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How to win the World Cup

The football world cup is in its final stage and everyone is wondering: Who is going to win the trophy? Especially when you’ve participated in a betting pool, you would like to find criteria on which team to bet. Econometric… Continue Reading →

Better Double-Safe than Sorry? CDS Counterparty Risk Mitigation

In a recent post, we discussed the Oehmke and Zawadowski (2017) paper. The authors identify hedging, speculation, and arbitrage as the main CDS trading motives. We now zoom in on one of these motives: hedging. The article “Mitigating Counterparty Risk”… Continue Reading →

Congratulations to Richard Thaler for being awarded with the Nobel prize in Economics 2017

US economist Richard Thaler has been awarded the Nobel prize in economics in 2017. The Royal Swedish Academy stated that Thaler receives the award “for his contributions to behavioral economics”. How does this contribution look?

Central Clearing and CDS Market Liquidity

We supervised a thesis this semester on the impact of central clearing on market liquidity for credit default swaps (CDS). In this post, we want to share the main results.

Investor Sentiment – An Overview

Forecasting returns is the holy grail of investment – and finance researchers are also interested in whether returns can be predicted because it tells us whether markets are “informationally efficient” (and thinking about this has been rewarded with a Nobel… Continue Reading →

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