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Rechts- und Staatswissenschaftliche Fakultät - Jahrgang 2011


Titel Treatment of Double Default Effects within the Basel Regulatory Framework and a Theoretical and an Experimental Investigation of Higher-Order Risk Preferences
Autor Sebastian Ebert
Publikationsform Dissertation
Abstract The financial crisis since 2007 has drastically demonstrated the importance of banking regulation. In the first two chapters of this dissertation, we present mathematical methods for the treatment of double default effects in the Basel regulatory framework. The first chapter is concerned with double default effects within the granularity adjustment, whereas the second chapter deals with double default effects within the Internal-Ratings-Based approach. Both methods consistently fit in the current framework and they do neither require extensive data nor computational time. Thus, we argue, they very well suit for practical application.
The remaining two chapters are concerned with higher-order risk preferences such as prudence or temperance. In the third chapter, we provide a moment characterization of higher-order risk preferences. We claim that this characterization gives a better understanding of how all higher-order risk preferences relate to skewness preference and kurtosis aversion. The final chapter presents a method to test for prudence and skewness seeking and reports results from a controlled laboratory experiment.
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© Universitäts- und Landesbibliothek Bonn | Veröffentlicht: 06.09.2011