---
_id: '65310'
abstract:
- lang: eng
text: "Trust between client and consultant is perhaps the most important asset in
con-sulting, as this is a highly intangible knowledge-intensive business that
concerns is-sues of outstanding strategic and operational importance for the customers.
Cli-ents who have not worked with a particular consultancy face considerable risk
when they place an order while lacking reliable information about the service
quality they can expect. There is a strong link between trust and reputation,
as the positive reputation of a consultancy can act as a substitute for a new
client’s missing individual experience with the provider, fostering trust in the
service quali-ty. Thus, creating, maintaining, and demonstrating a good reputation
is of signifi-cant importance for consultancies in a very competitive industry.\r\nTo
facilitate trustworthy signals, we design and implement a novel reputation mechanism
that carries a monetary weight stored on a blockchain network as an immutable,
decentralized, and transparent ledger. Based on an implementation in the Ethereum
network and subsequent evaluation, we conclude that the reputation mechanism can
contribute to leveling information asymmetry and reducing risk while increasing
reputation and trust. The mechanism lends itself to being used in other business-to-business
scenarios that suffer from similar information asymmetries."
author:
- first_name: Simon
full_name: Hemmrich, Simon
id: '83557'
last_name: Hemmrich
- first_name: Volker
full_name: Nissen, Volker
last_name: Nissen
citation:
ama: 'Hemmrich S, Nissen V. A blockchain-based reputation system for consulting.
In: Nissen V, ed. Advanced Studies in Consulting Research and Digitalization
– A Scientific Update on the Digital Transformation of the Consulting Industry.
Springer. ; 2026.'
apa: Hemmrich, S., & Nissen, V. (2026). A blockchain-based reputation system
for consulting. In V. Nissen (Ed.), Advanced Studies in Consulting Research
and Digitalization – A Scientific Update on the Digital Transformation of the
Consulting Industry. Springer.
bibtex: '@inbook{Hemmrich_Nissen_2026, title={A blockchain-based reputation system
for consulting}, booktitle={ Advanced Studies in Consulting Research and Digitalization
– A Scientific Update on the Digital Transformation of the Consulting Industry.
Springer.}, author={Hemmrich, Simon and Nissen, Volker}, editor={Nissen, Volker},
year={2026} }'
chicago: Hemmrich, Simon, and Volker Nissen. “A Blockchain-Based Reputation System
for Consulting.” In Advanced Studies in Consulting Research and Digitalization
– A Scientific Update on the Digital Transformation of the Consulting Industry.
Springer., edited by Volker Nissen, 2026.
ieee: S. Hemmrich and V. Nissen, “A blockchain-based reputation system for consulting,”
in Advanced Studies in Consulting Research and Digitalization – A Scientific
Update on the Digital Transformation of the Consulting Industry. Springer.,
V. Nissen, Ed. 2026.
mla: Hemmrich, Simon, and Volker Nissen. “A Blockchain-Based Reputation System for
Consulting.” Advanced Studies in Consulting Research and Digitalization –
A Scientific Update on the Digital Transformation of the Consulting Industry.
Springer., edited by Volker Nissen, 2026.
short: 'S. Hemmrich, V. Nissen, in: V. Nissen (Ed.), Advanced Studies in Consulting
Research and Digitalization – A Scientific Update on the Digital Transformation
of the Consulting Industry. Springer., 2026.'
date_created: 2026-04-02T04:06:47Z
date_updated: 2026-04-02T04:32:01Z
department:
- _id: '195'
editor:
- first_name: Volker
full_name: Nissen, Volker
last_name: Nissen
extern: '1'
keyword:
- Reputation Systems
- Consulting
- Design Science Invention
- Incentive
- Blockchain
- Monetary ratings
- building trust
- reduce information asymmetry consulting
- B2B reputation system
- consulting risk reduction
- supplier evaluation system
language:
- iso: eng
publication: ' Advanced Studies in Consulting Research and Digitalization – A Scientific
Update on the Digital Transformation of the Consulting Industry. Springer.'
publication_identifier:
unknown:
- 978-3032173836
publication_status: published
quality_controlled: '1'
status: public
title: A blockchain-based reputation system for consulting
type: book_chapter
user_id: '83557'
year: '2026'
...
---
_id: '49873'
abstract:
- lang: eng
text: This study analyzes the impact of tax complexity on the location of tax employees
and tax risk. Using a hand-collected dataset of more than 7,500 tax employees
from 348 European-listed multinationals, we identify two types of firm-level costs
associated with tax complexity—tax employees, and tax risk. We find that firms
locate more tax employees in countries with greater tax complexity. This association
is particularly pronounced for complexity in tax procedures. We also find that
multinationals operating in countries with high tax complexity are associated
with higher tax risk. The incremental tax risk vanishes for firms that locate
more tax employees in countries with highly complex tax procedures, while we find
no risk reduction from additional tax employees in countries with complex tax
rules. Our results reveal that multinationals eliminate 25 percent of overall
tax complexity-related tax risk through targeted location of tax employees.
author:
- first_name: Henning
full_name: Giese, Henning
id: '92812'
last_name: Giese
- first_name: Reinald
full_name: Koch, Reinald
last_name: Koch
- first_name: Caren
full_name: Sureth-Sloane, Caren
id: '530'
last_name: Sureth-Sloane
orcid: ' 0000-0002-8183-5901'
citation:
ama: Giese H, Koch R, Sureth-Sloane C. Where to Locate Tax Employees? The Role
of Tax Complexity and Tax Risk Implications.; 2024. doi:10.2139/ssrn.4888151
apa: Giese, H., Koch, R., & Sureth-Sloane, C. (2024). Where to Locate Tax
Employees? The Role of Tax Complexity and Tax Risk Implications. https://doi.org/10.2139/ssrn.4888151
bibtex: '@book{Giese_Koch_Sureth-Sloane_2024, series={TRR 266 Accounting for Transparency
Working Paper Series No. 149}, title={Where to Locate Tax Employees? The Role
of Tax Complexity and Tax Risk Implications}, DOI={10.2139/ssrn.4888151},
author={Giese, Henning and Koch, Reinald and Sureth-Sloane, Caren}, year={2024},
collection={TRR 266 Accounting for Transparency Working Paper Series No. 149}
}'
chicago: Giese, Henning, Reinald Koch, and Caren Sureth-Sloane. Where to Locate
Tax Employees? The Role of Tax Complexity and Tax Risk Implications. TRR 266
Accounting for Transparency Working Paper Series No. 149, 2024. https://doi.org/10.2139/ssrn.4888151.
ieee: H. Giese, R. Koch, and C. Sureth-Sloane, Where to Locate Tax Employees?
The Role of Tax Complexity and Tax Risk Implications. 2024.
mla: Giese, Henning, et al. Where to Locate Tax Employees? The Role of Tax Complexity
and Tax Risk Implications. 2024, doi:10.2139/ssrn.4888151.
short: H. Giese, R. Koch, C. Sureth-Sloane, Where to Locate Tax Employees? The Role
of Tax Complexity and Tax Risk Implications, 2024.
date_created: 2023-12-19T13:22:08Z
date_updated: 2024-12-07T14:13:15Z
department:
- _id: '187'
doi: 10.2139/ssrn.4888151
keyword:
- tax complexity
- tax complexity cost
- tax department
- tax employees
- tax risk
language:
- iso: eng
main_file_link:
- open_access: '1'
url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4888151
oa: '1'
publication_status: published
series_title: TRR 266 Accounting for Transparency Working Paper Series No. 149
status: public
title: Where to Locate Tax Employees? The Role of Tax Complexity and Tax Risk Implications
type: working_paper
user_id: '530'
year: '2024'
...
---
_id: '48063'
abstract:
- lang: eng
text: "Brainwaves have demonstrated to be unique enough across individuals
to be useful as biometrics. They also provide promising advantages over traditional
means of authentication, such as resistance to external observability, revocability,
and intrinsic liveness detection. However, most of the research so far has been
conducted with expensive, bulky, medical-grade helmets, which offer limited applicability
for everyday usage. With the aim to bring brainwave authentication and its benefits
closer to real world deployment, we investigate brain biometrics with consumer
devices. We conduct a comprehensive measurement experiment and user study that
compare five authentication tasks on a user sample up to 10 times larger than
those from previous studies, introducing three novel techniques based on cognitive
semantic processing. Furthermore, we apply our analysis on high-quality open brainwave
data obtained with a medical-grade headset, to assess the differences. We investigate
both the performance, security, and usability of the different options and use
this evidence to elicit design and research recommendations. Our results show
that it is possible to achieve Equal Error Rates as low as 7.2% (a reduction between
68–72% with respect to existing approaches) based on brain responses to images
with current inexpensive technology. We show that the common practice of testing
authentication systems only with known attacker data is unrealistic and may lead
to overly optimistic evaluations. With regard to adoption, users call for simpler
devices, faster authentication, and better privacy.\r\n "
author:
- first_name: Patricia
full_name: Arias-Cabarcos, Patricia
last_name: Arias-Cabarcos
- first_name: Matin
full_name: Fallahi, Matin
last_name: Fallahi
- first_name: Thilo
full_name: Habrich, Thilo
last_name: Habrich
- first_name: Karen
full_name: Schulze, Karen
last_name: Schulze
- first_name: Christian
full_name: Becker, Christian
last_name: Becker
- first_name: Thorsten
full_name: Strufe, Thorsten
last_name: Strufe
citation:
ama: Arias-Cabarcos P, Fallahi M, Habrich T, Schulze K, Becker C, Strufe T. Performance
and Usability Evaluation of Brainwave Authentication Techniques with Consumer
Devices. ACM Transactions on Privacy and Security. 2023;26(3):1-36. doi:10.1145/3579356
apa: Arias-Cabarcos, P., Fallahi, M., Habrich, T., Schulze, K., Becker, C., &
Strufe, T. (2023). Performance and Usability Evaluation of Brainwave Authentication
Techniques with Consumer Devices. ACM Transactions on Privacy and Security,
26(3), 1–36. https://doi.org/10.1145/3579356
bibtex: '@article{Arias-Cabarcos_Fallahi_Habrich_Schulze_Becker_Strufe_2023, title={Performance
and Usability Evaluation of Brainwave Authentication Techniques with Consumer
Devices}, volume={26}, DOI={10.1145/3579356},
number={3}, journal={ACM Transactions on Privacy and Security}, publisher={Association
for Computing Machinery (ACM)}, author={Arias-Cabarcos, Patricia and Fallahi,
Matin and Habrich, Thilo and Schulze, Karen and Becker, Christian and Strufe,
Thorsten}, year={2023}, pages={1–36} }'
chicago: 'Arias-Cabarcos, Patricia, Matin Fallahi, Thilo Habrich, Karen Schulze,
Christian Becker, and Thorsten Strufe. “Performance and Usability Evaluation of
Brainwave Authentication Techniques with Consumer Devices.” ACM Transactions
on Privacy and Security 26, no. 3 (2023): 1–36. https://doi.org/10.1145/3579356.'
ieee: 'P. Arias-Cabarcos, M. Fallahi, T. Habrich, K. Schulze, C. Becker, and T.
Strufe, “Performance and Usability Evaluation of Brainwave Authentication Techniques
with Consumer Devices,” ACM Transactions on Privacy and Security, vol.
26, no. 3, pp. 1–36, 2023, doi: 10.1145/3579356.'
mla: Arias-Cabarcos, Patricia, et al. “Performance and Usability Evaluation of Brainwave
Authentication Techniques with Consumer Devices.” ACM Transactions on Privacy
and Security, vol. 26, no. 3, Association for Computing Machinery (ACM), 2023,
pp. 1–36, doi:10.1145/3579356.
short: P. Arias-Cabarcos, M. Fallahi, T. Habrich, K. Schulze, C. Becker, T. Strufe,
ACM Transactions on Privacy and Security 26 (2023) 1–36.
date_created: 2023-10-14T12:11:55Z
date_updated: 2023-10-14T12:12:42Z
doi: 10.1145/3579356
intvolume: ' 26'
issue: '3'
keyword:
- Safety
- Risk
- Reliability and Quality
- General Computer Science
language:
- iso: eng
page: 1-36
publication: ACM Transactions on Privacy and Security
publication_identifier:
issn:
- 2471-2566
- 2471-2574
publication_status: published
publisher: Association for Computing Machinery (ACM)
status: public
title: Performance and Usability Evaluation of Brainwave Authentication Techniques
with Consumer Devices
type: journal_article
user_id: '92804'
volume: 26
year: '2023'
...
---
_id: '48058'
author:
- first_name: Fabian
full_name: Winkel, Fabian
last_name: Winkel
- first_name: Johannes
full_name: Deuse-Kleinsteuber, Johannes
last_name: Deuse-Kleinsteuber
- first_name: Joachim
full_name: Böcker, Joachim
id: '66'
last_name: Böcker
orcid: 0000-0002-8480-7295
citation:
ama: Winkel F, Deuse-Kleinsteuber J, Böcker J. Run-to-Failure Relay Dataset for
Predictive Maintenance Research With Machine Learning. IEEE Transactions on
Reliability. Published online 2023:1-14. doi:10.1109/tr.2023.3255786
apa: Winkel, F., Deuse-Kleinsteuber, J., & Böcker, J. (2023). Run-to-Failure
Relay Dataset for Predictive Maintenance Research With Machine Learning. IEEE
Transactions on Reliability, 1–14. https://doi.org/10.1109/tr.2023.3255786
bibtex: '@article{Winkel_Deuse-Kleinsteuber_Böcker_2023, title={Run-to-Failure Relay
Dataset for Predictive Maintenance Research With Machine Learning}, DOI={10.1109/tr.2023.3255786},
journal={IEEE Transactions on Reliability}, publisher={Institute of Electrical
and Electronics Engineers (IEEE)}, author={Winkel, Fabian and Deuse-Kleinsteuber,
Johannes and Böcker, Joachim}, year={2023}, pages={1–14} }'
chicago: Winkel, Fabian, Johannes Deuse-Kleinsteuber, and Joachim Böcker. “Run-to-Failure
Relay Dataset for Predictive Maintenance Research With Machine Learning.” IEEE
Transactions on Reliability, 2023, 1–14. https://doi.org/10.1109/tr.2023.3255786.
ieee: 'F. Winkel, J. Deuse-Kleinsteuber, and J. Böcker, “Run-to-Failure Relay Dataset
for Predictive Maintenance Research With Machine Learning,” IEEE Transactions
on Reliability, pp. 1–14, 2023, doi: 10.1109/tr.2023.3255786.'
mla: Winkel, Fabian, et al. “Run-to-Failure Relay Dataset for Predictive Maintenance
Research With Machine Learning.” IEEE Transactions on Reliability, Institute
of Electrical and Electronics Engineers (IEEE), 2023, pp. 1–14, doi:10.1109/tr.2023.3255786.
short: F. Winkel, J. Deuse-Kleinsteuber, J. Böcker, IEEE Transactions on Reliability
(2023) 1–14.
date_created: 2023-10-14T12:01:41Z
date_updated: 2023-10-14T12:16:48Z
department:
- _id: '52'
doi: 10.1109/tr.2023.3255786
keyword:
- Electrical and Electronic Engineering
- Safety
- Risk
- Reliability and Quality
language:
- iso: eng
page: 1-14
publication: IEEE Transactions on Reliability
publication_identifier:
issn:
- 0018-9529
- 1558-1721
publication_status: published
publisher: Institute of Electrical and Electronics Engineers (IEEE)
status: public
title: Run-to-Failure Relay Dataset for Predictive Maintenance Research With Machine
Learning
type: journal_article
user_id: '66'
year: '2023'
...
---
_id: '49309'
abstract:
- lang: eng
text: I study the effect of heterogeneous beliefs about asset prices on the long-term
behavior of financial markets. Starting from the ideas of Abreu and Brunnermeier
(Citation2003), a two-dimensional system of differential equations is developed.
The first dynamic variable is the asset price growth rate. The second dynamic
variable is the number of investors who believe that asset prices are abnormally
high. In a phase plane analysis, I find both stable and unstable equilibria, depending
on the spread of information and the response to other agents’ beliefs. If individuals
try to increase their returns while perceiving more overpricing, these equilibria
can be spirals or even approach limit cycles. Although I intend to study general
price patterns, abnormally high asset prices can be caused by financial bubbles.
In this model, bubbles can emerge and deflate both in cycles or directly, or they
can grow until they burst. Further, I analyze market behavior after a central
bank increases the interest rate. This can lead to new stable equilibria, but
the emergence and bursting of bubbles cannot be prevented.
author:
- first_name: Carina
full_name: Burs, Carina
last_name: Burs
citation:
ama: Burs C. A model of cycles and bubbles under heterogeneous beliefs in financial
markets. Cogent Economics & Finance. 2023;11(2). doi:10.1080/23322039.2023.2272485
apa: Burs, C. (2023). A model of cycles and bubbles under heterogeneous beliefs
in financial markets. Cogent Economics & Finance, 11(2). https://doi.org/10.1080/23322039.2023.2272485
bibtex: '@article{Burs_2023, title={A model of cycles and bubbles under heterogeneous
beliefs in financial markets}, volume={11}, DOI={10.1080/23322039.2023.2272485},
number={2}, journal={Cogent Economics & Finance}, publisher={Informa UK Limited},
author={Burs, Carina}, year={2023} }'
chicago: Burs, Carina. “A Model of Cycles and Bubbles under Heterogeneous Beliefs
in Financial Markets.” Cogent Economics & Finance 11, no. 2 (2023).
https://doi.org/10.1080/23322039.2023.2272485.
ieee: 'C. Burs, “A model of cycles and bubbles under heterogeneous beliefs in financial
markets,” Cogent Economics & Finance, vol. 11, no. 2, 2023, doi: 10.1080/23322039.2023.2272485.'
mla: Burs, Carina. “A Model of Cycles and Bubbles under Heterogeneous Beliefs in
Financial Markets.” Cogent Economics & Finance, vol. 11, no. 2, Informa
UK Limited, 2023, doi:10.1080/23322039.2023.2272485.
short: C. Burs, Cogent Economics & Finance 11 (2023).
date_created: 2023-11-28T14:31:12Z
date_updated: 2023-11-28T14:34:50Z
department:
- _id: '202'
doi: 10.1080/23322039.2023.2272485
intvolume: ' 11'
issue: '2'
jel:
- E44
- E58
- D83
- C62
- G12
keyword:
- asset pricing
- subjective information
- stability conditions
- monetary policy
- risk aversion
language:
- iso: eng
publication: Cogent Economics & Finance
publication_identifier:
issn:
- 2332-2039
publication_status: published
publisher: Informa UK Limited
status: public
title: A model of cycles and bubbles under heterogeneous beliefs in financial markets
type: journal_article
user_id: '44010'
volume: 11
year: '2023'
...
---
_id: '49785'
abstract:
- lang: eng
text: "Reputation is indispensable for online business since it supports customers
in their buying decisions and\r\nallows sellers to justify premium prices. While
IS research has investigated reputation systems mainly\r\nas review systems on
online platforms for business-to-consumer (B2C) transactions, no proper solutions\r\nhave
been developed for business-to-business (B2B) transactions yet. We use blockchain
technology to\r\npropose a new class of reputation systems that apply ratings
as voluntary bonus payments: Before a\r\ntransaction is performed, customers commit
to pay a bonus that is granted if a service provider has\r\nperformed a service
properly. As opposed to rival reputation systems that build on cumulated ratings\r\nor
reviews, our system enables monetized reputation mechanisms that are inextricably
linked with online\r\ntransactions. We expect this system class to provide more
trustworthy ratings, which might reduce\r\nagency costs and serve quality providers
to establish a reputation towards new customers, building on\r\nsecond-order trust."
author:
- first_name: Simon
full_name: Hemmrich, Simon
id: '83557'
last_name: Hemmrich
citation:
ama: 'Hemmrich S. Business Reputation Systems based on Blockchain Technology—A Risky
Advance. In: Proceedings of 31st European Conference on Information Systems
(ECIS 2023). ; 2023.'
apa: Hemmrich, S. (2023). Business Reputation Systems based on Blockchain Technology—A
Risky Advance. Proceedings of 31st European Conference on Information Systems
(ECIS 2023).
bibtex: '@inproceedings{Hemmrich_2023, title={Business Reputation Systems based
on Blockchain Technology—A Risky Advance}, booktitle={Proceedings of 31st European
Conference on Information Systems (ECIS 2023)}, author={Hemmrich, Simon}, year={2023}
}'
chicago: Hemmrich, Simon. “Business Reputation Systems Based on Blockchain Technology—A
Risky Advance.” In Proceedings of 31st European Conference on Information Systems
(ECIS 2023), 2023.
ieee: S. Hemmrich, “Business Reputation Systems based on Blockchain Technology—A
Risky Advance,” Kristiansand, 2023.
mla: Hemmrich, Simon. “Business Reputation Systems Based on Blockchain Technology—A
Risky Advance.” Proceedings of 31st European Conference on Information Systems
(ECIS 2023), 2023.
short: 'S. Hemmrich, in: Proceedings of 31st European Conference on Information
Systems (ECIS 2023), 2023.'
conference:
location: Kristiansand
date_created: 2023-12-18T12:55:32Z
date_updated: 2024-04-15T13:33:21Z
jel:
- D47
- D82
- D81
- E42
keyword:
- Trust
- Risk
- Reputation System
- Blockchain Technology
- Business Reputation System.
language:
- iso: eng
main_file_link:
- open_access: '1'
url: https://aisel.aisnet.org/ecis2023_rip/51/
oa: '1'
publication: Proceedings of 31st European Conference on Information Systems (ECIS
2023)
publication_status: published
quality_controlled: '1'
status: public
title: Business Reputation Systems based on Blockchain Technology—A Risky Advance
type: conference
user_id: '83557'
year: '2023'
...
---
_id: '31844'
abstract:
- lang: eng
text: "Encrypting data before sending it to the cloud ensures data confidentiality
but requires the cloud to compute on encrypted data. Trusted execution environments,
such as Intel SGX enclaves, promise to provide a secure environment in which data
can be decrypted and then processed. However, vulnerabilities in the executed
program give attackers ample opportunities to execute arbitrary code inside the
enclave. This code can modify the dataflow of the program and leak secrets via
SGX side channels. Fully homomorphic encryption would be an alternative to compute
on encrypted data without data leaks. However, due to its high computational complexity,
its applicability to general-purpose computing remains limited. Researchers have
made several proposals for transforming programs to perform encrypted computations
on less powerful encryption schemes. Yet current approaches do not support programs
making control-flow decisions based on encrypted data.\r\n \r\n
\ We introduce the concept of\r\n dataflow authentication\r\n
\ (DFAuth) to enable such programs. DFAuth prevents an adversary from
arbitrarily deviating from the dataflow of a program. Our technique hence offers
protections against the side-channel attacks described previously. We implemented
two flavors of DFAuth, a Java bytecode-to-bytecode compiler, and an SGX enclave
running a small and program-independent trusted code base. We applied DFAuth to
a neural network performing machine learning on sensitive medical data and a smart
charging scheduler for electric vehicles. Our transformation yields a neural network
with encrypted weights, which can be evaluated on encrypted inputs in\r\n \r\n \\( 12.55 \\,\\mathrm{m}\\mathrm{s} \\)\r\n
\ \r\n . Our protected scheduler is
capable of updating the encrypted charging plan in approximately 1.06 seconds.\r\n
\ "
author:
- first_name: Andreas
full_name: Fischer, Andreas
last_name: Fischer
- first_name: Benny
full_name: Fuhry, Benny
last_name: Fuhry
- first_name: Jörn
full_name: Kußmaul, Jörn
last_name: Kußmaul
- first_name: Jonas
full_name: Janneck, Jonas
last_name: Janneck
- first_name: Florian
full_name: Kerschbaum, Florian
last_name: Kerschbaum
- first_name: Eric
full_name: Bodden, Eric
id: '59256'
last_name: Bodden
orcid: 0000-0003-3470-3647
citation:
ama: Fischer A, Fuhry B, Kußmaul J, Janneck J, Kerschbaum F, Bodden E. Computation
on Encrypted Data Using Dataflow Authentication. ACM Transactions on Privacy
and Security. 2022;25(3):1-36. doi:10.1145/3513005
apa: Fischer, A., Fuhry, B., Kußmaul, J., Janneck, J., Kerschbaum, F., & Bodden,
E. (2022). Computation on Encrypted Data Using Dataflow Authentication. ACM
Transactions on Privacy and Security, 25(3), 1–36. https://doi.org/10.1145/3513005
bibtex: '@article{Fischer_Fuhry_Kußmaul_Janneck_Kerschbaum_Bodden_2022, title={Computation
on Encrypted Data Using Dataflow Authentication}, volume={25}, DOI={10.1145/3513005},
number={3}, journal={ACM Transactions on Privacy and Security}, publisher={Association
for Computing Machinery (ACM)}, author={Fischer, Andreas and Fuhry, Benny and
Kußmaul, Jörn and Janneck, Jonas and Kerschbaum, Florian and Bodden, Eric}, year={2022},
pages={1–36} }'
chicago: 'Fischer, Andreas, Benny Fuhry, Jörn Kußmaul, Jonas Janneck, Florian Kerschbaum,
and Eric Bodden. “Computation on Encrypted Data Using Dataflow Authentication.”
ACM Transactions on Privacy and Security 25, no. 3 (2022): 1–36. https://doi.org/10.1145/3513005.'
ieee: 'A. Fischer, B. Fuhry, J. Kußmaul, J. Janneck, F. Kerschbaum, and E. Bodden,
“Computation on Encrypted Data Using Dataflow Authentication,” ACM Transactions
on Privacy and Security, vol. 25, no. 3, pp. 1–36, 2022, doi: 10.1145/3513005.'
mla: Fischer, Andreas, et al. “Computation on Encrypted Data Using Dataflow Authentication.”
ACM Transactions on Privacy and Security, vol. 25, no. 3, Association for
Computing Machinery (ACM), 2022, pp. 1–36, doi:10.1145/3513005.
short: A. Fischer, B. Fuhry, J. Kußmaul, J. Janneck, F. Kerschbaum, E. Bodden, ACM
Transactions on Privacy and Security 25 (2022) 1–36.
date_created: 2022-06-09T10:28:03Z
date_updated: 2022-06-09T10:29:19Z
department:
- _id: '76'
doi: 10.1145/3513005
intvolume: ' 25'
issue: '3'
keyword:
- Safety
- Risk
- Reliability and Quality
- General Computer Science
language:
- iso: eng
page: 1-36
publication: ACM Transactions on Privacy and Security
publication_identifier:
issn:
- 2471-2566
- 2471-2574
publication_status: published
publisher: Association for Computing Machinery (ACM)
status: public
title: Computation on Encrypted Data Using Dataflow Authentication
type: journal_article
user_id: '15249'
volume: 25
year: '2022'
...
---
_id: '35992'
abstract:
- lang: eng
text: 'In this paper new semiparametric generalized autoregressive conditional heteroscedasticity
(GARCH) models with long memory are introduced. A multiplicative decomposition
of the volatility into a conditional component and an unconditional component
is assumed. The estimation of the latter is carried out by means of a data-driven
local polynomial smoother. According to the revised recommendations by the Basel
Committee on Banking Supervision to measure market risk in the banks’ trading
books, these new semiparametric GARCH models are applied to obtain rolling one-step
ahead forecasts for the value-at-risk and expected shortfall (ES) for market risk
assets. Standard regulatory traffic-light tests and a newly introduced traffic-light
test for the ES are carried out for all models. In addition, model performance
is assessed via a recently introduced model selection criterion. The practical
relevance of our proposal is demonstrated by a comparative study. Our results
indicate that semiparametric long-memory GARCH models are a meaningful substitute
for their conventional, parametric counterparts. '
article_type: original
author:
- first_name: Sebastian
full_name: Letmathe, Sebastian
id: '23991'
last_name: Letmathe
- first_name: Yuanhua
full_name: Feng, Yuanhua
id: '20760'
last_name: Feng
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
citation:
ama: Letmathe S, Feng Y, Uhde A. Semiparametric GARCH models with long memory applied
to Value at Risk and Expected Shortfall. Journal of Risk. 25(2).
apa: Letmathe, S., Feng, Y., & Uhde, A. (n.d.). Semiparametric GARCH models
with long memory applied to Value at Risk and Expected Shortfall. Journal of
Risk, 25(2).
bibtex: '@article{Letmathe_Feng_Uhde, title={Semiparametric GARCH models with long
memory applied to Value at Risk and Expected Shortfall}, volume={25}, number={2},
journal={Journal of Risk}, author={Letmathe, Sebastian and Feng, Yuanhua and Uhde,
André} }'
chicago: Letmathe, Sebastian, Yuanhua Feng, and André Uhde. “Semiparametric GARCH
Models with Long Memory Applied to Value at Risk and Expected Shortfall.” Journal
of Risk 25, no. 2 (n.d.).
ieee: S. Letmathe, Y. Feng, and A. Uhde, “Semiparametric GARCH models with long
memory applied to Value at Risk and Expected Shortfall,” Journal of Risk,
vol. 25, no. 2.
mla: Letmathe, Sebastian, et al. “Semiparametric GARCH Models with Long Memory Applied
to Value at Risk and Expected Shortfall.” Journal of Risk, vol. 25, no.
2.
short: S. Letmathe, Y. Feng, A. Uhde, Journal of Risk 25 (n.d.).
date_created: 2023-01-11T10:50:27Z
date_updated: 2023-11-17T10:26:36Z
department:
- _id: '186'
- _id: '188'
intvolume: ' 25'
issue: '2'
keyword:
- long memory
- generalized autoregressive conditional heteroscedasticity (GARCH) models
- value-at-risk (VaR)
- expected shortfall (ES)
- traffic-light test
- backtesting
language:
- iso: eng
publication: Journal of Risk
publication_status: inpress
status: public
title: Semiparametric GARCH models with long memory applied to Value at Risk and Expected
Shortfall
type: journal_article
user_id: '36049'
volume: 25
year: '2022'
...
---
_id: '29317'
abstract:
- lang: eng
text: In this paper new semiparametric GARCH models with long memory are in- troduced.
The estimation of the nonparametric scale function is carried out by an adapted
version of the SEMIFAR algorithm (Beran et al., 2002). Recurring on the revised
recommendations by the Basel Committee to measure market risk in the banks' trading
books (Basel Committee on Banking Supervision, 2013), the semi- parametric GARCH
models are applied to obtain rolling one-step ahead forecasts for the Value at
Risk (VaR) and Expected Shortfall (ES) for market risk assets. In addition, standard
regulatory traffic light tests (Basel Committee on Banking Supervision, 1996)
and a newly introduced traffic light test for the ES are carried out for all models.
The practical relevance of our proposal is demonstrated by a comparative study.
Our results indicate that semiparametric long memory GARCH models are an attractive
alternative to their conventional, parametric counterparts.
author:
- first_name: Sebastian
full_name: Letmathe, Sebastian
id: '23991'
last_name: Letmathe
- first_name: Yuanhua
full_name: Feng, Yuanhua
id: '20760'
last_name: Feng
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
citation:
ama: Letmathe S, Feng Y, Uhde A. Semiparametric GARCH models with long memory applied
to Value at Risk and Expected Shortfall. Journal of Risk. doi:10.21314/JOR.2022.044
apa: Letmathe, S., Feng, Y., & Uhde, A. (n.d.). Semiparametric GARCH models
with long memory applied to Value at Risk and Expected Shortfall. Journal of
Risk. https://doi.org/10.21314/JOR.2022.044
bibtex: '@article{Letmathe_Feng_Uhde, title={Semiparametric GARCH models with long
memory applied to Value at Risk and Expected Shortfall}, DOI={10.21314/JOR.2022.044},
journal={Journal of Risk}, author={Letmathe, Sebastian and Feng, Yuanhua and Uhde,
André} }'
chicago: Letmathe, Sebastian, Yuanhua Feng, and André Uhde. “Semiparametric GARCH
Models with Long Memory Applied to Value at Risk and Expected Shortfall.” Journal
of Risk, n.d. https://doi.org/10.21314/JOR.2022.044.
ieee: 'S. Letmathe, Y. Feng, and A. Uhde, “Semiparametric GARCH models with long
memory applied to Value at Risk and Expected Shortfall,” Journal of Risk,
doi: 10.21314/JOR.2022.044.'
mla: Letmathe, Sebastian, et al. “Semiparametric GARCH Models with Long Memory Applied
to Value at Risk and Expected Shortfall.” Journal of Risk, doi:10.21314/JOR.2022.044.
short: S. Letmathe, Y. Feng, A. Uhde, Journal of Risk (n.d.).
date_created: 2022-01-13T11:23:02Z
date_updated: 2024-04-17T13:34:54Z
department:
- _id: '186'
- _id: '19'
doi: 10.21314/JOR.2022.044
jel:
- C14
- C51
- C52
- G17
- G32
keyword:
- Semiparametric
- long memory
- GARCH models
- forecasting
- Value at Risk
- Expected Shortfall
- traffic light test
- Basel Committee on Banking Supervision
language:
- iso: eng
publication: Journal of Risk
publication_status: inpress
status: public
title: Semiparametric GARCH models with long memory applied to Value at Risk and Expected
Shortfall
type: journal_article
user_id: '36049'
year: '2022'
...
---
_id: '5163'
abstract:
- lang: eng
text: "Employing a unique hand-collected sample of 956 credit risk securitization
transactions issued by 64 stock-listed\r\nEuropean banks across the EU-13 plus
Switzerland over the period from 1997 to 2010, this paper empirically analyzes\r\nthe
impact of securitization on the issuing banks’ effective tax rates. Our analysis
reveals that banks may reduce their\r\ntax expense through securitization via
a direct and indirect channel suggesting that tax avoidance may be a further\r\nmotive
for banks to engage in the securitization business. These baseline findings remain
robust under various\r\nrobustness checks, especially when implementing structural
equation models and controlling for a reverse causality\r\nbetween the banks’
tax burden and their incentive to securitize. Finally, various sensitivity analyses
provide further\r\nimportant results and implications for tax policies, banking
regulation and the ongoing process of revitalizing the\r\nEuropean securitization
market."
author:
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
citation:
ama: Uhde A. Tax avoidance through securitization. The Quarterly Review of Economics
and Finance. 2021;79:411-421. doi:10.1016/j.qref.2020.07.008
apa: Uhde, A. (2021). Tax avoidance through securitization. The Quarterly Review
of Economics and Finance, 79, 411–421. https://doi.org/10.1016/j.qref.2020.07.008
bibtex: '@article{Uhde_2021, title={Tax avoidance through securitization}, volume={79},
DOI={10.1016/j.qref.2020.07.008},
journal={The Quarterly Review of Economics and Finance}, author={Uhde, André},
year={2021}, pages={411–421} }'
chicago: 'Uhde, André. “Tax Avoidance through Securitization.” The Quarterly
Review of Economics and Finance 79 (2021): 411–21. https://doi.org/10.1016/j.qref.2020.07.008.'
ieee: A. Uhde, “Tax avoidance through securitization,” The Quarterly Review of
Economics and Finance, vol. 79, pp. 411–421, 2021.
mla: Uhde, André. “Tax Avoidance through Securitization.” The Quarterly Review
of Economics and Finance, vol. 79, 2021, pp. 411–21, doi:10.1016/j.qref.2020.07.008.
short: A. Uhde, The Quarterly Review of Economics and Finance 79 (2021) 411–421.
date_created: 2018-10-31T09:55:40Z
date_updated: 2022-01-06T07:01:40Z
department:
- _id: '186'
- _id: '188'
doi: 10.1016/j.qref.2020.07.008
intvolume: ' 79'
jel:
- G21
- G28
- H25
- H71
keyword:
- Securitization
- Credit risk transfer
- Effective tax rates
- European banking
language:
- iso: eng
page: 411-421
publication: The Quarterly Review of Economics and Finance
status: public
title: Tax avoidance through securitization
type: journal_article
user_id: '81176'
volume: 79
year: '2021'
...
---
_id: '36060'
abstract:
- lang: eng
text: 'Merging a sample of 492 merger and acquisition (M&A) announcements from 284
acquiring firms across Europe and North America with data from 5-year single-name
credit default swaps (CDSs) written on stock-listed acquiring firms between 2005
and 2018, the paper at hand empirically analyzes the CDS investors’ risk perceptions
of M&A announcements using event study methodologies. As a baseline result, we
provide evidence for significantly positive cumulative average abnormal CDS spread
changes for both, European and North American acquirers suggesting that CDS investors
perceive an increase in the acquiring firms’ credit risk exposures due to M&A
announcements. Our baseline finding holds under several robustness checks, especially
when controlling for the robustness of the empirical design. Moreover, results
from a large variety of sensitivity analyses reveal a number of deal and firm
characteristics that may explain why CDS investors from our sample expect an increase
in the acquirers’ credit risk exposures due to forthcoming M&A transactions. '
author:
- first_name: Benjamin
full_name: Hippert, Benjamin
last_name: Hippert
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
citation:
ama: Hippert B, Uhde A. CDS Investors’ Risk Perceptions of M&A Announcements.
apa: Hippert, B., & Uhde, A. (n.d.). CDS Investors’ Risk Perceptions of M&A
Announcements.
bibtex: '@book{Hippert_Uhde, title={CDS Investors’ Risk Perceptions of M&A Announcements},
author={Hippert, Benjamin and Uhde, André} }'
chicago: Hippert, Benjamin, and André Uhde. CDS Investors’ Risk Perceptions of
M&A Announcements, n.d.
ieee: B. Hippert and A. Uhde, CDS Investors’ Risk Perceptions of M&A Announcements.
.
mla: Hippert, Benjamin, and André Uhde. CDS Investors’ Risk Perceptions of M&A
Announcements.
short: B. Hippert, A. Uhde, CDS Investors’ Risk Perceptions of M&A Announcements,
n.d.
date_created: 2023-01-11T11:31:54Z
date_updated: 2023-11-17T10:23:54Z
department:
- _id: '186'
- _id: '188'
jel:
- G14
- G34
keyword:
- credit default swaps
- risk perception of CDS investors
- mergers and acquisitions
- event study
language:
- iso: eng
publication_status: unpublished
status: public
title: CDS Investors’ Risk Perceptions of M&A Announcements
type: working_paper
user_id: '36049'
year: '2021'
...
---
_id: '29316'
abstract:
- lang: eng
text: Employing a unique and hand-collected dataset of securitization transactions
by European banks, this paper analyzes the relationship between true sale loan
securitization and the issuing banks’ non-performing loans to total assets ratios
(NPLRs). We provide evidence for an NPLR-reducing effect during the boom phase
of securitizations suggesting that banks (partly) securitized NPLs as the most
risky junior tranche. In contrast, we find the reverse effect during the crises
period indicating that issuing banks demonstrated `skin in the game'. A variety
of sensitivity analyses provides further important implications for the vital
debate on reducing NPL exposures and regulating securitization markets.
author:
- first_name: Benjamin
full_name: Hippert, Benjamin
last_name: Hippert
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
- first_name: Sascha Tobias
full_name: Wengerek, Sascha Tobias
last_name: Wengerek
citation:
ama: Hippert B, Uhde A, Wengerek ST. Risk Allocation through Securitization -
Evidence from Non-Performing Loans.; 2021.
apa: Hippert, B., Uhde, A., & Wengerek, S. T. (2021). Risk allocation through
securitization - Evidence from non-performing loans.
bibtex: '@book{Hippert_Uhde_Wengerek_2021, title={Risk allocation through securitization
- Evidence from non-performing loans}, author={Hippert, Benjamin and Uhde, André
and Wengerek, Sascha Tobias}, year={2021} }'
chicago: Hippert, Benjamin, André Uhde, and Sascha Tobias Wengerek. Risk Allocation
through Securitization - Evidence from Non-Performing Loans, 2021.
ieee: B. Hippert, A. Uhde, and S. T. Wengerek, Risk allocation through securitization
- Evidence from non-performing loans. 2021.
mla: Hippert, Benjamin, et al. Risk Allocation through Securitization - Evidence
from Non-Performing Loans. 2021.
short: B. Hippert, A. Uhde, S.T. Wengerek, Risk Allocation through Securitization
- Evidence from Non-Performing Loans, 2021.
date_created: 2022-01-13T11:19:28Z
date_updated: 2024-04-17T13:36:05Z
department:
- _id: '186'
jel:
- G21
- G28
- G32
keyword:
- European Banking
- Non-performing Loans
- Risk Allocation
- Securitization
language:
- iso: eng
status: public
title: Risk allocation through securitization - Evidence from non-performing loans
type: working_paper
user_id: '36049'
year: '2021'
...
---
_id: '37136'
abstract:
- lang: eng
text: This study examines the relation between voluntary audit and the cost of debt
in private firms. We use a sample of 4,058 small private firms operating in the
period 2006‐2017 that are not subject to mandatory audits. Firms decide for a
voluntary audit of financial statements either because the economic setting in
which they operate effectively forces them to do so (e.g., ownership complexity,
export‐oriented supply chain, subsidiary status) or because firm fundamentals
and/or financial reporting practices limit their access to financial debt, both
reflected in earnings quality. We use these factors to model the decision for
voluntary audit. In the outcome analyses, we find robust evidence that voluntary
audits are associated with higher, rather than lower, interest rate by up to 3.0
percentage points. This effect is present regardless of the perceived audit quality
(Big‐4 vs. non‐Big‐4), but is stronger for non‐Big‐4 audits where auditees have
a stronger position relative to auditors. Audited firms’ earnings are less informative
about future operating performance relative to unaudited counterparts. We conclude
that voluntary audits facilitate access to financial debt for firms with higher
risk that may otherwise have no access to this form of financing. The price paid
is reflected in higher interest rates charged to firms with voluntary audits –
firms with higher information and/or fundamental risk.
author:
- first_name: Riste
full_name: Ichev, Riste
last_name: Ichev
- first_name: Jernej
full_name: Koren, Jernej
last_name: Koren
- first_name: Urska
full_name: Kosi, Urska
id: '54068'
last_name: Kosi
- first_name: Katarina
full_name: Sitar Sustar, Katarina
last_name: Sitar Sustar
- first_name: Aljosa
full_name: Valentincic, Aljosa
last_name: Valentincic
citation:
ama: 'Ichev R, Koren J, Kosi U, Sitar Sustar K, Valentincic A. Cost of Debt for
Private Firms Revisited: Voluntary Audits as a Reflection of Risk.; 2021.'
apa: 'Ichev, R., Koren, J., Kosi, U., Sitar Sustar, K., & Valentincic, A. (2021).
Cost of Debt for Private Firms Revisited: Voluntary Audits as a Reflection
of Risk.'
bibtex: '@book{Ichev_Koren_Kosi_Sitar Sustar_Valentincic_2021, title={Cost of Debt
for Private Firms Revisited: Voluntary Audits as a Reflection of Risk}, author={Ichev,
Riste and Koren, Jernej and Kosi, Urska and Sitar Sustar, Katarina and Valentincic,
Aljosa}, year={2021} }'
chicago: 'Ichev, Riste, Jernej Koren, Urska Kosi, Katarina Sitar Sustar, and Aljosa
Valentincic. Cost of Debt for Private Firms Revisited: Voluntary Audits as
a Reflection of Risk, 2021.'
ieee: 'R. Ichev, J. Koren, U. Kosi, K. Sitar Sustar, and A. Valentincic, Cost
of Debt for Private Firms Revisited: Voluntary Audits as a Reflection of Risk.
2021.'
mla: 'Ichev, Riste, et al. Cost of Debt for Private Firms Revisited: Voluntary
Audits as a Reflection of Risk. 2021.'
short: 'R. Ichev, J. Koren, U. Kosi, K. Sitar Sustar, A. Valentincic, Cost of Debt
for Private Firms Revisited: Voluntary Audits as a Reflection of Risk, 2021.'
date_created: 2023-01-17T15:03:08Z
date_updated: 2023-01-18T13:40:40Z
department:
- _id: '635'
- _id: '186'
- _id: '551'
keyword:
- private firms
- voluntary audit
- cost of debt
- self‐selection bias
- risk
language:
- iso: eng
main_file_link:
- url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3853927
status: public
title: 'Cost of Debt for Private Firms Revisited: Voluntary Audits as a Reflection
of Risk'
type: working_paper
user_id: '88603'
year: '2021'
...
---
_id: '17522'
abstract:
- lang: eng
text: Employing a unique hand-collected sample of 956 credit risk securitization
transactions issued by 64 stock-listed European banks across the EU-13 plus Switzerland
over the period from 1997 to 2010, this paper empirically analyzes the impact
of securitization on the issuing banks’ effective tax rates. Our analysis reveals
that banks may reduce their tax expense through securitization via a direct and
indirect channel suggesting that tax avoidance may be a further motive for banks
to engage in the securitization business. These baseline findings remain robust
under various robustness checks, especially when implementing structural equation
models and controlling for a reverse causality between the banks’ tax burden and
their incentive to securitize. Finally, various sensitivity analyses provide further
important results and implications for tax policies, banking regulation and the
ongoing process of revitalizing the European securitization market.
article_type: original
author:
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
citation:
ama: Uhde A. Tax avoidance through securitization. The Quarterly Review of Economics
and Finance. Published online 2020. doi:10.1016/j.qref.2020.07.008
apa: Uhde, A. (2020). Tax avoidance through securitization. The Quarterly Review
of Economics and Finance. https://doi.org/10.1016/j.qref.2020.07.008
bibtex: '@article{Uhde_2020, title={Tax avoidance through securitization}, DOI={10.1016/j.qref.2020.07.008},
journal={The Quarterly Review of Economics and Finance}, author={Uhde, André},
year={2020} }'
chicago: Uhde, André. “Tax Avoidance through Securitization.” The Quarterly Review
of Economics and Finance, 2020. https://doi.org/10.1016/j.qref.2020.07.008.
ieee: 'A. Uhde, “Tax avoidance through securitization,” The Quarterly Review
of Economics and Finance, 2020, doi: 10.1016/j.qref.2020.07.008.'
mla: Uhde, André. “Tax Avoidance through Securitization.” The Quarterly Review
of Economics and Finance, 2020, doi:10.1016/j.qref.2020.07.008.
short: A. Uhde, The Quarterly Review of Economics and Finance (2020).
date_created: 2020-08-01T07:20:33Z
date_updated: 2024-04-17T13:35:56Z
department:
- _id: '19'
doi: 10.1016/j.qref.2020.07.008
jel:
- G21
- G28
- H25
- H71
keyword:
- Securitization
- Credit risk transfer
- Effective tax rates
- European banking
language:
- iso: eng
publication: The Quarterly Review of Economics and Finance
publication_identifier:
issn:
- 1062-9769
status: public
title: Tax avoidance through securitization
type: journal_article
user_id: '36049'
year: '2020'
...
---
_id: '17401'
abstract:
- lang: eng
text: Employing a unique hand-collected sample of 956 credit risk securitization
transactions issued by 64 stock-listed European banks across the EU-13 plus Switzerland
over the period from 1997 to 2010, this paper empirically analyzes the impact
of securitization on the issuing banks’ effective tax rates. Our analysis reveals
that banks may reduce their tax expense through securitization via a direct and
indirect channel suggesting that tax avoidance may be a further motive for banks
to engage in the securitization business. These baseline findings remain robust
under various robustness checks, especially when implementing structural equation
models and controlling for a reverse causality between the banks’ tax burden and
their incentive to securitize. Finally, various sensitivity analyses provide further
important results and implications for tax policies, banking regulation and the
ongoing process of revitalizing the European securitization market.
author:
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
citation:
ama: Uhde A. Tax avoidance through securitization. The Quarterly Review of Economics
and Finance. Published online 2020.
apa: Uhde, A. (2020). Tax avoidance through securitization. The Quarterly Review
of Economics and Finance.
bibtex: '@article{Uhde_2020, title={Tax avoidance through securitization}, journal={The
Quarterly Review of Economics and Finance}, author={Uhde, André}, year={2020}
}'
chicago: Uhde, André. “Tax Avoidance through Securitization.” The Quarterly Review
of Economics and Finance, 2020.
ieee: A. Uhde, “Tax avoidance through securitization,” The Quarterly Review of
Economics and Finance, 2020.
mla: Uhde, André. “Tax Avoidance through Securitization.” The Quarterly Review
of Economics and Finance, 2020.
short: A. Uhde, The Quarterly Review of Economics and Finance (2020).
date_created: 2020-07-20T06:29:36Z
date_updated: 2024-04-17T13:36:03Z
department:
- _id: '19'
jel:
- G21
- G28
- H25
- H71
keyword:
- Securitization
- credit risk transfer
- effective tax rates
- European banking
language:
- iso: eng
publication: The Quarterly Review of Economics and Finance
status: public
title: Tax avoidance through securitization
type: journal_article
user_id: '36049'
year: '2020'
...
---
_id: '46541'
abstract:
- lang: eng
text: Theoretical papers show that optimal prevention decisions in the sense of
selfprotection (i.e., primary prevention) depend not only on the level of (second-order)
risk aversion but also on higher-order risk preferences such as prudence (third-order
risk aversion). We study empirically whether these theoretical results hold and
whether prudent individuals show less preventive (self-protection) effort than
non-prudent individuals. We use a unique dataset that combines data on higher-order
risk preferences and various measures of observed real-world prevention behavior.
We find that prudent individuals indeed invest less in self-protection as measured
by influenza vaccination. This result is driven by high risk individuals such
as individuals >60 years of age or chronically ill. We do not find a clear empirical
relationship between riskpreferences and prevention in the sense of self-insurance
(i.e. secondary prevention). Neither risk aversion nor prudence is related to
cancer screenings such as mammograms, Pap smears or X-rays of the lung.
author:
- first_name: Thomas
full_name: Mayrhofer, Thomas
last_name: Mayrhofer
- first_name: Hendrik
full_name: Schmitz, Hendrik
id: '48879'
last_name: Schmitz
citation:
ama: 'Mayrhofer T, Schmitz H. Prudence and Prevention: Empirical Evidence.
Vol 863. RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum,
TU Dortmund University, University of Duisburg-Essen; 2020.'
apa: 'Mayrhofer, T., & Schmitz, H. (2020). Prudence and prevention: Empirical
evidence (Vol. 863). RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University
Bochum, TU Dortmund University, University of Duisburg-Essen.'
bibtex: '@book{Mayrhofer_Schmitz_2020, series={ Ruhr Economic Papers}, title={Prudence
and prevention: Empirical evidence}, volume={863}, publisher={RWI - Leibniz-Institut
für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University
of Duisburg-Essen}, author={Mayrhofer, Thomas and Schmitz, Hendrik}, year={2020},
collection={ Ruhr Economic Papers} }'
chicago: 'Mayrhofer, Thomas, and Hendrik Schmitz. Prudence and Prevention: Empirical
Evidence. Vol. 863. Ruhr Economic Papers. RWI - Leibniz-Institut für Wirtschaftsforschung,
Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen,
2020.'
ieee: 'T. Mayrhofer and H. Schmitz, Prudence and prevention: Empirical evidence,
vol. 863. RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum,
TU Dortmund University, University of Duisburg-Essen, 2020.'
mla: 'Mayrhofer, Thomas, and Hendrik Schmitz. Prudence and Prevention: Empirical
Evidence. RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University
Bochum, TU Dortmund University, University of Duisburg-Essen, 2020.'
short: 'T. Mayrhofer, H. Schmitz, Prudence and Prevention: Empirical Evidence, RWI
- Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund
University, University of Duisburg-Essen, 2020.'
date_created: 2023-08-16T10:50:11Z
date_updated: 2023-08-20T17:55:46Z
department:
- _id: '281'
- _id: '475'
intvolume: ' 863'
keyword:
- prudence
- risk preferences
- prevention
- vaccination
- screening
language:
- iso: eng
publisher: RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum,
TU Dortmund University, University of Duisburg-Essen
series_title: ' Ruhr Economic Papers'
status: public
title: 'Prudence and prevention: Empirical evidence'
type: working_paper
user_id: '53779'
volume: 863
year: '2020'
...
---
_id: '13146'
abstract:
- lang: eng
text: Employing a sample of 492 merger and acquisition (M&A) announcements from
284 acquirers across North America and Europe between 2005 and 2018, this study
analyzes the impact of M&A announcements on an acquirers abnormal CDS spread changes.
We find that spreads from CDS which are written on acquirers increase by 310 bps
during a symmetric five-day event window suggesting that investors expect an increase
in the acquirers credit risk exposure due to M&As. Next to this baseline finding,
we conduct a large variety of sensitivity analyses to gain more insight into the
driving factors of the rising risk perception of CDS investors due to M&A announcements.
author:
- first_name: Benjamin
full_name: Hippert, Benjamin
id: '48476'
last_name: Hippert
citation:
ama: Hippert B. The Relationship between Announcements of Complete Mergers and
Acquisitions and Acquirers’ Abnormal CDS Spread Changes. Working Papers Dissertations
from Paderborn University, Faculty of Business Administration and Economics; 2019.
apa: Hippert, B. (2019). The relationship between announcements of complete mergers
and acquisitions and acquirers’ abnormal CDS spread changes. Working Papers
Dissertations from Paderborn University, Faculty of Business Administration and
Economics.
bibtex: '@book{Hippert_2019, place={Working Papers Dissertations from Paderborn
University, Faculty of Business Administration and Economics}, series={No 52},
title={The relationship between announcements of complete mergers and acquisitions
and acquirers’ abnormal CDS spread changes}, author={Hippert, Benjamin}, year={2019},
collection={No 52} }'
chicago: Hippert, Benjamin. The Relationship between Announcements of Complete
Mergers and Acquisitions and Acquirers’ Abnormal CDS Spread Changes. No 52.
Working Papers Dissertations from Paderborn University, Faculty of Business Administration
and Economics, 2019.
ieee: B. Hippert, The relationship between announcements of complete mergers
and acquisitions and acquirers’ abnormal CDS spread changes. Working Papers
Dissertations from Paderborn University, Faculty of Business Administration and
Economics, 2019.
mla: Hippert, Benjamin. The Relationship between Announcements of Complete Mergers
and Acquisitions and Acquirers’ Abnormal CDS Spread Changes. 2019.
short: B. Hippert, The Relationship between Announcements of Complete Mergers and
Acquisitions and Acquirers’ Abnormal CDS Spread Changes, Working Papers Dissertations
from Paderborn University, Faculty of Business Administration and Economics, 2019.
date_created: 2019-09-06T08:56:48Z
date_updated: 2022-01-06T06:51:29Z
department:
- _id: '186'
- _id: '188'
jel:
- G14
- G34
keyword:
- credit default swaps
- risk perception of CDS investors
- mergers and acquisitions
- event study
language:
- iso: eng
place: Working Papers Dissertations from Paderborn University, Faculty of Business
Administration and Economics
series_title: No 52
status: public
title: The relationship between announcements of complete mergers and acquisitions
and acquirers' abnormal CDS spread changes
type: working_paper
user_id: '21810'
year: '2019'
...
---
_id: '10279'
abstract:
- lang: eng
text: 'Are cryptocurrency traders driven by a desire to invest in a new asset class
to diversify their portfolio or are they merely seeking to increase their levels
of risk? To answer this question, we use individual-level brokerage data and study
their behavior in stock trading around the time they engage in their first cryptocurrency
trade. We find that when engaging in cryptocurrency trading investors simultaneously
increase their risk-seeking behavior in stock trading as they increase their trading
intensity and use of leverage. The increase in risk-seeking in stocks is particularly
pronounced when volatility in cryptocurrency returns is low, suggesting that their
overall behavior is driven by excitement-seeking. '
article_type: original
author:
- first_name: Matthias
full_name: Pelster, Matthias
id: '67265'
last_name: Pelster
orcid: ' https://orcid.org/0000-0001-5740-2420'
- first_name: Bastian
full_name: Breitmayer, Bastian
last_name: Breitmayer
- first_name: Tim
full_name: Hasso, Tim
last_name: Hasso
citation:
ama: Pelster M, Breitmayer B, Hasso T. Are cryptocurrency traders pioneers or just
risk-seekers? evidence from brokerage accounts. Economics Letters. 2019;182:98-100.
doi:10.1016/j.econlet.2019.06.013
apa: Pelster, M., Breitmayer, B., & Hasso, T. (2019). Are cryptocurrency traders
pioneers or just risk-seekers? evidence from brokerage accounts. Economics
Letters, 182, 98–100. https://doi.org/10.1016/j.econlet.2019.06.013
bibtex: '@article{Pelster_Breitmayer_Hasso_2019, title={Are cryptocurrency traders
pioneers or just risk-seekers? evidence from brokerage accounts}, volume={182},
DOI={10.1016/j.econlet.2019.06.013},
journal={Economics Letters}, author={Pelster, Matthias and Breitmayer, Bastian
and Hasso, Tim}, year={2019}, pages={98–100} }'
chicago: 'Pelster, Matthias, Bastian Breitmayer, and Tim Hasso. “Are Cryptocurrency
Traders Pioneers or Just Risk-Seekers? Evidence from Brokerage Accounts.” Economics
Letters 182 (2019): 98–100. https://doi.org/10.1016/j.econlet.2019.06.013.'
ieee: M. Pelster, B. Breitmayer, and T. Hasso, “Are cryptocurrency traders pioneers
or just risk-seekers? evidence from brokerage accounts,” Economics Letters,
vol. 182, pp. 98–100, 2019.
mla: Pelster, Matthias, et al. “Are Cryptocurrency Traders Pioneers or Just Risk-Seekers?
Evidence from Brokerage Accounts.” Economics Letters, vol. 182, 2019, pp.
98–100, doi:10.1016/j.econlet.2019.06.013.
short: M. Pelster, B. Breitmayer, T. Hasso, Economics Letters 182 (2019) 98–100.
date_created: 2019-06-19T19:00:44Z
date_updated: 2022-01-06T06:50:33Z
department:
- _id: '186'
- _id: '578'
doi: 10.1016/j.econlet.2019.06.013
intvolume: ' 182'
jel:
- D1
- G1
keyword:
- cryptocurrencies
- bitcoin
- investor
- risk-seeking
language:
- iso: eng
page: 98-100
publication: Economics Letters
publication_identifier:
issn:
- 0165-1765
publication_status: published
status: public
title: Are cryptocurrency traders pioneers or just risk-seekers? evidence from brokerage
accounts
type: journal_article
user_id: '21810'
volume: 182
year: '2019'
...
---
_id: '4562'
abstract:
- lang: eng
text: Employing main and sector-specific investment-grade CDS indices from the North
American and European CDS market and performing mean-variance out-of-sample analyses
for conservative and aggressive investors over the period from 2006 to 2014, this
paper analyzes portfolio benefits of adding corporate CDS indices to a traditional
financial portfolio consisting of stock and sovereign bond indices. As a baseline
result, we initially find an increase in portfolio (downside) risk-diversification
when adding CDS indices, which is observed irrespective of both CDS markets, investor-types
and different sub-periods, including the global financial crisis and European
sovereign debt crisis. In addition, the analysis reveals higher portfolio excess
returns and performance in CDS index portfolios, however, these effects clearly
differ between markets, investor-types and sub-periods. Overall, portfolio benefits
of adding CDS indices mainly result from the fact that institutional investors
replace sovereign bond indices rather than stock indices by CDS indices due to
better risk-return characteristics. Our baseline findings remain robust under
a variety of robustness checks. Results from sensitivity analyses provide further
important implications for institutional investors with a strategic focus on a
long-term conservative portfolio management.
article_type: original
author:
- first_name: Benjamin
full_name: Hippert, Benjamin
id: '48476'
last_name: Hippert
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
- first_name: Sascha Tobias
full_name: Wengerek, Sascha Tobias
id: '48837'
last_name: Wengerek
orcid: 0000-0002-7820-3903
citation:
ama: 'Hippert B, Uhde A, Wengerek ST. Portfolio Benefits of Adding Corporate Credit
Default Swap Indices: Evidence from North America and Europe. Review of Derivatives
Research . 2019;22(2):203-259. doi:https://doi.org/10.1007/s11147-018-9148-8'
apa: 'Hippert, B., Uhde, A., & Wengerek, S. T. (2019). Portfolio Benefits of
Adding Corporate Credit Default Swap Indices: Evidence from North America and
Europe. Review of Derivatives Research , 22(2), 203–259. https://doi.org/10.1007/s11147-018-9148-8'
bibtex: '@article{Hippert_Uhde_Wengerek_2019, title={Portfolio Benefits of Adding
Corporate Credit Default Swap Indices: Evidence from North America and Europe},
volume={22}, DOI={https://doi.org/10.1007/s11147-018-9148-8},
number={2}, journal={Review of Derivatives Research }, author={Hippert, Benjamin
and Uhde, André and Wengerek, Sascha Tobias}, year={2019}, pages={203–259} }'
chicago: 'Hippert, Benjamin, André Uhde, and Sascha Tobias Wengerek. “Portfolio
Benefits of Adding Corporate Credit Default Swap Indices: Evidence from North
America and Europe.” Review of Derivatives Research 22, no. 2 (2019):
203–59. https://doi.org/10.1007/s11147-018-9148-8.'
ieee: 'B. Hippert, A. Uhde, and S. T. Wengerek, “Portfolio Benefits of Adding Corporate
Credit Default Swap Indices: Evidence from North America and Europe,” Review
of Derivatives Research , vol. 22, no. 2, pp. 203–259, 2019, doi: https://doi.org/10.1007/s11147-018-9148-8.'
mla: 'Hippert, Benjamin, et al. “Portfolio Benefits of Adding Corporate Credit Default
Swap Indices: Evidence from North America and Europe.” Review of Derivatives
Research , vol. 22, no. 2, 2019, pp. 203–59, doi:https://doi.org/10.1007/s11147-018-9148-8.'
short: B. Hippert, A. Uhde, S.T. Wengerek, Review of Derivatives Research 22 (2019)
203–259.
date_created: 2018-10-01T12:17:35Z
date_updated: 2022-05-04T06:15:02Z
department:
- _id: '188'
- _id: '186'
doi: https://doi.org/10.1007/s11147-018-9148-8
intvolume: ' 22'
issue: '2'
jel:
- C61
- G01
- G11
- G15
- G23
keyword:
- Corporate credit default swap indices
- Mean-variance asset allocation
- Out-of-sample portfolio optimization
- Portfolio risk-diversification
- Portfolio performance evaluation
language:
- iso: eng
page: 203-259
publication: 'Review of Derivatives Research '
publication_status: published
status: public
title: 'Portfolio Benefits of Adding Corporate Credit Default Swap Indices: Evidence
from North America and Europe'
type: journal_article
user_id: '36049'
volume: 22
year: '2019'
...
---
_id: '15392'
abstract:
- lang: eng
text: "Employing a sample of 492 merger and acquisition (M&A) announcements from\r\n284
acquirers across North America and Europe between 2005 and 2018, this study\r\nanalyzes
the impact of M&A announcements on an acquirers abnormal CDS spread\r\nchanges.
We \fnd that spreads from CDS which are written on acquirers increase\r\nby 310
bps during a symmetric \fve-day event window suggesting that investors\r\nexpect
an increase in the acquirers credit risk exposure due to M&As. Next to\r\nthis
baseline \fnding, we conduct a large variety of sensitivity analyses to gain more\r\ninsight
into the driving factors of the rising risk perception of CDS investors due to\r\nM&A
announcements."
author:
- first_name: André
full_name: Uhde, André
id: '36049'
last_name: Uhde
orcid: https://orcid.org/0000-0002-8058-8857
- first_name: Benjamin
full_name: Hippert, Benjamin
id: '48476'
last_name: Hippert
citation:
ama: Uhde A, Hippert B. The Relationship between Announcements of Complete Mergers
and Acquisitions and Acquirers’ Abnormal CDS-Spread Changes.; 2019.
apa: Uhde, A., & Hippert, B. (2019). The relationship between announcements
of complete mergers and acquisitions and acquirers’ abnormal CDS-Spread changes.
bibtex: '@book{Uhde_Hippert_2019, title={The relationship between announcements
of complete mergers and acquisitions and acquirers’ abnormal CDS-Spread changes},
author={Uhde, André and Hippert, Benjamin}, year={2019} }'
chicago: Uhde, André, and Benjamin Hippert. The Relationship between Announcements
of Complete Mergers and Acquisitions and Acquirers’ Abnormal CDS-Spread Changes,
2019.
ieee: A. Uhde and B. Hippert, The relationship between announcements of complete
mergers and acquisitions and acquirers’ abnormal CDS-Spread changes. 2019.
mla: Uhde, André, and Benjamin Hippert. The Relationship between Announcements
of Complete Mergers and Acquisitions and Acquirers’ Abnormal CDS-Spread Changes.
2019.
short: A. Uhde, B. Hippert, The Relationship between Announcements of Complete Mergers
and Acquisitions and Acquirers’ Abnormal CDS-Spread Changes, 2019.
date_created: 2019-12-18T15:53:47Z
date_updated: 2024-04-17T13:35:41Z
department:
- _id: '19'
- _id: '186'
jel:
- G14
- G34
keyword:
- credit default swaps
- risk perception of CDS investors
- mergers and acquisitions
- event study
language:
- iso: eng
status: public
title: The relationship between announcements of complete mergers and acquisitions
and acquirers' abnormal CDS-Spread changes
type: working_paper
user_id: '36049'
year: '2019'
...