Available Bachelor thesis topics

Asset management and asset pricing:

A1. Should Crypto Currencies be Regulated?

The thesis should discuss the question whether crypto currencies (CC) be regulated or not. Despite the current regulatory trend, it is not clear whether this serves the purpose of stabilizing the financial system (by diminishing the role of CC) or by making them more important (because they are regulated and perceived more stable). Please contact Andre Guettler  if you are interested. Thesis can be written in English or German.

 

A2. VIX Manipulation (reserved)

Very recently, the VIX showed strange movements that do not fit well with the underlying stock index (link). The thesis should start by explaining the construction and usage of the VIX index. Potential manipulation should be investigated; i.e., does the VIX index move together with the underlying stock index. Necessary data should be gathered from Datastream. Please contact Andre Guettler if you are interested. Thesis can be written in English or German.

 

Credit Risk:

C1. Quality and Consistency of Corporate Credit Ratings

Are credit ratings consistent across industries and regions? The thesis should provide an overview of the most recent literature on rating consistency and conduct an empirical analysis using a dataset of corporate issuers that we will provide. If you are interested, please contact Marc Altdörfer.

C2. Structured finance ratings and their role in the financial crisis

Structured finance ratings are an important business segment for the three leading credit rating agencies. At the same time, ratings in structured finance played a significant role in the American subprime mortgage crisis of 2007. This thesis should provide insight into the structured finance rating market, outline the contribution of ratings to the financial crisis and illustrate the developments from a regulatory perspective after the crisis. If you are interested, please contact Marc Altdörfer.

C3. The European Market for Credit Ratings

The thesis should discuss the European Market for Credit Ratings using publicly available data from ESMA. In particular, the thesis should discuss i) the market share, and ii) the rating performance of registered rating agencies in the corporate and structured markets. Please contact Andre Guettler  if you are interested. Thesis can be written in English or German.

C4. Does DBRS provide soft ratings?

The thesis should discuss whether the fourth largest rating agency in Europe, DBRS, provides ratings that appear relatively soft compared to the top-3 rating agencies. Data needs to be compiled using Bloomberg. Please contact Andre Guettler  if you are interested. Thesis can be written in English or German.

C5. German SME credit ratings

The thesis should investigate the collapse of the German SME credit ratings. Smaller credit rating agencies such as Creditreform and Euler Hermes were assigning low investment grade ratings to German SMEs. Ex post, default rates were very high compared to firms that were initially rated similarly by the top-3 rating agencies. Please contact Andre Guettler  if you are interested. Thesis can be written in English or German.

Banking:

B1. A contemporary survey of literature on regulatory reporting

After the financial crisis of 2008/09, one strand of literature highlighted the weaknesses in regulatory requirements, regulatory reporting and/or implementation of regulations. For example, Behn et al. (2016) show that when the banks use internal models to estimate risk for regulatory purposes, they understate their credit risk. Similarly, Da Veiga et al. (2012) show that the banks understate VAR for reporting purposes. This thesis should provide an overview of the recent empirical literature on regulatory requirements, and reporting behavior of banks. The thesis should also identify avenues for future research. If you are interested, please contact Mahvish Naeem.

 

B2. Financial crisis and bank performance in Brazil (reserved)

This thesis should compare the performance of different types of banks in Brazil during the financial crisis of 2008/09. The topic requires comparing the performance of public, private, foreign, and cooperative banks before and after the crisis using measures such as deposits, credit, ROA, ROE, etc. The aim to is find out what type of banks got the worst hit. We will provide the data for this thesis. If you are interested, please contact Mahvish Naeem.

 

Theses in the area of credit risk or banking

Note that there are usually BSc topics in the area of credit risk (in particular about credit ratings) and banking available in addition to the stated thesis topics above (in case you don't have any own research idea in mind). In this case we will provide necessary data for your thesis. Please send an e-mail to Andre Guettler if you are interested.