SFB 649:  Economic Risk

• Subject Area: Social and Behavioural Sciences ; Mathematics
• Term: from 2005 to 2016
• Project identifier: Deutsche Forschungsgemeinschaft (DFG) - Project number 5486220

We live in a world full of uncertainty. Uncertainty about the future influences present decisions for individuals, businesses, institutions and nations. Financial market fluctuations threaten household wealth, real estate, and the value of bonds and shares. Unforeseen technical innovations destroy the market position of well-established firms. Business cycle fluctuations endanger employment. Economic policy is constantly challenged by growth risks. These uncertainties exemplify a phenomenon known as economic risk . It is ubiquitous in economic decisions and contexts. Consequently, a precise understanding of economic risk is a prerequisite for improving the economic prospects of individuals, firms or entire nations.
The aim of the Collaborative Research Centre is to answer the general research questions: What are the essential economic risks and which consequences do they have? Which individual risks are households and firms exposed to? Additionally, the question of containment, distribution and insurance of these risks is a subject of the Collaborative Research Centre. The participating scientists bring together insights from a number of different research areas such as economics, business administration, statistics and econometrics, as well as applied mathematics. Using empirical, experimental and theoretical methods, the researchers analyse the main economic risks, how they can be quantified and evaluated. Further examples of problems are the limits to insurability and the following questions: What role do financial markets play in the allocation of risks? What are the consequences of risks affecting the economy as a whole? How can macroeconomic risks be managed by monetary and fiscal policy? As a novel infrastructure, the Financial and Economic Data Center (FEDC) provides data, central computing capacity, software, as well as a portal for numerical algorithms and research results for the participating and visiting researchers.

• DFG Programme: Collaborative Research Centres

Completed projects

• A01 - Risiko und Design von Management Vergütungsverträgen (Project Head Maug, Ernst )
• A03 - Optimierung dynamischer Konsumströme unter Ungewissheit (Project Head Schied, Alexander )
• A04 - Optimale Risikoverteilung in Organisationen (Project Head Demougin, Ph.D., Dominique )
• A06 - Strategic Risk in Experimental Games (Project Heads Ivanova-Stenzel, Radosveta ;  Kübler, Dorothea )
• A07 - Accounting and Cost of Capital (Project Head Gassen, Joachim )
• A08 - The Dynamics of Regulatory Risk (Project Head Strausz, Roland )
• A09 - The Local Incidence of Shocks - The Role of Labor Supply (Project Head Spitz-Oener, Alexandra )
• A11 - Securitization and Equilibrium Risk Transfer (Project Head Horst, Ulrich )
• A12 - Contextual Influences on Risk Perception in Investment Decisions (Project Head Heekeren, Hauke Reiner )
• A13 - Risk Allocation with Derivatives by Corporations (Project Head Adam, Tim )
• A14 - Statistical inference methods for assessing the genetic basis of risk preferences (Project Head Dickhaus, Thorsten )
• A15 - Risk-Sharing within Firms (Project Head Stomper, Alex )
• B01 - Dynamic Semiparametric Modelling (Project Head Härdle, Wolfgang Karl )
• B02 - Brand Evaluation and the Assessment of Brand Strategies (Project Head Hildebrandt, Lutz )
• B03 - The Local Incidence of Shocks - the Role of Real Estate (Project Heads Werwatz, Axel ;  Wolf, Nikolaus )
• B04 - Messung von Unternehmenswert und Risikoprämien (Project Heads Dittmann, Ingolf ;  Maug, Ernst )
• B05 - Structural Methods in Risk Modeling (Project Head Spokoiny, Vladimir )
• B06 - Stochastische Analysis von Finanzmärkten mit heterogener Information (Project Head Imkeller, Peter )
• B07 - Calibration and Pricing errors in Risk management (Project Head Belomestny, Denis )
• B08 - Econometric Modeling of Volatility, Liquidity and Trading Risks (Project Head Hautsch, Nikolaus )
• B09 - Aggregate Mortality Risk and its Impact on the Asset Liability Management of Life Insurance Companies (Project Heads Gründl, Helmut ;  Post, Thomas )
• B10 - Dynamic Copula Models (Project Heads Härdle, Wolfgang Karl ;  Okhrin, Ostap )
• B11 - Non- and Semiparametric Techniques for Euler Equations and Risk Measurement (Project Head Hautsch, Nikolaus )
• C01 - Makroökonomische Risiken: Faktoren, Kapitalmärkte und wirtschaftspolitische Konsequenzen (Project Head Uhlig, Harald )
• C02 - Einheitswurzel- und Kointegrationsmethodik (Project Heads Brüggemann, Ralf ;  Trenkler, Carsten )
• C03 - Internationale makroökonomische risiken, ihre Ursachen und ihre konjunkturpolitische Beherrschbarkeit (Project Head Mackowiak, Ph.D., Bartosz )
• C04 - Stochastische Optimierung für ökonomische Modelle unter Berücksichtigung von Zeitverzögerungseffekten (Project Head Reiß, Markus )
• C05 - Gesamtwirtschaftliches Risiko in langfristiger Perspektive (Project Head Ritschl, Albrecht )
• C06 - Quantitative Analyse der Geldpolitik im erweiterten Europa (Project Head Brüggemann, Imke )
• C07 - Macroeconomic Risk in Labor and Financial Markets (Project Head Burda, Ph.D., Michael Christopher )
• C10 - Macroeconomic Consequences of Strategic Uncertainty (Project Head Heinemann, Frank )
• C11 - Weather Risk Management (Project Heads López Cabrera, Brenda ;  Odening, Martin ;  Wang, Weining )
• C12 - Inference for jump models and nonlinear inverse problems (Project Head Reiß, Markus )
• C14 - Expectations Management of Central Banks and the Financial Crisis (Project Head Nautz, Dieter )
• C15 - Structural Vector Autoregressive Analysis (Project Head Lütkepohl, Helmut )
• D - Financial and Economic Data Center (FEDC) (Project Heads Härdle, Wolfgang Karl ;  Maug, Ernst ;  Uhlig, Harald )
• INF - Risk Data Center (RDC) (Project Heads Burda, Ph.D., Michael Christopher ;  Härdle, Wolfgang Karl )
• T01 - Implementation of Risk Management Tools for Wind Power Industry (Project Heads Deckert, Lars ;  Ritter, Matthias )
• T04 - Application of Probabilistic Forecasting to Load Management (Project Head López Cabrera, Brenda )
• Z - Administrative Project (Project Heads Burda, Ph.D., Michael Christopher ;  Härdle, Wolfgang Karl )

• Applicant Institution: Humboldt-Universität zu Berlin
• Participating University: Freie Universität Berlin; Technische Universität Berlin
• Participating Institution: Deutsches Institut für Wirtschaftsforschung (DIW); Weierstraß-Institut für Angewandte Analysis und Stochastik (WIAS); Leibniz-Institut im Forschungsverbund Berlin e. V.; Wissenschaftszentrum Berlin für Sozialforschung gGmbH (WZB)
• Spokesperson: Professor Dr. Wolfgang Karl Härdle