Open Access

Matthias Walter

• In past decades, risk management has been implemented in a majority of companies across all sectors. The main reason for this is that risk management directly contributes to shareholder value, and thus, supports the basic idea of value-based management. Other than small differences in denominations and delimitation, there is a broad consensus that the risk management process is a continuous loop, and that it can be subdivided into four separate phases: (1) risk identification, (2) risk assessment, (3) risk treatment, and (4) risk monitoring. Thereby, the biggest potential for risk management optimization is contained within the phases of "risk identification" and "risk treatment". Consequently, this doctoral thesis focuses on the identification and treatment of risks and provides new empirical evidence regarding both phases. Regarding the identification of risks, the thesis at hand provides empirical evidence on an aggregate level by means of various meta-analyses, and examinesIn past decades, risk management has been implemented in a majority of companies across all sectors. The main reason for this is that risk management directly contributes to shareholder value, and thus, supports the basic idea of value-based management. Other than small differences in denominations and delimitation, there is a broad consensus that the risk management process is a continuous loop, and that it can be subdivided into four separate phases: (1) risk identification, (2) risk assessment, (3) risk treatment, and (4) risk monitoring. Thereby, the biggest potential for risk management optimization is contained within the phases of "risk identification" and "risk treatment". Consequently, this doctoral thesis focuses on the identification and treatment of risks and provides new empirical evidence regarding both phases. Regarding the identification of risks, the thesis at hand provides empirical evidence on an aggregate level by means of various meta-analyses, and examines selected topics with respect to risk identification. In particular, the thesis provides new evidence on the determinants of corporate hedging by conducting the very first multivariate meta-analysis in corporate finance. Hereby a unique sample of 132 empirical studies including more than 100,000 companies is used. The results indicate a strong evidence for the bankruptcy and financial distress hypothesis. In addition, the thesis provides a thorough review of the recent empirical evidence regarding soccer’s effect on stock markets and aggregates existing knowledge to an overall level. In this regard, the thesis shows that soccer in general influences stock returns and that capital markets seem to be driven predominantly by moods. Regarding the treatment of risks, the thesis distinguishes between the financial and industrial sectors, and analyzes different ways to treat sector-specific risks. For the financial sector, Credit Linked Notes (CLN) are analyzed as an instrument to hedge credit default risks. In particular, the thesis analyzes the effect of the 2007 - 2009 financial crisis on the pricing of CLN and, specifically, on their pricing in the secondary market. Therefore, the pricing of 90 CLN covering 13,555 daily quoted prices is analyzed. In addition to the major finding that CLN in the secondary market are not only overpriced but also underpriced in many cases, the thesis provides strong evidence that the overpricing of CLN significantly decreased after the financial crisis. For the industrial sector, the thesis aims to test the applicability of the convenience yield as an indicator of a commodity’s future supply risk. Therefore, historical convenience yields are calculated for 3-, 15-, and 27-month futures contracts for five major industrial metals (aluminum, copper, lead, nickel, and zinc) during the period 1999 to 2011. The convenience yields at the beginning of the contract period are compared to known indicators at maturity to find that the convenience yield has generally predictive power for the static stock lifetime (i.e., inventory volume/turnover) and future spot prices. Furthermore, the thesis shows that, with some restrictions, the convenience yield is an applicable indicator of a commodity's supply risk.…