Auswirkungen von Solvency II und der neuen EU-Finanzaufsichtsarchitektur auf die Kapitalallokationsstrukturen von Versicherungsgruppen

This paper analyses how the foreseen Solvency II provisions on group solvency calculations will affect the capital allocation within insurance groups. In this respect influencing factors are identified and the incentives set by them are disputed, in particular choice of method (consolidation method vs. deduction and aggregation method), choice of model (internal model vs. standard formula), non-transferability and treatment of participations at solo level. It is shown that the effects will depend heavily on the concrete implementation of the new provisions on the one hand and on the interplay of national supervisors and EIOPA (inter alia in certifying internal models and in setting capital add-ons) on the other hand.     

TEAMWORK AND INTRA‐FIRM WAGE DISPERSION AMONG BLUE‐COLLAR WORKERS

Using data on a sample of manufacturing establishments in Germany, we find that the use of self‐managed teams is associated with increased intra‐firm wage inequality between skilled and unskilled blue‐collar workers. We also show that moderating factors play an important role. While teamwork interacts positively with employer‐provided further training and a production technology of the most recent vintage, it interacts negatively with the age of the establishment and the coverage by a collective bargaining agreement.     

Zum Treuhänder des Sicherungsvermögens unter dem neuen Versicherungsaufsichtsgesetz – Auswirkungen der Solvency II-Umsetzung

This paper is about the consequences of the transposition of the Solvency II Directive into the new German insurance supervisory law (VAG 2016) on the trustee for monitoring of the guarantee assets. The trustee of the guarantee assets is a national security mechanism to protect policyholders in case of insolvency of their insurance undertaking. The previous German Regulation of Investments (AnlV) is not valid any more for insurance undertakings falling under Solvency II since 01.01.2016. Instead of legal investments rules insurance undertakings are now obliged to have a (written) internal investment policy, which is also the basis for monitoring of guarantee assets by the trustee. Challenges arise because of the clash of the accounting view (German local GAAP) and the market valuation view of Solvency II. Our analysis contributes to a better understanding of the interplay between unchanged legal provisions and the new economic, risk based perspective of Solvency II.     

Profit Sharing and Training*

We analyze the impact of profit sharing on training intensity. Profit sharing may affect training because it is a credible commitment by firms to reward firm‐specific skills, may reduce turnover and leads to peer group pressure to participate in training courses. To eliminate possible selectivity effects, we combine matching with difference‐in‐differences. We identify the proportion of employees participating in profits and differentiate profit sharing according to the percentage of the workers covered. Using German establishment data we find that profit sharing only has a significant effect on training intensity if the majority of the workforce benefits from it.     

Which Firms Buy Licenses? Market Positions and License Expenditures*

This paper presents the empirical results of a comparison of technology licensing expenditures of German companies in order to test implications of the Gilbert and Newbery (1982) model. Aside from standard control variables, the motives for innovation expenditures are also taken into account. We differentiate between firms intending to secure their present position in the market (incumbents) and those intending to enter a new market (challengers). In line with the prediction of the Gilbert and Newbery model, we find that incumbents show higher expenditures for technology licenses than potential entrants.     

Risikoberichterstattung von Versicherungsunternehmen — Analyse der Risikoberichte im Zeitablauf

This paper presents the findings of an empirical study of the development of risk reports of German insurance companies from 1999 until 2003. The empirical study is based on formal aspects and a detailed content analysis of risk reports which companies have to publish by German Commercial Law (HGB). The analysis is based on generally accepted accounting principles for management reports in annual financial statements and GAS 5-20. The goal is to collect formal and qualitative information about changes in risk reports and their performance in terms of fulfilling industry-specific supervisory risk regulations over time. The sample shows a significant continuous improvement of risk reports from 1999 until 2003. The results of the paper lead to further implications regarding the specification of Solvency II: Improvements have to be made especially in terms of specifying and quantifying company risk. Finally the paper offers suggestions for improvements in risk reporting which should be considered in the development of european standards.     

Large traders and illiquid options: Hedging vs. manipulation

In this article, we study the effects on derivative pricing arising from price impacts by large traders. When a large trader issues a derivative and (partially) hedges his risk by trading in the underlying, he influences both his hedge portfolio and the derivative's payoff. In a Black–Scholes model with a price impact on the drift, we analyze the resulting trade-off by explicitly solving the utility maximization problem of a large investor endowed with an illiquid contingent claim. We find several interesting phenomena which cannot occur in frictionless markets. First, the indifference price is a convex function of the contingent claim – and not concave as in frictionless markets – implying that for any claim the buyer's indifference price is larger than the seller's indifference price. Second, the seller's indifference prices of large positions in derivatives are smaller than the Black–Scholes replication costs. Therefore, a large trader might have an incentive to issue options if they are traded at Black–Scholes prices. Furthermore, he hedges option positions only partly if he has a negative price impact and thus exploits his ability to manipulate the option's payoff. For a positive price impact he overhedges the option position leading to an extra profit from the stock position exceeding a perfect hedge. Finally, we also study a model where the large shareholder has a price impact on both drift and volatility.     

External Financing Constraints and Firm Innovation

We investigate the effect of individual banks affected by the recent financial crisis of 2008/2009 on the innovation activities of their business customers. Firms associated with a bank that relies strongly on the interbank market are more likely to be exposed to a credit supply shock during the financial crisis and therefore face external financing constraints. Exploiting both the extensive and the intensive margin, our difference‐in‐differences results imply that those firms which have a business relation to a bank with higher interbank market reliance reduce their innovation activities during the financial crisis to a higher degree than other firms. Tests for additional expenditures reveal that marketing expenditures show a lower or even no sensitivity to bank financing during the financial crisis.