GW amplitude up to a factor of 10 compared to a pure hydrodynamical treatment. My collapse simulations indicate that corresponding events in our Galaxy would be detectable either by LIGO, if the source is rotating, or at least by the advanced LIGO detector, if it is not or only slowly rotating. |
|
Ramazan Gençay, Yanqin Fan, Unit root tests with wavelets, Econometric theory, Vol. 26 (5), 2010. (Journal Article)
This paper develops a wavelet (spectral) approach to testing the presence of a unit root in a stochastic process. The wavelet approach is appealing, since it is based directly on the different behavior of the spectra of a unit root process and that of a short memory stationary process. By decomposing the variance (energy) of the underlying process into the variance of its low frequency components and that of its high frequency components via the discrete wavelet transformation (DWT), we design unit root tests against near unit root alternatives. Since DWT is an energy preserving transformation and able to disbalance energy across high and low frequency components of a series, it is possible to isolate the most persistent component of a series in a small number of scaling coefficients. We demonstrate the size and power properties of our tests through Monte Carlo simulations. |
|
Benjamin A Malin, Dirk Krüger, Felix Kübler, Solving the Multi-Country Real Business Cycle Model using a Smolyak-Collocation Method, Journal of Economic Dynamics and Control, Vol. 35 (2), 2010. (Journal Article)
We describe a sparse-grid collocation method to compute recursive solutions of dynamic economies with a sizable number of state variables. We show how powerful this method can be in applications by computing the non-linear recursive solution of an international real business cycle model with a substantial number of countries, complete insurance markets and frictions that impede frictionless international capital flows. In this economy, the aggregate state vector includes the distribution of world capital across different countries as well as the exogenous country-specific technology shocks. We use the algorithm to efficiently solve models with up to 10 countries (i.e., up to 20 continuous-valued state variables). |
|
Remo Crameri, Three essays inferring prospective and retrospective information based on options trading activities and a new theoretical approach on multivariate subordinati of Lévy processes, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2010. (Dissertation)
|
|
Bruno Frey, Margit Osterloh, Evaluations: hidden costs, questionable benefits and superior alternatives, In: Professional pride – a powerful force, Eleven International Publishing, The Hague, p. 175 - 196, 2010-10. (Book Chapter)
Research evaluation is praised as the symbol of modern quality management. We claim firstly, performance evaluations in research have higher costs than normally assumed, because the evaluated persons and institutions systematically change their behavior and develop counter strategies. Moreover, intrinsic work motivation is crowded out and undesired lock-in effects take place. Secondly, the benefits of performance evaluations are questionable. Evaluations provide too little information relevant for decision-making. In addition, they lose importance due to new forms of scientific cooperation on the internet. Thirdly, there exist superior alternatives. They consist in careful selection and supportive process coaching – and then leave individuals and research institutions to direct themselves. |
|
P M A R Heugens, Andreas Scherer, When Organization Theory Met Business Ethics. Towards Further Symbiosis, Business Ethics Quarterly, Vol. 20 (4), 2010. (Journal Article)
Organization theory and business ethics are essentially the positive and normative sides of the very same coin, reflecting on how human cooperative activities are organized
and how they ought to be organized respectively. It is therefore unfortunate that—due to the relatively impermeable manmade boundaries segregating the corresponding scholarly communities into separate schools and departments, professional associations, and scientific
journals—the potential symbiosis between the two fields has not yet fully materialized. In this essay we make a modest attempt at establishing further connectivity by surveying the terrain covered by the two disciplines jointly, as if the boundaries between them did not matter. We commence by providing a concise overview of the organization theory discipline for interested non-specialists from the field of business ethics. Next, we proceed to point out four research themes commonly investigated by members of both communities, and also a variety of organization-theoretical perspectives on each. In the final part of this essay we
explore what organization theory has to offer business ethics, and what the boundaries of that potential contribution are. We warn skeptical readers in advance that the spirit and tone of our essay is most definitely upbeat, as we are convinced that the potential for symbiosis between the two fields is vast and inspiring, even though it has only been unleashed partially and incidentally thus far. |
|
R Hodler, S Loertscher, D Rohner, Inefficient policies and incumbency advantage, Journal of Public Economics, Vol. 94 (9-10), 2010. (Journal Article)
We present a model of (re)elections in which an incumbency advantage arises because the incumbent can manipulate issue salience by choosing inefficient policies in the policy dimension in which he is the stronger candidate. The voters are uncertain about the state of the world and the incumbent’s choice of policy. Under complete information they would reelect the incumbent if and only if the state is sufficiently high. Undesirable policy outcomes may be due to either a bad state or the incumbent’s choice of inefficient policies. The incumbent uses inefficient policies in intermediate states, whereby he creates uncertainty about the true state in such a way that voters are better off in expectation reelecting him. Hence the equilibrium exhibits an incumbency advantage that stems from asymmetric information and the use of inefficient policies. |
|
G Hein, T Singer, Neuroscience meets social psychology: An integrative approach to human empathy and prosocial behavior, In: Prosocial motives, emotions, and behavior: The better angels of our nature, American Psychological Association, Washington, DC, p. 109 - 125, 2010-10. (Book Chapter)
|
|
Iryna Stewen, Regional financial deregulation, international portfolios and risk sharing - three essays, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2010. (Dissertation)
|
|
R C van Kleef, K Beck, F Buchner, Risk-type concentration and efficiency incentives: a challenge for the risk adjustment formula, The Geneva Papers on Risk and Insurance - Issues and Practice, Vol. 35 (4), 2010. (Journal Article)
An important goal of risk-adjusted capitation payments (RACPs) to competitive community-rated health plans-that may differ in coverage and/or the organisation of delivering care-is to reduce incentives for risk selection while maintaining incentives for efficiency. In most schemes, RACPs are simply based on the average observed costs in risk groups (in a prior year). We show that under this procedure, incentives for efficiency will not always be maintained: when identical risk types are concentrated in the same health plans-due to selection, specialisation or just coincidence-cost savings can be captured by the RACPs and leak away from these plans. |
|
Philipp Jostarndt, Zacharias Sautner, Out-of-court restructuring versus formal bankruptcy in a non-interventionist bankruptcy setting, Review of Finance, Vol. 14 (4), 2010. (Journal Article)
We investigate debt restructurings in Germany for a sample of 116 financially distressed companies. About half of the firms succeed in restructuring their debt in a workout while the others file for bankruptcy. Our evidence suggests that firms which have higher leverage, owe more debt to banks, and exhibit higher going concern values are more likely to conduct a workout. Bankruptcy is more likely for firms with deficient lender coordination and a high fraction of collateralized debt. An analysis of stock returns suggests that the market uses similar information to predict workouts. 84% of the bankrupt firms were ultimately liquidated. |
|
Urs Meister, Wie die Strommarktliberalisierung gerettet werden kann, In: Neue Zürcher Zeitung, 226, p. 23, 29 September 2010. (Newspaper Article)
|
|
Sule Akkoyunlu, Frank R Lichtenberg, Boriss Siliverstovs, Peter Zweifel, Spurious correlation in estimation of the health production function: A note, Economics Bulletin, Vol. 30 (3), 2010. (Journal Article)
In this paper, we address the issue of spurious correlation in the production of health in a systematic way. Spurious
correlation entails the risk of linking health status to medical (and nonmedical) inputs when no links exist. This note
first presents the bounds testing procedure as a method to detect and avoid spurious correlation. It then applies it to a
recent contribution by Lichtenberg (2004), which relates longevity in the United States to pharmaceutical innovation
and public health care expenditure. The results of the bounds testing procedure show longevity to be related to these
two factors. Therefore, the estimates reported by Lichtenberg (2004) cannot be said to be result of spurious
correlation, to the contrary, they very likely reflect an effective relationship, at least for the United States. |
|
Andreas Scherer, Organizing for Legitimacy: Challenges for Corporate Responsibility and Sustainability in a Globalized World, In: conference “The Foundations of Sustainability. An International Conference”, sponsored by the Journal of Management Studies and the Society for the Advancement of Management Studies. 2010. (Conference Presentation)
|
|
S Fricker, Martin Glinz, Comparison of requirements hand-off, analysis, and negotiation: case study, In: 18th IEEE International Requirements Engineering Conference (RE'10), 2010-09-27. (Conference or Workshop Paper published in Proceedings)
Companies in the software business often distribute requirements engineering responsibilities over several roles. Product management has overall product responsibility and performs early-phase market-driven requirements engineering. Product development implements the product and performs late-phase solution-oriented requirements engineering. Such shared responsibility provides advantages in the utilization of specific knowledge, skills, and resources, but leads to problems of mutual understanding and coordination. Earlier research proposed a negotiation process, handshaking with implementation proposals, that allows product management and development to achieve agreed requirements understanding. The process found acceptance in industry, but the relative advantages compared with traditional requirements hand-off and analysis had not been understood yet. This paper fills this gap by describing a case of measuring requirements and design volatility and an architect's requirements understanding during requirements hand-off, analysis, and negotiation. |
|