Available Master thesis topics

Asset management and asset pricing:

A1. Dynamic Asset Allocation using Reinforcement Learning

Optimize multi-asset portfolio using Recurrent Neural Network. Compare the results to the benchmark, i.e.m a combination of S&P 500 + US corporates benchmark. This thesis will be jointly supervised by our institute and an industry partner (Solactive). Relevant literature: a) Oflus, Kemal, Quantitative Tactical Asset Allocation Using Ensemble Machine Learning Methods (May 18, 2014), ssrn.com/abstract=2438522. b) Stefanescu, Razvan, Optimal Asset Allocation Strategies (June 26, 2016), ssrn.com/abstract=2800815. Please contact Andre Guettler if you are interested.

 

A2. Bonds liquidity assessment using Machine Learning (reserved)

Every bond is quantitatively measured against a range of common features such as currency, duration, time to maturity and amount outstanding. Those measurements determine its position within a theoretical multi-dimensional space. For example, trading an obscure US Treasury bond, the tool will identify other US Treasury bonds with the shortest distance away within that space. The tool will then use their combined pool of data to calibrate the parametric model. This thesis will be jointly supervised by our institute and an industry partner (Solactive). Relevant literature: a) Schestag, Raphael and Schuster, Philipp and Uhrig-Homburg, Marliese, Measuring Liquidity in Bond Markets (August 13, 2015). Forthcoming in The Review of Financial Studies, ssrn.com/abstract=2328370; b) Houweling, Patrick and Mentink, Albert and Vorst, Ton, Comparing Possible Proxies of Corporate Bond Liquidity. Journal of Banking and Finance, Vol. 29, No. 6, pp. 1331-1358, 2005; EFA 2003 Annual Conference Paper No. 298, ssrn.com/abstract=307419; c) Strebulaev, Ilya A., Many Faces of Liquidity and Asset Pricing: Evidence from the U.S. Treasury Securities Market (March 2002). AFA 2003 Washington, DC Meetings, ssrn.com/abstract=275843; d) Bao, Jack and Pan, Jun and Wang, Jiang, Liquidity of Corporate Bonds (July 9, 2008), ssrn.com/abstract=1106852. Please contact Andre Guettler if you are interested.

 

A3. Risks and returns of cryptocurrencies

The thesis should replicate and extend a current working paper in this area (VoxEU column and NBER working paper). Extensions could consist of a longer time period including the current downturn and a broader selection of cryptocurrencies. Please contact Andre Guettler if you are interested.

 

Credit Risk:

C1.  Sovereign Credit Ratings, Capital Flows, Domestic Credit Growth, and House Prices

Sovereign credit ratings are argued to be relevant for financial development of emerging economies through international capital flows. This study aims to document whether a change in sovereign credit ratings of one country have affect on: 

-capital flows to that country
-domestic credit growth
-and house prices

If you are interested, please contact Ahmet Ali Taskin.

 

Banking:

B1.  Access to Finance and Economic Activity 

The effect of credit on real economic outcomes is a central topic in banking and growth literature. This study aims to shed more light on this relationship using local level data from Turkey. The potential effects to be investigated are listed (but not limited to) energy consumption, firm openings/closings, building permits etc.  

If you are interested, please contact Ahmet Ali Taskin.

 

B2. Evolution of Bank Business Models in Europe

Ayadi et al. (2011) provide a method for determining the business models of European banks based on a cluster analysis of banks’ balance sheet information. The student is expected to perform the cluster analysis for different points in time, at least capturing 2003, 2007, 2009, 2013 and 2016. This analysis aims to provide insights on how the business models of European banks have evolved prior to the global financial crisis and afterwards. The data is available via Bloomberg. Please contact Mahvish Naeem if interested.

 

 

B3. Comparison of bank profitability over the financial cycle: Europe vs US

 

Detragiache et al. (2018) analyze the EU banks’ profitability through the recent financial cycle. This thesis is supposed to compare the profitability of the EU banks with the US banks over the financial cycle using the balance sheets and income statements of banks. The study should compare the banks using different measures such as loan quality, cost efficiency, net interest margins, and income composition (e.g., interest income vs fees and commission). The aim is to find out the factors associated with better profitability. The data is available via Bloomberg. Please contact Mahvish Naeem if interested.

 

  

Theses in the area of credit risk or banking

Note that there are usually MSc 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.