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Research

In recent years, the financial industry and its products have been exposed to major changes. New and more complex forms of financial instruments and services require well-founded knowledge of the capital market theory. The subprime crisis thereby revealed the necessity to analyze the interactions between global financial service providers and their activities in the financial markets.

 

Therefore, the research activities of our chair focus on the following areas:

  • Capital Market Theory: Valuation of company shares, derivatives and fixed-income securities
  • Empirical Capital Market Research: Testing and calibration of yield models, empirical investigation of defaulted bonds and credit derivatives, empirical research on energy and commodity markets
  • Risk Management: Valuation and management of interest rate, credit and liquidity risks
  • Corporate finance: Copmany valuation, optimal capital structure, asymmetric information and agency models, hedging, treatment of risk in industrial and commercial enterprises
  • Blockchain technology in the financial industry: Valuation of cryptocurrencies and their derivatives, cryptocurrency modelling, trading and settlement of financial transactions 

 

Ultimately, the various problems are related to the question of how well-founded decisions can be derived on basis of modern capital market theory (portfolio theory, capital asset pricing model, arbitrage pricing theory, option pricing theory). The current focus areas include credit and liquidity risks, credit derivatives and defaulted bonds, the valuation of derivatives on energy and CO2 emission markets, friction on option markets, finance applications of the blockchain technology and the interplay of investment, financing policy and risk management of banks and industrial companies.

Furthermore, we would like to draw your attention to the Workshop on Economics and Finance, a series of meetings in which researchers of the field present and discuss current research projects.

 

On the following pages you will find:

 

We thank the DZ BANK Foundation for supporting our research by funding our Bloomberg Professional Account.