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Contributions in Merlin

Contributions
Alexandre Ziegler, Darrell Duffie, Liquidation Risk, Financial Analysts Journal, Vol. 59 (3), 2003. (Journal Article) Turmoil in financial markets is often accompanied by a significant decrease in market liquidity. Here, we investigate how such key risk measures as likelihood of insolvency, value at risk, and expected tail loss respond to bid-ask spreads that are likely to widen just when positions must be liquidated to maintain capital ratios. Our results show that this sort of illiquidity causes significant increases in risk measures, especially with fat-tailed returns. A potential strategy that a financial institution may adopt to address this problem is to sell illiquid assets first while keeping a "cushion" of cash and liquid assets for a "rainy day." Our analysis demonstrates that, although such a strategy increases expected transaction costs, it may significantly decrease tail losses and the probability of insolvency. In light of our results, we recommend that financial institutions carefully examine their strategies for liquidation during periods of severe stress.
Ulrich Kaiser, The impact of Skill Structure, Training and Firm Size on Firms' IT-Outsourcing Activities (in German, original title: Die Wirkung von Qualifikationsstruktur, Weiterbildung und Unternehmensgrösse auf das Outsourcing von IT-Dienstleistungen), Zeitschrift für Betriebswirtschaft, 2003. (Journal Article) null
Ulrich Kaiser, Simple Econometric Methods for the Measurement of Credit Risk: Logit- and Probit Models (in German, original title: Einfache ökonometrische Verfahren für die Kreditrisikomessung: Logit- und Probit-Modelle), Zeitschrift für Betriebswirtschaftliche Forschung , 2003. (Journal Article) null
Alexandre Ziegler, Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance, Springer Verlag, Heidelberg, 2003. (Book/Research Monograph) null
Stéphane Guérard, Les impacts de la structure organisationnelle sur la performance des processus de prise de décision dans les régies régionales de la santé et des services sociaux, HEC Montréal, Department of Management, 2003. (Master's Thesis) null
Marc Paolella, K Carstensen, On Median Unbiased Inference for First Order Autoregressive Models, In: Contributions to Modern Econometrics: From Data Analysis to Economic Policy, Kluwer Academic Publishers, New York, p. 23 - 38, 2003. (Book Chapter)
Marc Paolella, Stefan Mittnik, Prediciton of Financial Downside-Risk with Heavy-Tailed Conditional Distributions, In: Handbook of Heavy-Tailed Distributions in Finance, Elsevier North–Holland, Amsterdam, p. 387 - 403, 2003. (Book Chapter)
Marc Paolella, Computing moments of ratios of quadratic forms in normal variables, Computational Statistics & Data Analysis, Vol. 42 (3), 2003. (Journal Article) The accuracy and speed of numerical methods for computing the moments of a ratio of quadratic forms in normal variables is examined, with particular application to the sample autocorrelation function. Methods based on a saddlepoint approximation are demonstrated to be not only superior to existing approximations, but are numerically reliable and virtually as accurate as the method suitable for exact computations, while taking only a fraction of the time to compute. The new method also maintains its accuracy for time series models near the nonstationary border, which is of significant interest for unit-root inference and also a case for which first-order mean and variance approximations break down. As a wide variety of test statistics and their power functions arising in econometric models are expressible in the general form considered, the method should prove very useful for data analysis and model building.
Zeitschrift für Betriebswirtschaft, Edited by: Uschi Backes-Gellner, G Fandel, Wolfgang Kürsten, Wiesbaden, 2003. (Edited Scientific Work) null
Jahrbuch zur Mittelstandsforschung. IfM Bonn, Edited by: Uschi Backes-Gellner, D Bös, DUV Gabler, Wiesbaden, 2003. (Edited Scientific Work) null
Schriften zur Mittelstandsforschung. IfM Bonn, Edited by: Uschi Backes-Gellner, D Bös, DUV Gabler, Wiesbaden, 2003. (Edited Scientific Work) null
Uschi Backes-Gellner, Neue Herausforderungen in der Unternehmensfinanzierung, 2003. (Other Publication) null
Uschi Backes-Gellner, Familienfreundlichkeit im Mittelstand - Betriebliche Strategien zur besseren Vereinbarkeit von Beruf und Familie, 2003. (Other Publication) null
Uschi Backes-Gellner, Attraktivität von Versicherungsunternehmen als Arbeitgeber für Hochschulabsolventen im Branchenvergleich. Praxisprojekt in Zusammenarbeit mit der DKV Köln und dem Lehrstuhl für Versicherungslehre, 2003. (Other Publication) null
D Timmermann, G Färber, Uschi Backes-Gellner, G Bosch, B Nagel, On the way to Financing Lifelong Learning. Interim Report of the Expert Commision on Financing Lifelong Learning, Bertelsmann, Bielefeld, 2003. (Book/Research Monograph) null
C F Camerer, Cultural conflict and merger failure: An experimental approach, Management Science, Vol. 49 (4), 2003. (Journal Article) null
Elizabeth Mynatt, Elaine May Huang, Stephen Voida, Blair MacIntyre, Large displays for knowledge work, In: Public and Situated Displays, UK, p. 80 - 102, 2003. (Book Chapter) null
Egon Franck, "Institutions matter" - Einige Probleme mit der Effizienzgrenze im Profi-Fussball. Korreferat zum Beitrag von Dieter J. Haas, In: Globalisierung des wirtschaftlichen Wettbewerbs im Sport, Hofmann, Schorndorf, p. 229 - 234, 2003. (Book Chapter)
Egon Franck, Antworten der Ökonomie auf die Verantwortung, In: Aufsichts- und Verwaltungsrat als professioneller Gestaltungsrat, WEKA, Zürich, p. 1 - 18, 2003. (Book Chapter)
Egon Franck, S Winter, Das "Parker-Phänomen" im Markt für feine Weine - "Geschäftsmodelle" eines Kritiker-Superstars, Zeitschrift für Betriebswirtschaft, Vol. 73 (9), 2003. (Journal Article)

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