Contributions published at Department of Banking and Finance (Pablo Koch Medina)

Problemkredite und Workout-Management gehören spätestens seit den 90er Jahren zum schweizerischen Kreditgeschäft. Der massive Wirtschaftsabschwung, der Zusammenbruch des Immobilienmarktes sowie gravierende Strukturprobleme in einzelnen Branchen führten zu rekord-hohen Konkurszahlen. Die Banken, die Ende der achtziger Jahre noch ei-ne geradezu sorglose Kreditvergabepolitik verfolgten, sahen sich mit einer dramatischen Anhäufung von Problemengagements konfrontiert. Auf die stark angestiegenen Kreditverluste reagierten die Banken mit dem Auf- und Ausbau von Spezialabteilungen - sogenannten Workout-Abteilungen. Vor dem Hintergrund dieser Thematik behandelt dieses Buch das Workout-Management einer Bank. Ziel des Workout-Managements ist es, durch verschiedene bankinterne und -externe Massnahmen drohende Kreditausfälle bei Problemkrediten zu verringern oder ganz zu vermeiden. Im Mittelpunkt stehen neben operativen Aspekten, wie Erkennung, Bewertung und Steuerung problematischer Kreditpositionen auch strategische Entscheidungen: Das Outsourcing einzelner Workout-Aktivitäten sowie der Verkauf ganzer Problemkredit-Portfolios. Eine umfassende empirische Erhebung ergänzt und untermauert die Aussagen aus Sicht der Praxis.

An inverse relation between underpricing and IPO proceeds holds true because of dilution, even as uncertainty remains unchanged. The use of the inverse of IPO proceeds as a proxy for uncertainty may therefore be misleading.

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This paper sets up a model for analysing the problem of rational exit where the stopping time itself is part of the integration problem. The model development is for the case of smoking. Smoking produces pleasure, pain and addiction. Our model captures all these elements and using Brownian notion and continuous martingales establishes that “quit smoking” campaigns require a two pronged attack: educational and medical. It develops a new technique which can be applied to other stopping problems where stopping time itself is part of the integration problem.

In this paper we propose a new tâtonnement process of short-period equilibria with rational expectations: current period prices move proportionally to current period excess demand while future prices are formed according to the perfect foresight hypothesis. It is shown that this process is locally asymptotically stable if all goods are gross substitutes, or if the equilibrium has no trade. In general this process differs from a tâtonnement process in contingent contracts prices and from a tâtonnement in asset and spot market prices. It also differs from Hicks' and exceptional stability. In an intertemporal variant of Scarf's example on the instability of the Walrasian tâtonnement process it will be seen that the tâtonnement process we propose is more stable than any other process investigated so far.

We present a possible explanation for the lack of permanence of the very high levels of concentration of ownership that accompany leveraged buyouts. We first argue that some diffusion of ownership can be beneficial to the shareholders of a firm by encouraging the employees of the firm to enter into implicit contracts with the firm. The level of concentration of ownership that maximizes firm value is therefore that which trades off the well-known gains from monitoring with the gains from implicit contracting. We then argue that, in the process of concentrating the ownership of a firm that has excessively diffuse ownership to a level that maximizes firm value, investors in leveraged buyouts will choose an initial level of concentration of ownership that is very high. They will do so in order to put pressure on managers to breach existing implicit contracts. Following the breach of these contracts, investors will decrease the level of concentration of ownership to the level that maximizes firm value. There will be no further breach of implicit contracts, for such breach is incidental to the transformation of the firm from one that has excessively diffuse ownership to one that has the optimal level of diffusion of ownership. No change in the concentration of ownership therefore occurs once the level of diffusion of ownership that maximizes firm value has been attained.

The purpose of this note is to demonstrate that the commonly held belief that incomplete and perverse pass-through are incompatible with perfect competition is wrong! To this end, we consider two types of firms both operating in two countries. The demand sides of the markets of the two countries are separated and each type of firm produces its good in one of these countries. We study the effect of an exchange-rate change on the competitive equilibrium prices in each country. When producing for the foreign market causes the same costs as producing for the home market then the “law of one price” holds and an exchange-rate change is completely offset by price changes. Furthermore, when cost functions neither exhibit economies nor diseconomies of scope between producing for the home and producing for the foreign market then prices move in the “right” directions in response to an exchange-rate change. However, with general cost structures, even in this simple perfectly competitive model, “perverse” directions of price changes can result from an exchange-rate change.

We present an information-based explanation for spinoffs. When the various divisions of a firm are spun off into several firms that have separate stock market listings, the number of traded securities increases. This makes the price system more informative. It improves the quality of the investment decisions made by managers and reduces uninformed investors' uncertainty about the value of the divisions. Both effects serve to increase the sum total of the market values of the spun-off divisions above the market value of the original firm.

Präferenzen für Umweltgüter hängen immer vom Kontext ab, in dem der einzelne seine Entscheidung trifft. Da viele Umweltbelastungen nicht unmittelbar erfahrbar sind, müssen ökologische Handlungsalternativen in der konkreten Situation erst einmal "in den Sinn" kommen. Wahrnehmungshilfen wie Meßwerte, Okobilanzen oder Umweltlabels können dabei ökologische Präferenzen wachrufen.