We prove that under very weak conditions optimal financial products have to be co-monotone with the inverted state price density. Optimality is meant in the sense of the maximization of an arbitrary preference model, e.g. Expected Utility Theory or Prospect Theory. The proof is based on methods...

We study how the framework of classical game theory changes when the preferences of the players are described by Prospect Theory instead of Expected Utility Theory. Specifically, we study the influence of framing effect and probability weighting on the existence and specific structure of Nash...

Prospect Theory is a widely accepted descriptive framework to model decisions under risk. However, it is limited to situations with finitely many outcomes. Moreover, it is discontinuous, i.e., small changes in a lottery can produce large differences in its utility, contrary to experiments. In...

Based on the APARCH model and two outlier detection methods, we computereliable time series of volatility asymmetry for 49 countries with relatively few ob-servations. Results show a steady increase in the asymmetry over the years for mostcountries. We nd that economic development and market...

Wir untersuchen die Effekte von Basel II auf Kredite, die in den Jahren 2006 und 2007 (also vor und nach Inkrafttreten der neuen Regulierungen) an schweizer Städte und Gemeinden vergeben wurden. In einer empirischen Analyse bewerteten wir deren jeweilige Bonität, sowie die Margen ihrer...

This paper presents a new method to detect informed trading activities in the options markets.An option trade is identified as informed when it is characterized by an unusual largeincrement in open interest and volume, induces large gains, and is not hedged in the stock market.For the period...

In recent years, the number of automation projects has increased throughout the Finance Industry and particularly in securities trading and processing. The same observation can be made for corporate actions automation projects. Corporate actions messages are triggered when specific decisions are...

In der Schweiz betreibt eine Großzahl der Banken neben dem Bank- ebenfalls das Effektenhandelsgeschäft. Dazu benötigen sie von der eidgenössischen Bankenkommission (EBK) je eine separate Bewiligung als Bank und Effektenhändler. Effektenhändler, welche nicht gleichzeitig auch das...

...We demonstrate how the financial sector’s net output and service production can be measured using aggregate financialstatement data. We briefly examine current treatments of financial services in the national income accounts and introduce aconceptual framework for the construction of a...

Spendensammelnde Non-Profit-Organisationen (NPOs) verfügen verglichen mit gewinnorientierten Unternehmen ähnlicher Größe über relativ hohe finanzielle Reserven in Form eines Finanzvermögens.Deren Höhe hängt von verschiedenen Faktoren ab, die im Rahmen der vorliegenden Studie untersucht...