finance theory, applied
To gain practical insights (and data!), I sometimes do applied
work:- Portfolio management
I manage a team of students in our extracurricular Portfolio Management Program.
- Cost of capital estimation
In joint work with J. Zechner, I've analyzed the cost of capital of a German transmission grid operator. In Germany, the electric grid is being adapted to the phase-out of nuclear power enacted by the German Bundestag in the wake of the Fukushima catastrophe. The return on capital invested into the grid is determined by rate-of-return regulation.
In the course of this project, we came across a dataset that we now use in our academic research.
- Policy proposals
A green paper (sponsored by the Austrian Ministry of Finance and coauthored with M. Halling and J. Zechner) on market-based instruments for financing small and medium sized enterprises (SMEs). A summary was published in the journal of the Austrian central bank.
A proposal (sponsored by the Julius-Raab Stiftung and coauthored with J. Zechner) for a reform of the Austrian pension system. The project was part of a wider-ranging proposal for capital market reform. Here is an abstract and some press coverage.
- Program evaluation
My work in program evaluation was triggered by a research project on effects of leverage on firm performance. The project was based on data about family businesses in the Austrian tourism industry. The industry receives extensive public subsidies under several programs of the Austrian Ministry for Economic Affairs (BMWFJ) that were the subject of a recent evaluation done on behalf of the BMWFJ. The evaluation compared the subsidized businesses to control groups in order to measure effects on the businesses and their workers. The evaluation was joint work with S. Baumgartner (who now also uses data about the Austrian tourism industry in an empirical analysis that is part of his dissertation).
- Credit risk modeling
In the area of credit risk modeling, I worked for the Austrian Tourism Bank. The following paper describes the modeling process:
E. Hayden, A. Stomper, and A. Westerkamp, 2014, Selection vs. Averaging of Logistic Credit Risk Models, Journal of Risk, 16 (5).