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Special prize of the Deutsche Bundesbank

The EmpWiFo team congratulates Dr. Christina Uffmann: Her dissertation on the measurement of liquidity risks was awarded the "Special Prize of the Deutsche Bundesbank for Economic Theses 2019" at the University of Bremen!

For the second time, the special prize of the Deutsche Bundesbank for final theses in economics will be awarded to a member of our staff, and in 2017 Dr. Ludwig Heinzelmann has already been honoured for his work. Dr. Christina Uffmann's dissertation dealt with the measurement of liquidity risks.

The analysis and quantification of market risk has already been extensively considered in scientific discourse as well as in practice for years. For liquidity risk, on the other hand, this has only been increasingly observed since the last financial crisis in 2007/2008. The author deals with the econometric modelling of market liquidity risks in applied risk management. Following the further development of regulatory requirements, the concept of liquidity-adjusted value-at-risk (VaR) is transferred to models and forecasts of the expected shortfall (ES). The author examines in detail the stochastic properties of market liquidity risk in the form of bid-ask spreads and devotes considerable attention to modelling potential statistical dependencies between market and market liquidity risk. An extensive empirical application to German equities allows the statistical validation of the models under consideration and shows in which situations an explicit consideration of the liquidity risk in VAR and ES forecasts is advisable - if not necessary.

The dissertation of Dr. Christina Uffmann " Die ökonometrische Bestimmung von Liquiditätsrisiken und deren Einfluss auf Finanzrisikoprognose " was published this year by Dr. Kovač.

Uffmann Sonderpreis Deutsche Bundesbank