Regulatory measures shape investment opportunities in financial markets. Regulatory uncertainty can arise from changes in regulatory rules which occur at discrete points in time, making regime switching (RS) models a natural candidate for the analysis. Examples of such regime switches are the taxation of energy according to its carbon content (carbon tax), environmental, social, and governance (ESG) ratings, or the introduction of new regulatory rules in banking and insurance. Although the application of RS models in the context of asset allocation problems has been widely analyzed in the literature, the specific use of RS models to analyze the implications of regulatory uncertainty for both asset allocation and the efficiency of the objective of the regulator in climate finance and insurance is scarce.
Project status |
granted |
Project time |
01.01.2026- 31.12.2029 |
Funding source |
DFG - Research Unit |
Project number |
BR 2923/5-1 |
Keywords |
Regimewechsel-Modelle; RS-Modellen |