Contributions published at Quantitative Finance (Marc Chesney)

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Die Grossbank hat Diktatoren und Kriminellen Konten gewährt, wie eine Recherche zeigt. Das schadet dem Finanzplatz Schweiz und könnte die CS einige Kunden kosten. 20 Minuten beantwortet die wichtigsten Fragen rund um das Debakel.

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Angesichts weiterer teurer Rechtsfälle fordert Bankenexperte Marc Chesney mehr Transparenz bei der Credit Suisse und einen Ausstieg aus dem Investmentbanking.

Purpose: This paper aims to empirically describe the general characteristics and the investment behavior of high-net-worth individuals (HNWIs) who pursue impact investing. Design/methodology/approach: Data was collected from members of a global impact investor network, using an online questionnaire, a portfolio-data collection tool and semi-structured interviews. Findings: Wealthy private impact investors are largely similar in terms of their general characteristics and investment behavior, but they diverge in their interest in specific Sustainable Development Goals (SDGs). They tend to be strongly values-driven and to adopt an investment time horizon of 7+ years for their impact investments, which they expect to yield financial returns that are no different from those of traditional investments. Interestingly, these investors perceive the well-established sustainable investing strategies of exclusion, environmental, social and governance (ESG) integration and best-in-class as not having high impact-generating potential. Practical implications: Suggestions are provided about how wealthy private investors could use the findings to improve their impact investment decisions. Advice is offered to investment professionals on how to optimize impact investment products and services for this economically and societally highly relevant target group. Originality/value: To the best of the authors’ knowledge, this is the first scientific study to investigate the general characteristics and investment behavior of HNWIs who pursue impact investing. HNWIs have great relevance for financial markets yet they are out of reach for most researchers. As a result, they are poorly understood, and apparently also often misunderstood, which has substantial economic and social implications that this paper helps mitigate.

We consider a group consisting of N business units. We suppose there are regulatory constraints for each unit; more precisely, the net worth of each business unit is required to belong to a set of acceptable risks, assumed to be a convex cone. Because of these requirements, there are less incentives to operate under a group structure, as creating one single business unit, or altering the liability repartition among units, may allow to reduce the required capital. We analyse the possibilities for the group to benefit from a diversification effect and economise on the cost of capital. We define and study the risk measures that allow for any group to achieve the minimal capital, as if it were a single unit, without altering the liability of business units, and despite the individual admissibility constraints. We call these risk measures cohesive risk measures. In the commonotonic case, we show that they are tail expectations but calculated under a different probability.

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For many multilinguals, the use of a given language is specific to certain areas of life, such as family, social or professional life. This may mean that, for a given person, lexical precision does not imply fluency, and vice-versa. Therefore, having a certain type of skills in a second language does not guarantee a successful use of this second language in all circumstances. This may be especially true with respect to emotional versus factual communication and contents. When a language normally only employed for factual communication is used to express emotional content, the level of precision or understanding may suffer. This research asks the following question: does the use of Global English in the workplace affects the alertness of non-native English speakers in perceiving ethical dilemmas? The hypothesis we explore is that non-native English-speaking employees of organisations in which Global English is the main communication tool, or one of them, may suffer from such communicational, or linguistic, asymmetry, as defined in the paper. In doing so, this study contributes to the ‘Global English’ research agenda and examines the consequences of the use of English. Our statistical results suggest that the importance of linguistic asymmetry becomes acute in situations where ethical issues – with their blend of emotional and technical aspects – emerge in contexts in which otherwise only professional, i.e. factual and technical, contents prevail. The linguistic asymmetry may impair the level of ethical alertness of non-native English-speakers working in organisations where English dominates.

Dieses Buch widmet sich sowohl den Grundlagen von Finanzderivaten als auch den damit einhergehenden Systemrisiken, die sich in den letzten Krisen und der inhärenten Finanzinstabilität des Systems deutlich manifestiert haben. Da die Größe und der Einfluss des Finanzsektors stark gestiegen sind, können, ohne dessen Logik und Dynamik zu verstehen, wirtschaftliche Zusammenhänge nur schwer analysiert werden. Dieses Buch führt daher sowohl die Funktionsweisen als auch die Einsatzmöglichkeiten der Derivate ein. Um das Bild jedoch vollständig aufzuzeigen, werden diese zudem kritisch hinterfragt und die damit verbundenen Konzepte und Modelle der Wirtschaftswissenschaften eingehend diskutiert. Konkrete Beispiele helfen dabei, diese Analysen besser zu verstehen. Neben der formellen Herleitung der wichtigsten derivativen Produkte werden auch intuitive Vergleiche gezogen, sodass die Leserschaft unabhängig von Vorkenntnissen ein fundamentales Verständnis für Finanzprodukte erlangen kann. Diese zweite Auflage wirft zudem auch einen Blick auf die Folgen der Covid-19-Pandemie für die Wirtschaft im Allgemeinen sowie den Finanzsektor im Besonderen.

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Eine Super-Software mit dem Namen "Aladdin" kontrolliert einen wichtigen Teil der weltweiten Vermögen. Sie gehört dem Finanzriesen Blackrock. Auch Schweizer Grossbanken nutzen sie. Wie funktioniert sie, und besteht die Gefahr einer Manipulation der globalen Finanzmärkte?

Financial companies, the government and regulators face a sizeable task in turning Switzerland into a sustainable finance hub, amid mounting scepticism from pressure groups.

This thesis explores the application of the Advantage Actor Critic (A2C) Deep Reinforcement Learn- ing Algorithm to a trading portfolio comprised of the 30 Dow Jones Index shares. Daily OHLCV data is downloaded from Yahoo!Finance and this price and volume data is supplemented with four technical indicators which, along with return and covariance data, constitute the features of the trading environment. The application is modelled as a Markov Decision Process, where the A2C algorithm is the agent acting upon the trading environment. The trading agent is trained with a deep neural network. The algo-driven portfolio return and Sharpe ratio are compared with the return and Sharpe ratio of the Dow Jones Index. Backtests are done for the period from 1 September 2020 to 1 September 2021. However, since this was an unusually volatile period because of covid-19 and US election concerns, the backtest is repeated for the relatively less volatile period from 1 January 2019 to 1 January 2020. We nd that with transaction costs set at 0.1%, the algorithm delivers an expected alpha of 5 percent and 1 percent respectively.

Startups with products and services aiming to reduce the environmental impact of modern society play a vital role in tackling climate change. However, an efficient allocation of funds is needed to bridge the early-stage funding gap these innovative startups face. Traditionally, venture capital has taken on that job, but with the rise of equity-based crowdfunding and the need for environmentally conscious decision making, the validity of this role has been put into question. This thesis explores whether equity-based crowdfunding could provide a better alternative for sourcing early funding. By leading qualitative interviews with founders of such innovative startups, valuable insight is gained into their experience raising funds for startups with environmental sustainability driven purposes. The results indicate that there are two areas founders should focus on when determining the value of running an equity-based crowdfunding campaign. One being a selection of criteria, such as the experience of the founder or whether the product is mass consumer oriented. The other being the aspects of crowdfunding, like the effect hundreds of crowdinvestors have on the shareholder structure, that in turn may have adverse effects on future funding opportunities. This suggests that founders need to critically analyze their startup and weigh the potential adverse effects that follow a crowdfunding campaign before deciding which funding route to take.

One of the factors infuencing the emergence of disparities between rural and urban regions is the varying level of financial inclusion of the population. The system of microfinancing is becoming an important mechanism against poverty and social exclusion in Europe. However, there is available very limited legal, regulatory and historical information on the microfinance system in the Czech Republic. As a result, microfinance institutions are absent and small entrepreneurs tend to use expensive consumer credit products, thereby increasing the risk of over-indebtedness. The aim of this research is to examine the repayment performance of the European microfinance institutions with increased share of clients from rural areas. Based on an empirical statistical analysis of an unique European microfinance institutions' database, we are presenting evidence that suggests that microfinance systems perform better in rural than in urban areas. This finding is strongly recommended for consideration in the development of policies to guide legal frameworks regarding microfinancing. Keywords Microfinancing industry, quality of portfolio, rural economic development, social capital.

Pour le professeur Marc Chesney, la finance n’accorde de valeur qu’à ce qui possède un prix. Une conception utilitariste de la nature qui conduit forcément à la prédation. Comment distinguer le «greenwashing» d’un véritable engagement? A ses yeux, c’est au monde académique de fournir les outils.

Sustainable development requires a shift from traditionally invested assets to socially responsible investing (SRI), bringing together financial profits and social welfare. Private high-net-worth individuals (HNWIs) are critical for this shift as they control nearly half of global wealth. While we know little about HNWIs’ investment behavior, reference group theory suggests that their SRI engagement is influenced by their identification with and comparison to reference groups. We thus ask: how do reference groups influence the investment behavior of SRI-oriented HNWIs? To answer this question, we analyzed a unique qualitative data set of 55 semi-structured interviews with SRI-oriented HNWIs and industry experts. Our qualitative research found that, on the one hand, the family serves as a normative reference group that upholds the economic profit motive and directly shapes HNWIs to make financial gains from their investments at the expense of social welfare. On the other hand, fellow SRI-oriented HNWIs serve as a comparative reference group that does not impose any concrete requirements on social welfare performance, indirectly influencing SRI-oriented HNWIs to subordinate social concerns to financial profits. Our scholarly insights contribute to the SRI literature, reference group theory, and practic