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    <title>EconStor Community: Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin</title>
    <link>http://hdl.handle.net/10419/131</link>
    <description>Collaborative Research Center 649: Economic Risk, Humboldt University Berlin</description>
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      <title>EconStor</title>
      <url>http://www.econstor.eu/retrieve/99867</url>
      <link>http://hdl.handle.net/10419/131</link>
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      <title>Changes in occupational demand structure and their impact on individual wages</title>
      <link>http://hdl.handle.net/10419/56761</link>
      <description>Title: Changes in occupational demand structure and their impact on individual wages
&lt;br/&gt;
&lt;br/&gt;Authors: Fedorets, Alexandra
&lt;br/&gt;
&lt;br/&gt;Abstract: This paper estimates wage losses arising due to changes in the structure of demand for occupations. The data on occupational changes made for the sake of adjustment to the changes in the demand structure come from the German reunification of 1990. Endogenous occupational changes are instrumented by the post-reunification demand properties of the occupation of the apprenticeship completed in the GDR. The IV computation reveals a negative wage effect of nearly 35 log points in 1991/92. This effect is persistent over time: after almost 10 years after reunification the negative wage effect associated with occupational changes due to the relocation of individual human capital across occupations is more than 20 log points.</description>
      <pubDate>Fri, 29 Oct 2010 22:58:59 GMT</pubDate>
    </item>
    <item>
      <title>Forecast based pricing of weather derivatives</title>
      <link>http://hdl.handle.net/10419/56760</link>
      <description>Title: Forecast based pricing of weather derivatives
&lt;br/&gt;
&lt;br/&gt;Authors: Härdle, Wolfgang Karl; López-Cabrera, Brenda; Ritter, Matthias
&lt;br/&gt;
&lt;br/&gt;Abstract: Forecasting based pricing of Weather Derivatives (WDs) is a new approach in valuation of contingent claims on nontradable underlyings. Standard techniques are based on historical weather data. Forward-looking information such as meteorological forecasts or the implied market price of risk (MPR) are often not incorporated. We adopt a risk neutral approach (for each location) that allows the incorporation of meteorological forecasts in the framework of WD pricing. We study weather Risk Premiums (RPs) implied from either the information MPR gain or the meteorological forecasts. The size of RPs is interesting for investors and issuers of weather contracts to take advantages of geographic diversification, hedging effects and price determinations. By conducting an empirical analysis to London and Rome WD data traded at the Chicago Mercantile Exchange (CME), we find out that either incorporating the MPR or the forecast outperforms the standard pricing techniques.</description>
      <pubDate>Sat, 29 Oct 2011 22:58:59 GMT</pubDate>
    </item>
    <item>
      <title>CRRA utility maximization under risk constraints</title>
      <link>http://hdl.handle.net/10419/56759</link>
      <description>Title: CRRA utility maximization under risk constraints
&lt;br/&gt;
&lt;br/&gt;Authors: Moreno-Bromberg, Santiago; Pirvu, Traian A.; Réveillac, Anthony
&lt;br/&gt;
&lt;br/&gt;Abstract: This paper studies the problem of optimal investment with CRRA (constant, relative risk aversion) preferences, subject to dynamic risk constraints on trading strategies. The market model considered is continuous in time and incomplete; furthermore, financial assets are modeled by Itô processes. The dynamic risk constraints (time, state dependent) are generated by risk measures. The optimal trading strategy is characterized by a quadratic BSDE. Special risk measures (Value-at-Risk, Tail Value-at-Risk and Limited Expected Loss ) are considered and a three-fund separation result is established in these cases. Numerical results emphasize the effect of imposing risk constraints on trading.</description>
      <pubDate>Fri, 29 Oct 2010 22:58:59 GMT</pubDate>
    </item>
    <item>
      <title>News-driven business cycles in SVARs</title>
      <link>http://hdl.handle.net/10419/56758</link>
      <description>Title: News-driven business cycles in SVARs
&lt;br/&gt;
&lt;br/&gt;Authors: Bunk, Patrick
&lt;br/&gt;
&lt;br/&gt;Abstract: Recent studies proposed news about future technology growth as the main driver of macroeconomic fluctuations. The identification of these news through stock prices in SVARs has been criticized in the past. Therefore, I propose a series of experiments to test that hypothesis by examining its implications. If business cycles are mainly driven by news then these shocks should be captured by other time series as well. I find that news shocks identified through S&amp;P 500 prices exhibit the same dynamics as news identified through a broader stock price index, patent applications, the relative price of investment or shocks to the real interest rate. The common theme among these identifications is a technological change in productivity that demands time to build, economic activity and natural resources to come into effect.</description>
      <pubDate>Fri, 29 Oct 2010 22:58:59 GMT</pubDate>
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