Ökonomisches Kapital

Investigation of the reasons for private investors working in the financial industry to participate in crowdfunding projects

Master Thesis in "Executive MBA", University of Durham/EBS (2018)

 

In the last ten years crowdfunding performed with the medium of crowdfunding platforms has proven to be a viable alternative for capital seekers to fund ventures in multiple fields ranging from e.g. creative film projects to the introduction of new technology. The basic idea of bypassing the traditional money sources like banks or investment companies and relying for the funding of projects on the crowd opened a new era in the financing world. Of course, while the crowdfunding itself may not render the traditional established ways of raising funds redundant in the next couple of years, a universal economic system has been created which is obeying its own rules and has its own standards. It is the goal of this study to make a contribution in order to better understand the underlying mechanisms of this new way to collect funds online.

The starting point for this dissertation is the question concerning the drivers of motivation to participate as a private investor in a crowdfunding project. As observation unit this study focuses on people who are working as consultants in the financial industry, since this special group of people might reveal interesting details which are not significant when the “common people”, like in most surveys, are considered. According to literature review a research model was developed and hypotheses were tested upon primary data which has been collected with a total of 86 questionnaires. The analysis shows that the proposed research model is successful in explaining the intention to invest of potential investors.

One of the most interesting results of the study is the observation of the transition of the most important factors of the research model which are contributing to the intention to invest from the group of unexperienced to the group of experienced investors: while for unexperienced investors the main drivers for the intention to invest are the “participation in community” and the “curiosity influence”, for experienced investors the main drivers are the “economic value” and “enjoyment”.

 

Stability of Credit Portfolio Models

Master Thesis in "Mathematical Finance", Oxford (2008)

 

In this thesis we examined the stability of credit portfolio models which are at the heart of modern credit risk management. Therefore, we investigated the impact of changes in certain model parameters or the portfolio setup on the loss distribution as well as the resulting economic capital. The parameters of interest for which we analysed the model sensitivities covered both, obligor specific (probability of default and loss given default) as well as portfolio specific quantities (correlation and concentration). For our numerical simulations we focused on CreditRisk+ and CreditMetrics since these models also are widely used within the banking industry. In order to quantify economic capital we used risk measures based on Value at Risk as well as Expected Shortfall, which have been controversially discussed in this context. Our main findings are that both models proved to be relatively stable over a wide parameter range of practical interest. However, even small parameter shifts as they can occur, e.g., in a period of economic downturn or simply as a result of parameter misspecification may lead to a quite dramatic increase of the predicted economic capital. Further, we found that both high portfolio concentration as well as strong correlations may lead to a breakdown of the standard behavior thereby indicating a model instability.