Papers by Kolja Gauer
Bank efficiency and profitability are essential to a variety of management and regulatory issues.... more Bank efficiency and profitability are essential to a variety of management and regulatory issues. Although recognized in the literature, the role of geographic, accounting, and regulatory factors in the relationship between bank efficiency and profitability has remained largely unexplored. This study helps fill this gap by exploring the impact of these factors on the efficiency-profitability nexus in Global Systemically Important Banks (G-SIBs). The results suggest that G-SIBs actively managed their efficiency depending on their profitability levels, with important differences in significance between headquarter locations, accounting standards, and applicable G-SIB capital surcharges. While the findings of this study are preliminary and require further empirical analysis, they are intended to open avenues for future research.
Gauer, Kolja, Exploring the Dynamic Relationship Between Operational Efficiency and Profitability Of Global Systemically Important Banks. Available at SSRN: https://ssrn.com/abstract=4603688 or http://dx.doi.org/10.2139/ssrn.4603688
Palgrave Studies in Impact Finance, 2021
This chapter provides insights on ethical issues inherent in financial stress testing. A simple n... more This chapter provides insights on ethical issues inherent in financial stress testing. A simple normative framework is developed based on a set of normative principles. The framework serves as an analytical lens for the ethical discussion of different stress-testing applications. The chapter covers portfolio stress testing on the bank level as well as stress testing for supervisory and surveillance purposes. Prior to the actual discussion the fundamentals of financial stress testing are introduced. This includes the concept of stress testing and a brief historical outline. The ethical discussion shows that several moral principles are relevant for guiding the conduct of stress testing and for regulating between good and bad behaviour. Most notably, the discussion demonstrates that bank regulation and ethics are no substitutes but rather complements that reinforce each other. In this regard, the chapter also contributes to the contemporary debate about rule-based versus principle-based regulation.
Gauer, K. (2021). Ethical Issues in Financial Stress Testing. In: Minhat, M., Dzolkarnaini, N. (eds) Ethical Discourse in Finance. Palgrave Studies in Impact Finance. Palgrave Macmillan, Cham. https://doi.org/10.1007/978-3-030-81596-7_11
The Journal of Alternative Investments, 2019
In Beyond Bitcoin: A Statistical Comparison of Leading Cryptocurrencies and Fiat Currencies and T... more In Beyond Bitcoin: A Statistical Comparison of Leading Cryptocurrencies and Fiat Currencies and Their Impact on Portfolio Diversification from the Summer 2019 issue of The Journal of Alternative Investments, authors Stefan Ehlers and Kolja Gauer (both at Volkswagen AG) provide a first-of-its-kind analysis of whether traditional currencies (also known as fiat currencies) and cryptocurrencies act similarly or differently with respect to their fluctuations in value and total return. The authors also explore whether mixing cryptocurrencies and fiat currencies in an investment portfolio can help diversify it and reduce the portfolio’s variance.
The authors find no correlation between the fluctuations in value and total return of cryptocurrencies and fiat currencies, so combining them in a mixed portfolio improves diversification. Also, only Bitcoin and XRP play an important role in reducing the variance of a pure cryptocurrency portfolio, while just a few cryptocurrencies and fiat currencies significantly reduce the variance of mixed portfolios. So, those who want to invest in cryptocurrencies and avoid major swings in value and returns should consider including a few specific currencies in their portfolio and should combine cryptocurrencies with fiat currencies in a mixed portfolio.
Ehlers, S., & Gauer, K. (2019). Practical Applications of Beyond Bitcoin: A Statistical Comparison of Leading Cryptocurrencies and Fiat Currencies and Their Impact on Portfolio Diversification. The Journal of Alternative Investments, 22(Supplement), 1-5. https://doi.org/10.3905/jai.22.s1.008
The Journal of Alternative Investments, 2019
In Beyond Bitcoin: A Statistical Comparison of Leading Cryptocurrencies and Fiat Currencies and T... more In Beyond Bitcoin: A Statistical Comparison of Leading Cryptocurrencies and Fiat Currencies and Their Impact on Portfolio Diversification from the Summer 2019 issue of The Journal of Alternative Investments, authors Stefan Ehlers and Kolja Gauer (both at Volkswagen AG) provide a first-of-its-kind analysis of whether traditional currencies (also known as fiat currencies) and cryptocurrencies act similarly or differently with respect to their fluctuations in value and total return. The authors also explore whether mixing cryptocurrencies and fiat currencies in an investment portfolio can help diversify it and reduce the portfolio’s variance.
The authors find no correlation between the fluctuations in value and total return of cryptocurrencies and fiat currencies, so combining them in a mixed portfolio improves diversification. Also, only Bitcoin and XRP play an important role in reducing the variance of a pure cryptocurrency portfolio, while just a few cryptocurrencies and fiat currencies significantly reduce the variance of mixed portfolios. So, those who want to invest in cryptocurrencies and avoid major swings in value and returns should consider including a few specific currencies in their portfolio and should combine cryptocurrencies with fiat currencies in a mixed portfolio.
Ehlers, S., & Gauer, K. (2019). Practical Applications of Beyond Bitcoin: A Statistical Comparison of Leading Cryptocurrencies and Fiat Currencies and Their Impact on Portfolio Diversification. The Journal of Alternative Investments, 22(Supplement), 1-5. https://doi.org/10.3905/jai.22.s1.008
The Journal of Alternative Investments, 2019
Cryptocurrencies have developed very dynamically although their future role is yet unclear. In an... more Cryptocurrencies have developed very dynamically although their future role is yet unclear. In any event, they are too big to ignore. The purpose of this article is to contribute to the understanding of cryptocurrencies in an individual and in a portfolio context. The study is based on daily closing prices of leading cryptocurrencies (Bitcoin, Ethereum, Ripple, Litecoin, and Dash) and fiat currencies (EUR, GBP, CHF, CAD, and JPY), all measured against USD. The analysis is threefold: First, the authors analyze basic statistical properties, such as correlation and autocorrelation of returns. Second, they perform a Kolmogorov–Smirnov test (KS test) and a variance ratio test (VRT) with heteroscedasticity adjustment. Third, they solve more than 4,800 optimization problems to analyze the impact of individual crypto- and fiat currencies on portfolio diversification. Among other findings, the authors find that Bitcoin, Ethereum, Dash, CAD, JPY, and EUR contribute most to reduce the variance of a mixed portfolio. In a portfolio consisting of cryptocurrencies only, Bitcoin and Ripple have the largest diversification effect. The findings provide insights for investors who focus on minimum variance portfolios or, more generally, for investors who seek to reduce return volatility exposure, as well as for monetary authorities, cryptocurrency issuers, and providers of market infrastructure.
Ehlers, S., & Gauer, K. (2019). Beyond Bitcoin: A Statistical Comparison of Leading Cryptocurrencies and Fiat Currencies and Their Impact on Portfolio Diversification. The Journal of Alternative Investments, 22(1), 114-125. http://dx.doi.org/10.3905/jai.2019.1.072
The Journal of Alternative Investments, 2019
Cryptocurrencies have developed very dynamically although their future role is yet unclear. In an... more Cryptocurrencies have developed very dynamically although their future role is yet unclear. In any event, they are too big to ignore. The purpose of this article is to contribute to the understanding of cryptocurrencies in an individual and in a portfolio context. The study is based on daily closing prices of leading cryptocurrencies (Bitcoin, Ethereum, Ripple, Litecoin, and Dash) and fiat currencies (EUR, GBP, CHF, CAD, and JPY), all measured against USD. The analysis is threefold: First, the authors analyze basic statistical properties, such as correlation and autocorrelation of returns. Second, they perform a Kolmogorov–Smirnov test (KS test) and a variance ratio test (VRT) with heteroscedasticity adjustment. Third, they solve more than 4,800 optimization problems to analyze the impact of individual crypto- and fiat currencies on portfolio diversification. Among other findings, the authors find that Bitcoin, Ethereum, Dash, CAD, JPY, and EUR contribute most to reduce the variance of a mixed portfolio. In a portfolio consisting of cryptocurrencies only, Bitcoin and Ripple have the largest diversification effect. The findings provide insights for investors who focus on minimum variance portfolios or, more generally, for investors who seek to reduce return volatility exposure, as well as for monetary authorities, cryptocurrency issuers, and providers of market infrastructure.
Ehlers, S., & Gauer, K. (2019). Beyond Bitcoin: A Statistical Comparison of Leading Cryptocurrencies and Fiat Currencies and Their Impact on Portfolio Diversification. The Journal of Alternative Investments, 22(1), 114-125. http://dx.doi.org/10.3905/jai.2019.1.072
The Journal of Alternative Investments, 2019
Cryptocurrencies have developed very dynamically although their future role is yet unclear. In an... more Cryptocurrencies have developed very dynamically although their future role is yet unclear. In any event, they are too big to ignore. The purpose of this article is to contribute to the understanding of cryptocurrencies in an individual and in a portfolio context. The study is based on daily closing prices of leading cryptocurrencies (Bitcoin, Ethereum, Ripple, Litecoin, and Dash) and fiat currencies (EUR, GBP, CHF, CAD, and JPY), all measured against USD. The analysis is threefold: First, the authors analyze basic statistical properties, such as correlation and autocorrelation of returns. Second, they perform a Kolmogorov–Smirnov test (KS test) and a variance ratio test (VRT) with heteroscedasticity adjustment. Third, they solve more than 4,800 optimization problems to analyze the impact of individual crypto- and fiat currencies on portfolio diversification. Among other findings, the authors find that Bitcoin, Ethereum, Dash, CAD, JPY, and EUR contribute most to reduce the variance of a mixed portfolio. In a portfolio consisting of cryptocurrencies only, Bitcoin and Ripple have the largest diversification effect. The findings provide insights for investors who focus on minimum variance portfolios or, more generally, for investors who seek to reduce return volatility exposure, as well as for monetary authorities, cryptocurrency issuers, and providers of market infrastructure.
Ehlers, S., & Gauer, K. (2019). Beyond Bitcoin: A Statistical Comparison of Leading Cryptocurrencies and Fiat Currencies and Their Impact on Portfolio Diversification. The Journal of Alternative Investments, 22(1), 114-125. http://dx.doi.org/10.3905/jai.2019.1.072
The Journal of Alternative Investments, 2019
Cryptocurrencies have developed very dynamically although their future role is yet unclear. In an... more Cryptocurrencies have developed very dynamically although their future role is yet unclear. In any event, they are too big to ignore. The purpose of this article is to contribute to the understanding of cryptocurrencies in an individual and in a portfolio context. The study is based on daily closing prices of leading cryptocurrencies (Bitcoin, Ethereum, Ripple, Litecoin, and Dash) and fiat currencies (EUR, GBP, CHF, CAD, and JPY), all measured against USD. The analysis is threefold: First, the authors analyze basic statistical properties, such as correlation and autocorrelation of returns. Second, they perform a Kolmogorov–Smirnov test (KS test) and a variance ratio test (VRT) with heteroscedasticity adjustment. Third, they solve more than 4,800 optimization problems to analyze the impact of individual crypto- and fiat currencies on portfolio diversification. Among other findings, the authors find that Bitcoin, Ethereum, Dash, CAD, JPY, and EUR contribute most to reduce the variance of a mixed portfolio. In a portfolio consisting of cryptocurrencies only, Bitcoin and Ripple have the largest diversification effect. The findings provide insights for investors who focus on minimum variance portfolios or, more generally, for investors who seek to reduce return volatility exposure, as well as for monetary authorities, cryptocurrency issuers, and providers of market infrastructure.
Ehlers, S., & Gauer, K. (2019). Beyond Bitcoin: A Statistical Comparison of Leading Cryptocurrencies and Fiat Currencies and Their Impact on Portfolio Diversification. The Journal of Alternative Investments, 22(1), 114-125. http://dx.doi.org/10.3905/jai.2019.1.072
The Journal of Alternative Investments, 2019
Cryptocurrencies have developed very dynamically although their future role is yet unclear. In an... more Cryptocurrencies have developed very dynamically although their future role is yet unclear. In any event, they are too big to ignore. The purpose of this article is to contribute to the understanding of cryptocurrencies in an individual and in a portfolio context. The study is based on daily closing prices of leading cryptocurrencies (Bitcoin, Ethereum, Ripple, Litecoin, and Dash) and fiat currencies (EUR, GBP, CHF, CAD, and JPY), all measured against USD. The analysis is threefold: First, the authors analyze basic statistical properties, such as correlation and autocorrelation of returns. Second, they perform a Kolmogorov–Smirnov test (KS test) and a variance ratio test (VRT) with heteroscedasticity adjustment. Third, they solve more than 4,800 optimization problems to analyze the impact of individual crypto- and fiat currencies on portfolio diversification. Among other findings, the authors find that Bitcoin, Ethereum, Dash, CAD, JPY, and EUR contribute most to reduce the variance of a mixed portfolio. In a portfolio consisting of cryptocurrencies only, Bitcoin and Ripple have the largest diversification effect. The findings provide insights for investors who focus on minimum variance portfolios or, more generally, for investors who seek to reduce return volatility exposure, as well as for monetary authorities, cryptocurrency issuers, and providers of market infrastructure.
Ehlers, S., & Gauer, K. (2019). Beyond Bitcoin: A Statistical Comparison of Leading Cryptocurrencies and Fiat Currencies and Their Impact on Portfolio Diversification. The Journal of Alternative Investments, 22(1), 114-125. http://dx.doi.org/10.3905/jai.2019.1.072
Book Reviews by Kolja Gauer
SSRN, 2025
Today, organizations face a range of known and unknown risk factors that threaten their operation... more Today, organizations face a range of known and unknown risk factors that threaten their operations, including industrial accidents, natural disasters, and cyberattacks. In this ambiguous and complex environment, business continuity management (BCM) offers an approach to prepare for diverse risks and uncertainties. This article reviews the second edition of the book Business Continuity Management: A Crisis Management Approach by Dominic Elliott, Ethné Swartz, and Brahim Herbane. The core of the book is a four-stage process for initiating, planning, implementing, and operationally managing BCM. The book achieves its goal of repositioning BCM from a reactive, technical discipline to a proactive, strategic process that is embedded in organizational culture. However, the book occasionally lacks transferable and actionable details, particularly for small and medium-sized enterprises and non-Western contexts. Nevertheless, the book is a valuable resource for scholars and practitioners alike, and is also suitable for classroom use. I recommend the book to anyone who wants to deepen their understanding of BCM as a strategic approach to risk and crisis prevention.
Gauer, Kolja, Business Continuity Management: A Crisis Management Approach (February 19, 2025). Available at SSRN: https://ssrn.com/abstract=
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Papers by Kolja Gauer
Gauer, Kolja, Exploring the Dynamic Relationship Between Operational Efficiency and Profitability Of Global Systemically Important Banks. Available at SSRN: https://ssrn.com/abstract=4603688 or http://dx.doi.org/10.2139/ssrn.4603688
Gauer, K. (2021). Ethical Issues in Financial Stress Testing. In: Minhat, M., Dzolkarnaini, N. (eds) Ethical Discourse in Finance. Palgrave Studies in Impact Finance. Palgrave Macmillan, Cham. https://doi.org/10.1007/978-3-030-81596-7_11
The authors find no correlation between the fluctuations in value and total return of cryptocurrencies and fiat currencies, so combining them in a mixed portfolio improves diversification. Also, only Bitcoin and XRP play an important role in reducing the variance of a pure cryptocurrency portfolio, while just a few cryptocurrencies and fiat currencies significantly reduce the variance of mixed portfolios. So, those who want to invest in cryptocurrencies and avoid major swings in value and returns should consider including a few specific currencies in their portfolio and should combine cryptocurrencies with fiat currencies in a mixed portfolio.
Ehlers, S., & Gauer, K. (2019). Practical Applications of Beyond Bitcoin: A Statistical Comparison of Leading Cryptocurrencies and Fiat Currencies and Their Impact on Portfolio Diversification. The Journal of Alternative Investments, 22(Supplement), 1-5. https://doi.org/10.3905/jai.22.s1.008
The authors find no correlation between the fluctuations in value and total return of cryptocurrencies and fiat currencies, so combining them in a mixed portfolio improves diversification. Also, only Bitcoin and XRP play an important role in reducing the variance of a pure cryptocurrency portfolio, while just a few cryptocurrencies and fiat currencies significantly reduce the variance of mixed portfolios. So, those who want to invest in cryptocurrencies and avoid major swings in value and returns should consider including a few specific currencies in their portfolio and should combine cryptocurrencies with fiat currencies in a mixed portfolio.
Ehlers, S., & Gauer, K. (2019). Practical Applications of Beyond Bitcoin: A Statistical Comparison of Leading Cryptocurrencies and Fiat Currencies and Their Impact on Portfolio Diversification. The Journal of Alternative Investments, 22(Supplement), 1-5. https://doi.org/10.3905/jai.22.s1.008
Ehlers, S., & Gauer, K. (2019). Beyond Bitcoin: A Statistical Comparison of Leading Cryptocurrencies and Fiat Currencies and Their Impact on Portfolio Diversification. The Journal of Alternative Investments, 22(1), 114-125. http://dx.doi.org/10.3905/jai.2019.1.072
Ehlers, S., & Gauer, K. (2019). Beyond Bitcoin: A Statistical Comparison of Leading Cryptocurrencies and Fiat Currencies and Their Impact on Portfolio Diversification. The Journal of Alternative Investments, 22(1), 114-125. http://dx.doi.org/10.3905/jai.2019.1.072
Ehlers, S., & Gauer, K. (2019). Beyond Bitcoin: A Statistical Comparison of Leading Cryptocurrencies and Fiat Currencies and Their Impact on Portfolio Diversification. The Journal of Alternative Investments, 22(1), 114-125. http://dx.doi.org/10.3905/jai.2019.1.072
Ehlers, S., & Gauer, K. (2019). Beyond Bitcoin: A Statistical Comparison of Leading Cryptocurrencies and Fiat Currencies and Their Impact on Portfolio Diversification. The Journal of Alternative Investments, 22(1), 114-125. http://dx.doi.org/10.3905/jai.2019.1.072
Ehlers, S., & Gauer, K. (2019). Beyond Bitcoin: A Statistical Comparison of Leading Cryptocurrencies and Fiat Currencies and Their Impact on Portfolio Diversification. The Journal of Alternative Investments, 22(1), 114-125. http://dx.doi.org/10.3905/jai.2019.1.072
Book Reviews by Kolja Gauer
Gauer, Kolja, Business Continuity Management: A Crisis Management Approach (February 19, 2025). Available at SSRN: https://ssrn.com/abstract=