Please note our general information on theses. In addition, please note that most theses supervised by the institute have an empirical part. We therefore recommend that students interested in writing a Master thesis attend the modeling and research courses offered by the finance institutes (Financial Modeling, Research in Finance).

 

SUSTAINABLE FINANCE

 

Sustainable bond ratings

An example of sustainable bonds are green bonds. These are bonds whose proceeds are used for projects that benefit the environment. There are rating agencies that assess the "greenness" of such bonds, i.e., how much they contribute to the environment. The precise questions you shall work on will be discussed in a meeting. The literature mentioned below is not about ratings (because there is not relevant literature yet) but may help you become familiar with the field. Contact: Prof. Löffler

Literature to get started: ElBannan, M.A. and Löffler, G., 2024. How effectively do green bonds help the environment?. Journal of Banking & Finance, 158, p.107051.

 

ASSET PRICING 

 

GDP forecasts and stock market forecasts 

In this thesis, you shall first implement a combination forecast model for the prediction of US GDP growth.  Next you shall test whether these forecasts help predict the US equity premium. Contact: Prof. Löffler

Literature to get started:  Stock, J. H., & Watson, M. W. (2004). Combination forecasts of output growth in a seven‐country data set. Journal of Forecasting, 23(6), 405-430.

 

Investing

 

Momentum and its variants

The momentum strategy is one of the most widely known and studied investment strategies. Several modifications of the strategy have been suggested. In this thesis, you shall implement the momentum strategy as well as important modifications of the strategy for a major stock market. Contact: Prof. Löffler

Literature to get started: Büsing, Pascal, Hannes Mohrschladt, and Susanne Siedhoff. "Decomposing momentum: The forgotten component." Journal of Banking & Finance 168 (2024): 107292.

 

RISK

Performance of banks's internal value-at-risk models

In this thesis you shall examine the performance of the internal value-at-risk models of a few selected banks. The data will be retrieved from the banks' annual reports as described in the paper referenced below.  Contact: Prof. Löffler

Literature to get started: Pérignon, C., Deng, Z.Y. and Wang, Z.J., 2008. Do banks overstate their Value-at-Risk?. Journal of Banking & Finance, 32(5), pp.783-794.