Matthias Erdin, Diversification Effect in case of Heavy-Tailed Distributions , University of Zurich, Faculty of Business, Economics and Informatics, 2022. (Master's Thesis)

The diversification gain (DG) measures the reduction in risk-based capital by bundling risks in a
portfolio rather than holding them individually. We use the Value-at-Risk (VaR), Expected-Shortfall
(ES), and Expectile to estimate the DG for Frechet distributed risks with different tail indices based
on Monte Carlo simulations. This leads to the following results:
The DG is lower for heavier tails. However, the DG is not significantly affected by the tail for
dependent risks with finite second moment. The DG is higher for a higher number of risks, but with
marginally decreasing effects. For dependent risks, the DG does not increase from a certain number
of risks. Exposure limits significantly increase the DG for heavy-tailed risks. Lower limits lead to a
higher DG. Higher dependencies decrease the DG. The behaviour of the DG for the ES and Expectile are similar.
We observe several risk conditions where the VaR is increased by diversification. But the coherent
risk measure ES and the Expectile always show positive diversification gains for risks with finite
expectation. The VaR increase due to diversification is a measurement error rather than a risk
increase.
We also address the advantages of using the diversification gain by Burgi, Dacorogna, and Iles
(2008) as a diversification measure. It allows for comparison across different distributions and is
economically intuitive. The results of the DG approach are also compared to the expected utility
framework. We also explore the conditions for negative diversification effects in the expected utility approach of Ibragimov, Jaffee, and Walden (2009). |
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Moritz Furrer, European Private Equity Performance – Do Private Markets Outperform Public Markets?, University of Zurich, Faculty of Business, Economics and Informatics, 2022. (Master's Thesis)

The asset class of Private Equity was introduced to the public when the book “Barbarians at the Gate” was released by Bryan Burrough and John Helyar in 1990. Back then, the Private Equity industry was mainly focused on leveraged buyouts with the goal of splitting companies into piec-es and sell off these pieces to other market participants. This LBO wave of the late 1980s and early 1990s was driven by cheap debt and attempts to recreate returns as in the case of RJR Nabisco by Kohlberg Kravis Roberts & Co. Over the years, the Private Equity industry evolved from a rather niche market to a main player by increasing raised capital from roughly $240bn per year in 2000 to more than $1´400bn in 2021. In the light of relatively high management fees and performance fees for Private Equity funds, the question remains, if the liquidity risk premia are being compensated and if the fund performance follows a pattern, which might be predictable. Also, the two main private capital strategies, Private Equity and Venture Capital, might have dif-ferent development paths and predictors which could lead to different observable performance indicators. With the help of a major Private Equity-database this study answers the question, if there is a performance difference between Private Equity funds and public markets and if we can predict ex-post Private Equity (buyout) performance with ex-ante, relative neutral, predictors. We conclude that there is a significant overperformance of Private Equity funds in rela-tion to public markets, which ultimately compensate the liquidity risks involved. However, we are not able to identify significant, across the board, ex-ante predictors for ex-post performance of these funds.
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Lucia Alessi, Stefano Battiston, Two sides of the same coin: Green Taxonomy alignment versus transition risk in financial portfolios, International Review of Financial Analysis, Vol. 84, 2022. (Journal Article)
 
We develop the first top-down method to estimate the greenness of financial portfolios, in terms of alignment to the EU Taxonomy for sustainable activities. We also develop a method to estimate, at the same time, the portfolio exposure to climate transition risk. We provide sector-level, standardized and transparent coefficients for both estimates, based on definitions of greenness and transition risk that are applicable across countries. We analyse the portfolios of Euro Area investors in 2022, based on the confidential Securities Holdings Statistics of the European Central Bank. We find that, overall, the greenness of Euro Area investors’ portfolios is lower than their exposure to transition risk (2.8% vs. 11.7%).
Across financial institutions, we estimate greenness and exposure to transition risk, respectively, at 3.2% and 12% for investment funds, at 0.8% and 5% for banks and at 4.8% and 15.1% for insurers. Our analysis also shows that investors with large amounts invested in green activities can have at the same time large exposures to transition risk. |
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Duc Duy Nguyen, Steven Ongena, Shusen Qi, Vathunyoo Sila, Climate Change Risk and the Cost of Mortgage Credit, Review of Finance, Vol. 26 (6), 2022. (Journal Article)
 
We show that lenders charge higher interest rates for mortgages on properties exposed to a greater risk of sea level rise (SLR). This SLR premium is not evident in short-term loans and is not related to borrowers’ short-term realized default or creditworthiness. Further, the SLR premium is smaller when the consequences of climate change are less salient and in areas with more climate change deniers. Overall, our results suggest that mortgage lenders view the risk of SLR as a long-term risk and that attention and beliefs are potential barriers through which SLR risk is priced in residential mortgage markets. |
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Helmut Max Dietl, Tina Nobis, Carlos Gomez Gonzalez, Cornel Nesseler, (Not) being granted the right to belong—Amateur football clubs in Germany, International Review for the Sociology of Sport, Vol. 57 (7), 2022. (Journal Article)
 
Empirical studies show that first- and second-generation immigrants are less likely to be members of sports clubs than their non-immigrant peers. Common explanations are cultural differences and socioeconomic disadvantages. However, lower participation rates in amateur sport could be at least partly due to ethnic discrimination. Are minority ethnic groups granted the same right to belong as their non-immigrant peers? To answer this question, this paper uses publicly available data from a field experiment in which mock applications were sent out to over 1,600 football clubs in Germany. Having a foreign-sounding name significantly reduces the likelihood of being invited to participate. The paper concludes that amateur football clubs are not as permeable as they are often perceived to be. It claims that traditional explanations for lower participation rates of immigrants need to be revisited. |
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Shusen Qi, Steven Ongena, Hua Cheng, Working with women, do men get all the credit?, Small Business Economics, Vol. 59, 2022. (Journal Article)
 
Are firms that are managed and owned by females-only appraised differently than those where genders mix at the top? To answer this question, we study 7,467 small and medium-sized firms from 22 countries. We find that – when borrowing from banks – firms that are both managed and owned by females more often report binding credit constraints and higher interest rate payments than male-only firms; differences that we can attribute to taste-based discrimination. In contrast, if the manager and the owner have a different gender, we find no such differences with male-only firms. Hence, interestingly banks seem to assume that women invariably play second fiddle in the mixed-gender firms. We also show that discrimination between female-only and other firms disappears from economically more developed regions and from credit markets that are more competitive or dominated by transactional lenders. |
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Oliver Rehbein, Steven Ongena, Flooded through the back door: The role of bank capital in local shock spillovers, Journal of Financial and Quantitative Analysis, Vol. 57 (7), 2022. (Journal Article)
 
This paper demonstrates that low bank capital carries a negative externality because it amplifies local shock spillovers. We exploit a natural disaster that is transmitted to firms in non-disaster areas via their banks. Firms connected to a strongly disaster-exposed bank with lowest-quartile capitalization significantly reduce their total borrowing by 6.6% and tangible assets by 6.9% compared to similar firms connected to a well-capitalized bank. These findings translate to negative regional effects on GDP and unemployment. Additionally, following a disaster event, banks reduce their exposure to currently unaffected but generally disaster-prone areas. |
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Florian Berger, Julian Kölbel, Roberto Rigobon, Aggregate Confusion: The Divergence of ESG Ratings, Review of Finance, Vol. 26 (6), 2022. (Journal Article)
 
This paper investigates the divergence of environmental, social, and governance (ESG) ratings based on data from six prominent ESG rating agencies: Kinder, Lydenberg, and Domini (KLD), Sustainalytics, Moody’s ESG (Vigeo-Eiris), S&P Global (RobecoSAM), Refinitiv (Asset4), and MSCI. We document the rating divergence and map the different methodologies onto a common taxonomy of categories. Using this taxonomy, we decompose the divergence into contributions of scope, measurement, and weight. Measurement contributes 56% of the divergence, scope 38%, and weight 6%. Further analyzing the reasons for measurement divergence, we detect a rater effect where a rater’s overall view of a firm influences the measurement of specific categories. The results call for greater attention to how the data underlying ESG ratings are generated. |
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Christian Ewerhart, A “fractal” solution to the chopstick auction, Economic Theory, Vol. 74 (4), 2022. (Journal Article)
 
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Pietro Biroli, Teodora Boneva, Akash Raja, Christopher Rauh, Parental beliefs about returns to child health investments, Journal of Econometrics, Vol. 231 (1), 2022. (Journal Article)
 
Childhood obesity has adverse health and productivity consequences and it poses negative externalities to health services. To shed light on the role of parents, we elicit parental beliefs about the returns and the persistence of a healthy diet and exercise routine in childhood. Parents believe both types of investments to improve child and adult health outcomes. Consistent with a model of taste formation, parents believe that childhood health behaviors persist into adulthood. We show that perceived returns are predictive of health investments and outcomes, and that less educated parents view the returns to health investments to be lower. Our descriptive evidence suggests that beliefs contribute to the socioeconomic inequality in health outcomes and the intergenerational transmission of obesity. |
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Christian Oertel, Armin Schmutzler, Challenging the incumbent: entry in markets with captive consumers and taste heterogeneity, Journal of Economics and Management Strategy, Vol. 31 (4), 2022. (Journal Article)
 
We analyze entry of a firm with a new and differentiated product into a market with two properties: An existing incumbent has a captive consumer base, and all consumers have heterogeneous tastes. The interaction between the share of captive consumers and the degree of taste heterogeneity leads to nonmonotone effects of both parameters on entry: The captive share can have an inverse-U relation with entry profits, and higher taste heterogeneity (i.e., less product substitutability) can impede entry in the presence of captive consumers. |
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Yin Wu, Jianxin Ou, Xin Wang, Samuele Zilioli, Philippe Tobler, Yansong Li, Exogeneous testosterone increases sexual impulsivity in heterosexual men, Psychoneuroendocrinology, Vol. 145, 2022. (Journal Article)
 
Testosterone has been hypothesized to promote sexual motivation and behavior. However, experimental evidence in healthy humans is sparse and rarely establishes causality. The present study investigated how testosterone affects delay of gratification for sexual rewards. We administered a single dose of testosterone to healthy young males in a double-blind, placebo-controlled, between-participant design (N = 140). Participants underwent a sexual delay discounting task, in which they made a choice between a variable larger-later option (i.e., waiting longer to view a sexual picture for a longer duration) and a smaller-sooner option (i.e., waiting for a fixed shorter period of time to view the same picture for a shorter duration). We found that testosterone administration increased preference for the smaller-sooner option and induced steeper discounting for the delayed option. These findings provide direct experimental evidence that rapid testosterone elevations increase impulsivity for sexual rewards and represent an important step towards a better understanding of the neuroendocrine basis of sexual motivation in humans. |
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Steven Ongena, Green versus sustainable loans: The impact on firms’ ESG performance, In: SYMPOSIUM: ESG and Firm Value: a Multi-Stakeholder Approach. 2022. (Conference Presentation)

This paper studies the development of a firm’s Environmental, Social, and Governance (ESG) performance following the issuance of “green loans” earmarked for green projects versus “sustainable loans” to firms bench-marked by ESG criteria. Firms issuing green loans appear to be effective in shrinking their environmental emissions; however, they weaken in social performance indicated by a decrease in their human rights, community, and product responsibility scores. This implies that they prioritize their environmental goals, yet neglect their commitment towards their clients and society. Sustainable loans, on the other hand, we find to incentivize firms to improve their ESG performance by increasing their environmental and governance scores. Thus, the issuance of a sustainable loan surely precedes (and may consequentially signal) subsequent improvements in a firm’s overall ESG performance. |
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Matthias Niklowitz, Alexander Wagner, «Stress test» pour les fonds verts, In: Le Temps, 28 October 2022. (Media Coverage)
 
Les placements durables ont plutôt bien résisté aux crise spassées.Il en va différemment avec celle liée à l'Ukraine et ses répercussions, qui ont quelque peu relégué la problématique environnementale. |
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Maddalena Davoli, A, B, or C? Question format and the gender gap in financial literacy, In: INVALSI data: a tool for teaching and scientific research. 2022. (Conference Presentation)

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Eryk Jerzy Schiller, Timo Surbeck, Mikael Gasparyan, Burkhard Stiller, Torsten Braun, ICN With DHT Support in Mobile Networks, In: 2022 IEEE 47th Conference on Local Computer Networks (LCN), IEEE, Piscataway, NJ, United States, 2022. (Conference or Workshop Paper published in Proceedings)
 
Information-Centric Network (ICN) architectures, such as Named Data Networking (NDN), can improve content delivery on the Internet by deploying in-network caching techniques. Replacing the entire established Internet with a novel architecture is a non-trivial task, which is why this work develops a layered network architecture consisting of several smaller NDN-based mobile networks (resp., domains), interconnected using a Distributed Hash Table (DHT)-based network running as an overlay on top of existing Internet infrastructures. Using simulations, we model real-world network characteristics to evaluate the proposed architecture’s performance successfully. |
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Helmut Max Dietl, Möglichkeiten und Grenzen der akademischen Karriereplanung, In: Mentoring Brown-Bag Session der Schweizerischen Studienstiftung. 2022. (Conference Presentation)

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Felix Maximilian Schmitt-Koopmann, Elaine May Huang, Alireza Darvishy, Accessible PDFs: Applying Artificial Intelligence for Automated Remediation of STEM PDFs, In: The 24th International ACM SIGACCESS Conference on Computers and Accessibility, Association for Computing Machinery, New York, NY, USA, 2022. (Conference or Workshop Paper published in Proceedings)

People with visual impairments use assistive technology, e.g., screen readers, to navigate and read PDFs. However, such screen readers need extra information about the logical structure of the PDF, such as the reading order, header levels, and mathematical formulas, described in readable form to navigate the document in a meaningful way. This logical structure can be added to a PDF with tags. Creating tags for a PDF is time-consuming, and requires awareness and expert knowledge. Hence, most PDFs are left untagged, and as a result, they are poorly readable or unreadable for people who rely on screen readers. STEM documents are particularly problematic with their complex document structure and complicated mathematical formulae. These inaccessible PDFs present a major barrier for people with visual impairments wishing to pursue studies or careers in STEM fields, who cannot easily read studies and publications from their field. The goal of this Ph.D. is to apply artificial intelligence for document analysis to reasonably automate the remediation process of PDFs and present a solution for large mathematical formulae accessibility in PDFs. With these new methods, the Ph.D. research aims to lower barriers to creating accessible scientific PDFs, by reducing the time, effort, and expertise necessary to do so, ultimately facilitating greater access to scientific documents for people with visual impairments. |
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Simon Laumer, Efficient compact linear programs for network revenue management, Optimization Letters, 2022. (Journal Article)
 
We are concerned with computing bid prices in network revenue management using approximate linear programming. It is well-known that affine value function approximations yield bid prices which are not sensitive to remaining capacity. The analytic reduction to compact linear programs allows the efficient computation of such bid prices. On the other hand, capacity-dependent bid prices can be obtained using separable piecewise linear value function approximations. Even though compact linear programs have been derived for this case also, they are still computationally much more expensive compared to using affine functions. We propose compact linear programs requiring substantially smaller computing times while, simultaneously, significantly improving the performance of capacity-independent bid prices. This simplification is achieved by taking into account remaining capacity only if it becomes scarce. Although our proposed linear programs are relaxations of the unreduced approximate linear programs, we conjecture equivalence and provide according numerical support. We measure the quality of an approximation by the difference between the expected performance of an induced policy and the corresponding theoretical upper bound. Using this paradigm in numerical experiments, we demonstrate the competitiveness of our proposed linear programs. |
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Matthias Niklowitz, Alexander Wagner, ESG im Stresstest, In: Handelszeitung, 20 October 2022. (Media Coverage)
 
ESG-Anlagen haben in Krisen gut abgeschnitten. Bei der Ukraine-Krise sieht es anders aus. |
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