Our Work: Insights, Info, Reading

CAPTURING AND MEASURING CLIMATE-RELATED RISKS

NGFS published in 05 2022 a status report on the progress made by financial institutions, credit rating agencies and supervisors in accounting for climate-related risk differentials. The survey sought to identify the most advanced practices in green vs. non-green classification and the assessment of risk differentials. Some of the results for financial institutions we discuss in this text.

MACROPILOT, FIRST VERSION, READY FOR USE

The Macropilot is a macroeconomic and macrofinancial stress testing and scenario analysis tool for risk management, risk quantification, capital allocation, decision making, strategy evaluation and many other purposes. It is a global model with regional specifications, has been developed inhouse and is ready for use.

DEVELOPING A MACROECONOMIC GLOBAL STRESS TESTING TOOL

First steps and first and second round analysis in developing a macroeconomic stress testing and scenario analysis tool with the help of research institute and university cooperation and public research funding. Valuable insights concerning feasibility of variables.

RESEARCH FOR FINANCIAL SECTOR AND CAPITAL MARKETS ANALYSIS

Delivering empirical research contributions to financial sector analysis and subsystem evaluations. Participation in proposal elaboration for solving capital market microstructure design problems.

FUNDING SOURCES CONCEPT FOR REGIONAL RAIL TRANSPORT PROJECT

Development of a funding (in the sense of financial means allocated via national and international public funding agencies) and financing sources concept for an ecologically friendly, user beneficial and cost efficient cross-country regional rail transport project.

PARTICIPATION IN POLICY STUDIES ON BANKING REGULATION TOPICS

Participation in different policy studies on realization and implementation topics arising from at the time pending changes in the banking regulation framework. The spectrum of project stakeholders involved reached, for example, from federal ministries, over interest groups to representatives of the banking sector.

FINANCIAL STABILITY BOARD RECOMMENDATIONS FOR CLIMATE-RELATED RISKS

The Financial Stability Board, which coordinates at the international level the work of national financial authorities and international standard-setting bodies to develop / promote the implementation of effective regulatory, supervisory and other financial sector policies, issued in 10 2022 its Recommendations for Supervisory and Regulatory Approaches to Climate-related Risks. Our short text summarizes the FSB recommendations, which were made with respect to, first, supervisory and regulatory reporting and collection of climate-related data from financial institutions and, second, incorporating systemic risks into supervisory and regulatory approaches. The FSB document concludes with, among other statements, the following schedule outlook: „As approaches develop and mature in the next few years, the FSB will consider in 2024 conducting a peer review of supervisory and regulatory practices against its recommendations, and will also consider updating its recommendations in 2025.“ (para 2, p.52)

THOUGHTS ON THE FINANCING NEEDS OF STARTUPS AND FOR INNOVATION

We approach this question in the current piece of work not only from a micro but also from a system perspective. Funding and innovation as economic policy challenges: Which capital for what? Importance and character of innovations (innovations and growth; the nature of fundamental innovations and their degree of risk; influence of funding on innovation activity and innovation character). What does it take to foster innovation?

WEALTH DISTRIBUTION AND REALIZED ASSET CATEGORIES AT HOUSEHOLD LEVEL

In this work we investigated data and results of the recurrent waves of the euro area Household Finance und Consumption Survey: In order to complement other data sources by the household perspective, in order to allow household comparisons across euro area countries, and to trace evolution over time.

THE TRUTH BENEATH INTERNATIONAL DEGLOBALISATION TRENDS IN BANKING

The main results of the BIS Working Paper Financial deglobalisation in banking? (June 2017) are briefly summarized and discussed here. What looks like deglobalisation in banking, is rather cyclical deleveraging of European banks with their foreign claims, while other regions have been expanding their international activities.

BASEL III AND POSSIBLE CONSEQUENCES ON RATINGS IN A COUNTRY SPECIFIC CONTEXT

Investigation results of at the time of analysis – given the construction of the future regulatory framework and the country specific economic, financial, and business characteristics – possible / feasible, but yet unclear potential effects of pending Basel III regulations on ratings with respect to the specific reference country.

BASEL III AND POSSIBLE CONSEQUENCES ON ECONOMIC GROWTH AND OTHER VARIABLES IN A COUNTRY SPECIFIC CONTEXT

Investigation results of at the time of analysis – given the construction of the future regulatory framework and the country specific economic, financial, and business characteristics – possible / feasible, but yet unclear potential effects of pending Basel III regulations on economic growth and other macroeconomic variables with respect to the specific reference country studied.

RISK QUANTIFICATION AND RATING ASSESSMENT OF STRUCTURED CREDIT PRODUCTS

This work is an empirical study placed in the early aftermath of the outbreak of the Great Finanicial Crisis. It analyzes a set of structured credit products with respect to selected rating related questions and problems and also regarding market risk issues. Specifically, we investigate tranches on a portfolio of iTraxx constituents and tranches on a portfolio of high yield underlying entities from before to into the full-blown first phases of the Great Financial Crisis.

SELECTED RELEVANT EARLIER RESEARCH OF BETA INSIDE PEOPLE IN THE CONTEXT OF THEIR WORK FOR OTHER INSTITUTIONS (with co-authors)

The Great Financial Crisis and structured credit products´ fragmentation; empirical case studies of dependence dynamics in the course of the Great Financial Crisis, as one the decisive risk drivers; statistical dependence modeling; iTraxx constituents.

Future of European Union Economic Policy, contributions to the discussion process – contribution elaborated by Austrian research institute; ed. Austrian Federal Ministry of Economy and Labour.

Macro-economic and macro-financial determinants of European initial public offerings (IPOs), empirical time-series cross-section panel data analysis for European corporates.

Economic policy research with respect to the Austrian industry and future prospects for it; undertaken by economic research institute; work commissioned by Austrian Federal Ministry of Labour and Economy.

Budgetary analysis of a provincial capital of Austria, with respect to a specifically addressed time period and with special emphasis on topics of high priority; work undertaken by Austrian research institute; study commissioned by the provincial capital.

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