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THE E-FINANCE LAB IS AN INDUSTRY-ACADEMIC RESEARCH PARTNERSHIP BETWEEN FRANKFURT AND
DARMSTADT UNIVERSITIES AND PARTNERS ACCENTURE, BEARINGPOINT, DEUTSCHE BANK, DEUTSCHE BOERSE
GROUP, DEUTSCHE POSTBANK, FINANZ_IT, IBM, MICROSOFT, SIEMENS, T-SYSTEMS, DAB BANK, AND INTERACTIVE
DATA, LOCATED AT J. W. GOETHE UNIVERSITY, FRANKFURT AM MAIN.
EFL
quarterly
AN E-FINANCE LAB
01|2007
P U B L I C AT I O N
> Altersvorsorge – Chance für Finanzdienstleister
> IT Business Alignment and Credit Process Performance:
Empirical Results and Practical Implications
> Order Channel Management
> Deutschland im Wettbewerb der
Finanzplätze
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Impressum
Redaktion
Prof. Dr. Wolfgang König
Dipl.-Wirtsch.-Inform. Rainer Berbner
Dipl.-Wirtsch.-Ing. Julian Eckert
Herausgeber
Prof. Dr. Wolfgang König
Vorstandsvorsitzender des E-Finance Lab
Frankfurt am Main e. V.
Kontakt
[email protected]
www.efinancelab.com
Gestaltung
Novensis Communication GmbH
Bad Homburg
1. Ausgabe, 2007
Auflage 1.300 Stück
Copyright © by E-Finance Lab Frankfurt am Main e. V.
Printed in Germany
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editorial
Altersvorsorge – Chance für Finanzdienstleister
Angesichts der bevorstehenden demographi-
um rund 15 Prozent niedriger sein als heute;
Der Vorsorgemarkt ist in Bewegung geraten.
schen Verschiebungen in Deutschland werden
hinzu kommt, dass Renten dann deutlich stär-
Doch dies ist erst der Anfang. In den kom-
die öffentlichen Sozialsysteme ihr gegenwär-
ker besteuert werden als heute. Mit einer
menden Jahren werden Kapitalanlagen in die
tiges Leistungsniveau nicht halten können.
Sparquote von knapp 11 Prozent liegen die
betriebliche Altersvorsorge, in Lebensver-
Immer mehr ältere Leistungsempfänger bei
Deutschen international gut im Mittelfeld.
sicherungen und andere Vorsorgeprodukte
immer weniger nachrückenden Beitragszah-
Wichtig ist aber nicht nur, dass man spart,
deutlich stärker wachsen als das übrige Geld-
lern zeigen die Grenzen der umlagefinanzier-
sondern auch, wie man spart.
vermögen. Der demographische Wandel wird
den Finanzmärkten seinen eigenen Stempel
ten Sozialsysteme auf. Am deutlichsten wird
Ein Blick auf das Geldvermögen der Deutschen
Prof. Dr. Michael Heise
aufdrücken und neue spezifische Anforde-
reits, der Not gehorchend, drastische Ein-
zeigt über Jahre einen Trend weg von Bank-
Allianz Dresdner Economic Research
rungen an die Produktentwicklung und die
schnitte vorgenommen. Bei der Kranken-
einlagen hin zu renditestärkeren Anlage-
versicherung und der Pflegeversicherung sind
formen. Dennoch ist der Anteil kürzerfristiger
menden Privatisierung der Altersvorsorge
rungen und anderen Finanzdienstleistungs-
vergleichbare Einschnitte nur noch eine Frage
Anlagen mit niedrigeren Renditen nach wie
und anderer Vorsorgebereiche neue Aufgaben
unternehmen stellen. Dies ist eine große
des Wann und des Wie. Zwar wird der Sozial-
vor relativ hoch, und in 2006 haben die Geld-
auf die Bürger und damit auch auf ihre
Chance für Wachstum.
staat auch weiterhin Lebensrisiken absichern
marktanlagen in Relation zu Aktien wieder an
Finanzberater zukommen.
helfen, doch in niedrigerem Umfang als heute.
Bedeutung gewonnen. Die Gesamtrendite der
Umfragen zu den erwarteten zukünftigen Lei-
Geldvermögen in Deutschland ist geringer als
in Tsd.
stungen der gesetzlichen Rentenversicherung,
in vielen anderen Industrieländern. Wenn sich
7.000
aber auch das konkrete Abschlussverhalten
das Vermögen weniger verzinst, ist entspre-
bei Vorsorgeprodukten wie zum Beispiel der
chend mehr Ersparnis – Konsumverzicht – not-
Riester-Rente (siehe Grafik 1) zeigen, dass
wendig, um die Altersvorsorge zu sichern.
dies bislang bei der Rente; hier hat man be-
viele Bürger die Zeichen der Zeit sehr wohl
6.000
5.000
4.000
In diesem Umfeld sind die Kreditinstitute und
erkannt haben.
Beratungskompetenz von Banken, Versiche-
Versicherungen gefordert. Es geht um eine
3.000
In dem Maße, wie die Bedeutung der staatli-
ausgewogene Balance von Ertrag und Risiko,
2.000
chen Sozialsysteme für die Sicherung des
dabei sind die Konsequenzen der längeren
1.000
Lebensstandards zurückgeht, nimmt der Stel-
Lebenserwartung zu berücksichtigen sowie
lenwert der privaten Vorsorge zu. Wer in
Lebensrisiken wie Arbeitsunfähigkeit und
0
zwanzig oder dreißig Jahren nach dem Aus-
Hinterbliebenenversorgung abzudecken. Hin-
scheiden aus dem Erwerbsleben ähnlich gut
zu kommt die unterschiedliche steuerliche
leben möchte wie heutige Rentner, muss in
Behandlung einzelner Produkte, die maß-
erheblichem Umfang privat vorsorgen. Dann
geschneiderte Lösungen erforderlich macht.
nämlich wird die Kaufkraft der Bruttorenten
Mit anderen Worten werden mit der zuneh-
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2001
Versicherungen
2002
Fonds
2003
2004
Banken
* 3. Quartal 2006
Quelle: Bundesministerium für Arbeit und Soziales, eigene Berechnungen
Grafik 1: Entwicklung der abgeschlossenen Riester-Verträge
2005
2006*2017
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researchreport
IT Business Alignment and Credit
Process Performance: Empirical
Results and Practical Implications
OPERATIONAL IT BUSINESS ALIGNMENT AS A PREREQUISITE FOR BUSINESS
based View of the firm (RBV) (e. g. Barney 1991)
depicts whether the IT unit is seen as an equal
and alignment literature (e. g. Henderson and
partner to the business unit. This corresponds
Venkatraman 1993) to understand both the
to one dimension of operational IT business
linkage between the business domain and the
alignment. The right figure shows the assess-
IT domain through a process of alignment as
ment of the business unit regarding the timely
well as the sustainability of this process under
reaction to business requirements by the IT
environmental changes. The alignment model
unit which in turn affects process performance.
is depicted in Figure 1.
Summarized, the results of the study indicate
PROCESS PERFORMANCE
that there is a substantial lack in the opera-
HEINZ-THEO WAGNER
Study Composition
tional IT business alignment and that it has a
Our theoretical considerations were validated
major impact on business process performance.
using five qualitative studies and one quantiIntroduction
basic premise of this paper is that IT only creates
tative survey. The qualitative studies are case
But how can IT business alignment be achie-
For decades, IS research has tried to contribute
value through business activities whereas busi-
studies in banks designed to get a deep under-
ved in practice?
to our understanding of how IT is linked to orga-
ness resources are able to directly contribute to
standing of the interplay between IT and
First of all providing a reliable basic IT service
nizational performance. In this contribution
value. Thus, we take a business-centric view to
business resources in the context of business
to bank’s business units is important for get-
conforming to recent Information Systems rese-
understand IT resources in relation to and from
process. The quantitative field survey was
ting a good reputation which is the basis of
arch literature and based on existing literature
the viewpoint of the business domain and not
carried out on the top 1,000 German banks
increased interaction between business units
on the Resource-based View and IT business
as IT resources per se, thereby identifying a
and focuses on the credit process for small and
and IT unit. The basic IT service has to be invi-
alignment we propose that the interplay bet-
firm’s organizational IT capital as the relations-
mid-size enterprises (SME), emphasizing the
sible to the users. Typical services of this kind
ween the IT and the business domain is an
hip between the IT and the business domain.
operational interaction. Addressees of both the
are network services, data center operations,
qualitative studies and the quantitative survey
and desktop services. Whether the basic IT
important argument in explaining the value
contribution of IT. We employ a process-level
Theoretical Grounding
were the chief credit officers of each bank.
services are provided by the firm’s own IT per-
perspective to avoid aggregation problems. The
We integrate key findings from the Resource-
Overall, 136 analyzable questionnaires were
sonnel or whether these are outsourced is not
returned (response ratio of 13.6%) covering
important for the users as long as the service
about 21% of the total assets of these banks.
is reliable and has sufficient quality.
Business Strategy
Strategic Integration
IT Strategy
(Strategic Alignment)
Strategic Fit
(Alignment
Within the
Business
„silo“)
(Cross-dimensional
Alignment I)
Business Structure
(Cross-dimensional
Alignment II)
Operational Integration
(Structural Alignment)
Figure 1: Alignment Model
Strategic Fit
(Alignment
within the
IT „silo“)
IT Structure
Moreover, fostering IT business alignment
Results
mostly affects the IT personnel at the business
The results (see: Wagner and Weitzel 2006)
interface. In particular, for this group of IT per-
show that operational IT business alignment
sonnel management should consider the fol-
is a key prerequisite of both IS usage and IT
lowing issues to increase the IT business
flexibility that are key mediating variables in
alignment:
the relationship between operational IT busi-
• First, the business should have the primacy
ness alignment and business process perfor-
where IT is concerned. Our study suggests
mance.
that IT can only be of value through busi-
Exemplarily, Figure 2 represents descriptive
ness activities and revealed IT business
statistics for two indicators. The left figure
alignment to be an important concept,
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including, for example, shared domain
plaining how these plans support the
important for alignment. In addition to
Conclusion
knowledge regarding the business as a
topics, deducing an IT portfolio from the
providing the foundation for quality mea-
The importance of the operational IT business
strong component. Therefore, it is preferable
topics; assigning projects to the portfolio,
sures of IT services, the process of SLA
alignment is well supported by the data that
that IT is managed by a business mana-
implementing the projects. Each step re-
development itself can be a substantial
we gathered from banks – and it proved very
ger, at least a business-literate manager,
quires a process of alignment with the
step towards understanding business
influential to the business process performance.
instead of a solely technologically literate
business to ensure the correct deduction
necessities and the role of IT and thereby
Results of this study show that it is important
one. Similarly, in a study by Gordon and
and the detection of changes in business
reducing complexity and mitigating risks.
to integrate knowledge across the business
Gordon (2000) it was shown that IT could
priorities.
• Fifth, the relationship with the business
domain and the IT domain to gain a performan-
not succeed unless the IT processes were
• Third, IT business alignment arises not only
should be fostered by an increase of shared
ce impact. IT business alignment focuses on
out of formal mechanisms but predomi-
domain knowledge. This item has several
the ability to extract knowledge from the IT
• Second, a strategy implementation process
nantly out of informal ones. Formal mecha-
aspects.
domain and apply it within the business
should be employed to ensure the clear
nisms influence the development of infor-
a) CIO-level: Business executives should ask
domain to fully exploit IT and to take advan-
deduction of plans and procedures from
mal mechanisms unless there are organi-
how IT could support them and IT should
the strategy. A strategy implementation
zational inhibitors.These impediments such
be involved in business planning.
process requires for example, the follo-
as insufficient management support must
b) Mixed work bios: Another way to promote
References
wing steps plus corresponding feedback
be remedied to foster the development of
business knowledge in IT is to increase the
Barney, J.B.:
informal mechanisms.
owned by the business units.
tage from IT opportunities – and vice versa.
proportion of IT personnel who have pre-
Firm Resources and Sustained Competitive
articulating what the major issues are
• Fourth, at the service delivery side of IT,
viously worked in business units. Addi-
Advantage. In: Journal of Management
(e.g. growth by mergers); deducing strate-
another managerial recommendation is to
tionally, these employees might have a
17(1991)1, pp. 99-120.
gic IT topics and explaining how these
create internal service level agreements
business education background.
topics support the business strategy; de-
(SLA). The reason is to foster communica-
c) Organizational function: It might be
ducing IT plans from these topics and ex-
tion and the flow of knowledge that is
necessary to create special organizatio-
Structuring the Interaction between IT and
nal units (e.g. liaison role) to foster infor-
Business Units: Prototypes for Service Deliv-
mation flow.
ery. In: Information Systems Management
loops: Creating a business strategy and
IT and business are equal partners
3.0%
19.4%
34.3%
Reagibility of IT unit
4.5%
22.4%
16.4%
0.7%
completely
agree
agree
indifferent
disagree
completely
disagree
do not know
d) Organizational design: In particular the
3.7%
30.6%
11.2%
completely
agree
agree
indifferent
disagree
completely
disagree
do not know
µ=3.78
n=134
µ=3.43
n=134
Figure 2: IT unit as an equal partner to the business unit – assessment of the business unit regarding the timely
reaction to business requirements by the IT unit
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17(2000)1, pp. 7-16.
creation of communities of practice is also
14.9%
38.8%
Gordon, J.R.; Gordon, S.R.:
considered an important catalyst for know-
Henderson, J.C.; Venkatraman, N.:
ledge creation and knowledge sharing.
Strategic alignment: Leveraging information
e) Formal contacts: One step to improve
technology for transforming organizations. In
knowledge flows could be regular mee-
IBM Systems Journal 32(1993)1, pp. 3-16.
tings as a platform for communication
about business and IT items; not only at
Wagner, H.-T.; Weitzel, T.:
top level.
Operational IT Business Alignment as the
• Sixth, despite all alignment efforts a suffi-
Missing Link from IT Strategy to Firm Success.
cient budget for IT is also necessary, because
In: 12th Americas Conference on Information
it signals the commitment of the business
Systems (AMCIS 2006). Acapulco, Mexico.
to IT and enables innovations.
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are said to be the biggest obstacles to achieve
First, on a strategic level, the interaction with
greater benefits from electronic execution.
the investment strategy of the portfolio
The balancing of these new technology-ena-
management, the selection of execution ve-
INSTITUTIONAL INVESTORS, I.E. HEDGE FUNDS OR TRADITIONAL FUNDS, FACE ON
bled but resource-intensive opportunities on
nues, their connectivity, infrastructure in terms
THE ONE HAND NEW TECHNOLOGY-ENABLED TRADING CHOICES AND ON THE
the one hand and their cost saving potential
of people and technology, and the necessary
OTHER HAND INCREASED PERFORMANCE PRESSURE FROM THEIR CUSTOMERS. TO
on the other hand requires a structured
policies have to be established. Second, on an
BALANCE THESE OPPORTUNITIES AND CHALLENGES, NEW APPROACHES TO
approach to manage the trading decisions of
operational level, the processes have to be
MANAGE THEIR TRADING DESKS AND ORDER DECISIONS ARE REQUIRED.
buy-side firms.
implemented in order to route orders to avai-
BARTHOLOMÄUS ENDE
ADRIAN WRANIK
Order Channel Management
racteristics.
By identifying and analyzing the key consid-
An overview of the (OCM) Framework is de-
erations and decision parameters of buy-side
picted in Figure 1. Institutional Investors can
Order Channel Management
lable venues according to specific order cha-
PETER GOMBER
New business dynamics
(implicit costs). As various empirical studies
trading desks and based on a literature review
utilize the presented structural approach for
With the evolution of new execution oppor-
show, these costs reduce returns by up to two
as well as interviews with industry represen-
implementing an individual OCM strategy.
tunities, the securities trading industry has
fifth if one compares the performance of real
tatives, we developed Order Channel Mana-
undergone massive changes in recent years.
portfolios to the returns of “paper portfolios”,
gement (OCM) as a new concept to deal with
Strategic Order Channel Management
This especially holds for trading processes of
i.e. the gross returns without trading costs.
these requirements.
The overall investment strategy and the
traditional fund management companies
The reduction of explicit costs can be achieved
In this environment, the setup and operations
ment is a key factor influencing the handling
(the “buy-side”), where electronic order exe-
by managing order execution at the buy-side
of the trading-desk are addressed on two levels:
of trades and the execution costs and thus
cution has transformed trading desks. Order
desks instead of outsourcing the full order
Management Systems not only support inter-
execution responsibility to sell-side interme-
nal STP by automating the order processing
diaries, i.e. to brokers. For the reduction of
from portfolio management to execution and
implicit costs, new trading channels like
settlement. Moreover, they enable to connect
Algorithmic Trading enable for a cautious
buy-side trading desks via electronic means
execution by order splitting and order timing.
(e.g. the FIX protocol) to external brokers and
Already 30% of the overall Xetra trading
execution venues substituting the traditional
volume is executed by Algorithmic Trading
order routing via telephone, email or fax.
(Deutsche Börse data), a channel that is suc-
investment universe of the portfolio manage-
Institutional Investors, be it hedge funds or
cessively also offered by brokers to their buyOn the other hand, buy-side firms are under
side customers.
pressure by their customers to realize returns
that are outperforming or at least matching
According to the 2005 FIX Protocol Ltd. survey
the communicated benchmarks. Therefore,
among its members, institutions believe that
they have to minimize their trading fees
electronic trading will change the process of
(explicit costs) and the costs that result
trading securities. However, changing stan-
from the price impact of their own trading
dard operating procedures causes costs that
OCM
Feedback
Strategic OCM
Venue Selection
• Information
leakage risk
• Transaction
costs
• Fill rate
• Execution
likelihood
• Immediacy
Investment
Strategy
Trading Software
Traders
Order
Characteristics
• Order size
• Execution
urgency
• Information
leakage risk
Operational OCM
Venue
Characteristics
• Liquidity
• Transaction
costs
Implementation
Order
classification
Order
channeling
Reaction to
order channeling
outcomes
Technical
Infrastructure
Figure 1: Key Topics in Strategic and Operational Order Channel Management (OCM)
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has to be reflected in strategic OCM decisions.
Broker Desk
The main task of a buy-side trading desk
Traditionally, the infrastructure setup of Insti-
is the prevention of loosing excess returns
tutional Investors for the implementation of
(alpha) that were generated in portfolio
their investment decisions referred primarily to
management during the strategy implemen-
their business relationships to brokers. The
tation and actual order execution.
buy-side traders were responsible for order
specifications and order releases to brokers,
A tight coordination between fund portfolio
while brokers executed these orders at exchan-
management and the trading desk enables
ges or over the counter (OTC).
an integrated optimization and thus helps to
Broker service portfolios have undergone signi-
achieve higher trading success. This increases
ficant changes and nowadays offer various ser-
the traders’ insight into the motivation of
vices beside agency execution (i.e. counterpar-
investment decisions.
ty search or execution on the market) or principal bids (in a principal bid, a broker takes the
Order Management System
Institutional
Desk
FIX
DMA
Swift
AT
Vendor Networks
SOR
Agency
Phone / Fax
Principal Bid
Broker Desk
FIX
Execution
Venues
Exchanges
Swift
Vendor Networks
Crossing Networks
Negotiation Systems
Bilateral Trading
Figure 2: Layers of the Order Channel Management Framework
The key layers of an Order Channeling
execution risk by offering a fixed price for an
Framework concerning the trading software
order). These new services include e.g. Direct
For the buy-side firms, these new execution
can be realized through proprietary connec-
of the institutional desk, the connectivity to
Market Access (DMA), Algorithmic Trading (AT)
services enable commission savings of up to 50%
tions or by standardized solutions like the
brokers and execution venues and the techni-
and Smart Order Routing (SOR). DMA means
for Algorithmic Trading and even up to two-
financial exchange protocol (FIX) using ven-
cal infrastructure are depicted in Figure 2 and
that the broker provides his membership at an
thirds when utilizing DMA instead of traditional
dor networks or via SWIFT.
are elaborated briefly in the following:
execution venue as a portal service and does
broker execution.
not touch the order of the buy-side customer
Operational Order Channel Management
Institutional Desk
for execution. Instead it is directly routed to the
Execution Venues
Based on the specified strategic setup, opera-
A key strategic issue concerning the setup
respective execution venue. This saves the
Beside exchanges, additional venues include
tional OCM (see Figure 1) uses order characte-
of the institutional trading desk is the choice
costs for proprietary connectivity and shields
crossing networks and block trading facilities –
ristics and the venue characteristics in order to
of a suitable Order Management System.
the buy-side firm from technological (new soft-
systems that match corresponding orders based
enable a three step implementation by order
Both sophisticated standard software suits
ware releases) or regulatory changes at execu-
on a price imported from a reference market. An
classification, order channeling and reaction
and internally developed solutions represent
tion venues.
extension of the crossing network approach is
to order channeling outcomes.
an investment with significant total costs of
Algorithmic Trading is a trading tool where
offered e.g. by Liquidnet following a Peer-to-
ownership, but support the trading process
software algorithms execute orders succes-
Peer (P2P) concept, where liquidity is searched
Key Order Characteristics
of securities, e.g. by the integration of analyti-
sively in one market in order to avoid market
within a network of buy-side Order Manage-
Order size, the level of execution urgency, and
cal tools, and enable for the reduction of
impact and thus implicit costs by slicing orders
ment Systems. Once the size on the opposite
information leakage risk are the relevant
inhouse costs through automatization and
into pieces and timing the releases of the par-
side has been found, both investors are infor-
order dimensions for operational OCM.
Straight Through Processing (STP). Addi-
tial orders to the venues. Smart Order Routing
med and can anonymously negotiate the
Order size: Transaction costs, defined as the
tionally, advanced software provides the pos-
slices an order based on price and volume
final execution volume and price.
explicit and implicit costs associated with the
sibility to aggregate and disaggregate orders
information from multiple markets and thus
internally and to electronically allocate exe-
aims at reduction of market impact when liqui-
Access to brokers and the execution venues (if
cision, play a crucial role in execution success.
cutions to the respective funds and accounts.
dity is fragmented over multiple venues.
applicable) from the buy-side trading desks
Hidden costs like market impact, timing cost,
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and opportunity cost make the lion’s share of
Orders with a low leakage risk belong to the
overall costs, especially when it comes to large
class of orders resulting from strategic tra-
orders or block trades.
ding like those for share buy-back programs.
Execution urgency: One common technique to
Orders with higher leakage risk constitute the
avoid market impact is to slice large orders
class of high touch orders because they requi-
and to trade more passively over multiple
re much attention during their implementa-
periods and venues. This slicing solution,
tion. Finally, large orders with a high level of
however, leads to other problems: The enlar-
execution urgency can be subdivided into two
ged trading period leads to timing risk as pri-
additional categories: While the parameter
ces can develop in an unfavorable direction.
setting of high urgency and low leakage risk
Therefore, execution urgency is a second key
is reasonably non-existent (not applicable),
order parameter.
orders with a high leakage risk together with
Information leakage risk: Especially in less
large size and high urgency constitute to the
liquid securities, there is a risk that other mar-
class of urgent high touch orders being the
leakage risk
low
high
passive low touch order
small
size
large
strategic trading
high touch order
low urgency
leakage risk
low
high
active low touch order
small
size
large
not applicable
urgent high touch order
high urgency
Figure 3: Different order classes
ket participants anticipate the order (based
toughest type. Here cautious interaction bet-
kers typically inform their clients while some
As future research topics, we will perform an
e.g. on ticker or order book information) and
ween the buy-side trading desk and multiple
automated solutions might fail to achieve
empirical validation of the framework. This
perform front-running that counteracts the
brokers is required to avoid the generation of
this and thus require manual tracking and
will be done by carrying out a survey among
strategy implementation of buy-side firms.
trading patterns that can be detected by
intervention capabilities. Beside strategy revi-
Institutional Investors in order to assess their
other traders.
sions, order channeling outcomes should be
actual implementation of OCM. Thereby, cau-
incorporated in a comprehensive Post-Trade
sal relationships between OCM input factors
Order classes
With the three classification parameters at
Illustration of actual order handling
Analysis that evaluates execution quality
and the value proposition of various trading-
hand, we group orders in a total of six classes
Based on these considerations, day-to-day
relative to the predefined price benchmarks
desk setup solutions will be investigated
(see Figure 3).
operational OCM is subdivided into three sub-
and adjusts the parameters for the actual
empirically.
In a first step small orders are separated into
sequent phases. First, orders have to be classi-
strategy selection. Simulations based on
two subcategories: Passive low touch orders
fied according to the three key order charac-
historical market data allow to evaluate alter-
References
with a low level of execution urgency that can
teristics. Second, the actual order channeling
native channels.
Ende, B.; Gomber, P.; Wranik, A.:
be implemented via liquidity providing means
decision has to take place. In the final step
like limit orders and active low touch orders
executions should be controlled enabling
Conclusions and Future Research
for Institutional Investors. Forthcoming in:
with a higher level of execution urgency imply-
reactions to the observed outcomes.
For Institutional Investors, new technology-
Proceedings of 8. Internationale Tagung Wirt-
ing active trading and therefore risking higher
Continuous tracking of orders up to their final
driven execution opportunities allow for self-
schaftsinformatik 2007. Karlsruhe, Germany.
prices. These orders enable for fully electronic
completion is required. For example, a re-
directed trading and a greater independence
execution via Direct Market Access, Algorithmic
adjustment of a patient execution strategy
from their brokers, their traditional channels
Kissell, R.; Glantz, M.:
Trading or Smart Order Routing.
becomes necessary when information disse-
for order execution. In this context, OCM as a
Optimal Trading Strategies: Quantitative
minates or the order cannot be filled. Further
structured two level approach was developed
Approaches for Managing Market Impact and
Among large orders with a low level of execu-
exceptional market changes also require stra-
to manage the associated new opportunities
Trading Risk. In: AMACOM 2003. New York, USA.
tion urgency two classes can be specified:
tegy reviews. Under such circumstances bro-
and challenges.
An Order Channel Management Framework
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insideview
Deutschland im Wettbewerb
der Finanzplätze
Vor diesem Hintergrund wurden seit Beginn
der 90er Jahre vier Finanzmarktförderungsgesetze erlassen. Mit dem Finanzmarktförderplan 2006 und dem 10-Punkte-
INTERVIEW MIT DR. THOMAS MIROW
Programm zur Stärkung der Unternehmens-
STAATSSEKRETÄR IM BUNDESMINISTERIUM DER FINANZEN
integrität und zur Verbesserung des Anlegerschutzes setzt die gegenwärtige Bundes-
Welchen Herausforderungen sieht sich der
Dennoch muss sich Deutschland in diesem
regierung diese erfolgreiche Politik mit eige-
Finanzplatz Deutschland durch den sich inten-
Wettbewerb der Finanzplätze nicht verste-
nen Akzenten fort. Dabei möchte ich drei
sivierenden weltweiten Wettbewerb der
cken. Wir verfügen mit dem Drei-Säulen-
Bereiche hervorheben:
Finanzplätze gegenüber?
Modell über ein zu unserer Volkswirtschaft
passendes, leistungsfähiges Bankensystem.
Dr. Thomas Mirow
Mit der vorgesehenen Schaffung deutscher
Kaum ein anderer Faktor weist eine so hohe
Viele Institute haben sich erfolgreich neu auf-
Staatssekretär im Bundesministerium der Finanzen
REITS wird das Spektrum indirekter Immobi-
internationale Mobilität auf wie das Kapital.
gestellt. Sie bieten innovative und weltweit
Auch ein etablierter und starker Finanzplatz
nachgefragte Produkte an. Im Finanzsektor
maschine“ als der Automobil- und Maschinen-
Damit wollen wir insbesondere zu einer
wie Deutschland steht daher in ständiger
gibt es ein großes Potential hoch qualifizier-
bau. Und der Finanzsektor hat in unserer
Professionalisierung der Immobilienwirt-
Konkurrenz zu seinen Mitbewerbern welt-
ter Arbeitskräfte, und, das ist nicht zu unter-
immer stärker wissensbasierten Gesellschaft
schaft in Deutschland beitragen und weitest
weit. Neben den traditionellen Finanzzentren
schätzen, Investoren genießen höchste
sicher noch erhebliches Wachstumspotenzial.
möglich Wettbewerbsgleichheit gegenüber
in Europa, den USA und Fernost haben sich
Rechtssicherheit für ihre Investments.
lienanlageprodukte in Deutschland ergänzt.
den anderen europäischen und internationaWelchen neuen Produktherausforderungen
len Finanz- und Immobilienstandorten errei-
Dubai, entwickelt. Nicht zuletzt die jüngste
Wie groß ist die gesamtwirtschaftliche
sieht sich der heimische Finanzsektor gegenü-
chen. Mit der Novelle des Investmentgesetzes
Börsenfusion in den USA und das Ausgreifen
Bedeutung des Finanzsektors in der Bundes-
ber und was kann die Bundesregierung auf
werden wir mit den Infrastrukturfonds eine
amerikanischer Börsen über den eigenen
republik Deutschland im Vergleich zur Wert-
diesem Feld tun?
neue Assetklasse einführen, die namentlich
nationalen Finanzplatz hinaus nach Asien
schöpfung in anderen Branchen?
dabei in letzter Zeit neue Zentren, etwa in
und Europa haben gezeigt, dass und wie sich
für Public-Private-Partnership-Projekte nutzDie Wettbewerbsfähigkeit des Finanzmarktes
bar gemacht werden kann. Und mit der
andere diesen Herausforderungen stellen. In
Die Bedeutung des Finanzsektors für unsere
hängt entscheidend von seiner Innovations-
Erweiterung des Unternehmensbeteiligungs-
Deutschland und – gerade in Finanzmarkt-
Volkswirtschaft wird oft unterschätzt. Dabei
fähigkeit ab, d. h. von der Fähigkeit, den sich
gesetzes zu einem Private-Equity-Gesetz wol-
fragen muss man über die eigenen Landes-
trägt er mit einer Bruttowertschöpfung von
ändernden Bedürfnissen möglichst zielgenau
len wir die Finanzierung junger und mittel-
grenzen hinaus denken – in Europa haben die
gut 100 Mrd. € (Stand August 2006) mit ca.
gerecht zu werden. Dies ist in erster Linie eine
ständischer Unternehmen verbessern, indem
Akteure diese Notwendigkeiten erkannt. Die
4,5 Prozent zum deutschen Bruttoinlandspro-
Aufgabe, der sich die Anbieter von Finanz-
wir die regulatorischen Rahmenbedingungen
Umsetzung dieser Erkenntnisse stößt zum
dukt bei. Allein im Kredit- und Versicherungs-
produkten zu stellen haben. Aufgabe des
für Wagniskapital attraktiver gestalten.
Teil allerdings noch auf Schwierigkeiten und
gewerbe arbeiten rund 1,25 Mio. hoch qualifi-
Staates ist es, hierfür die notwendigen
benötigt mitunter mehr Zeit, als wünschens-
zierte Beschäftigte. Damit sind Finanzdienst-
regulatorischen Rahmenbedingungen vor-
Sehr geehrter Herr Staatssekretär, wir danken
wert wäre.
leistungen hierzulande eine größere „Job-
zuhalten.
Ihnen für dieses interessante Gespräch.
ef l quarterly 01|07
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news
selected efinance lab publications
The E-Finance Lab Spring conference 2007 „Unternehmenswert durch IT – Finanz-
Behr, P.; Güttler, A.:
Gomber, P.; Gsell, M.; Reininger, C.:
dienstleister lernen von anderen Industrien und Benchmarks“ will be held at the Maritim
Does the Stock Market react to Unsolicited
MiFID-Readiness – Die Umsetzung der MiFID
Hotel in Darmstadt at January 23rd, 2007. For further information and registration see
Ratings? In: Proceedings of Southern Finance
'Markets in Financial Instruments Directive' in
www.efinancelab.de.
Association (2006). Destin, Florida, USA.
der deutschen Finanzindustrie. Forthcoming
in: Proceedings of the 8. Internationale
Awards
Berbner, R.; Spahn, M.; Repp, N.; Heckmann, O.;
Tagung Wirtschaftsinformatik (WI 2007).
Prof. Dr. Andreas Hackethal won the "2006 Best Teacher of the Year" – Award of the Institute
Steinmetz, R.:
Karlsruhe, Germany.
for Law and Finance (ILF) at Frankfurt University. Due to his outstanding performance in his
QoS-aware Replanning of Web Service Work-
lecture "Financial Institutions and Markets" he was selected among more than 50 lectures
flows. In: IEEE International Conference on
Güttler, A.:
who teach at the ILF.
Digital Ecosystems and Technologies (DEST
Conditional Rating Transitions: The Case of
Dr. Roman Beck and Andreas Möbs received the best paper award at the special Interest
2007). Cairns, Australia.
S&P and Moody's. In: Proceedings of Southern
Finance Association (2006). Destin, USA.
Group on IT Project Management, pre-ICIS Workshop, for their publication "The Public Hand
and IT Mega-Projects: Lessons from the German TollCollect Case".
Böhm, M.:
Bartholomäus Ende, Research Assistant at Cluster 5 of the E-Finance Lab, was awarded the
Customer channel migration. University of
Repp, N.; Berbner, R.; Heckmann, O.;
"Continental Auto-motivated Student Award" for being the top graduate in Computer
Frankfurt, Dissertation, 2006.
Steinmetz, R.:
A Cross-Layer Approach to Performance
Science in the academic year 2005/2006 at Johann Wolfgang Goethe-University, Frankfurt.
Bosch, O.; Steffen, S.:
Monitoring of Web Services. In: Workshop on
Dissertations
Informed Lending and the Structure of Loan
Emerging Web Services Technology (in con-
Martin Böhm and Thorsten Wiesel, former members of Cluster 3, defended their Ph.D. theses
Syndicates – Evidence from the European
junction with IEEE ECOWS 2006). Zurich,
“Customer Channel Migration” respective “Customer Metrics and Firm Value” successfully.
Syndicated Loan Market. Australasian Finance
Switzerland.
and Banking Conference 2006. Sydney,
Team members
Skiera, B.; Berger, S.:
Australia.
Dr.-Ing. Oliver Heckmann, a former member of Cluster 2, is now working at Google Labs as
Kundenwertorientierte Banksteuerung: Wunsch
the Tech Lead Manager in Zurich, Switzerland.
Gellings, C.:
und Wirklichkeit. In: die bank (E. B. I. F. Sonder-
Dr. Roman Beck joined Cluster 1 as project manager in October 2006. His main research focus
Outsourcing Relationships: The Contract as IT
heft) (2006), pp. 54-59.
is on "IT Project and Risk Management".
Governance Tool. In: Proceedings of the 40th
In November 2006 Dipl.-Kfm. Sven Groth, Master of Science in Real Estate Investment, joined
Hawaiian International Conference on System
Wiesel, T.:
Cluster 5 “Managing the Securities Trading Value Chain” as a graduate Research Assistant.
Sciences (HICSS 2007). Hawaii, USA.
Kundenkenngrößen und Unternehmenswert
(Customer Metrics and Firm Value), University
† Nachruf
of Frankfurt, Dissertation, 2006.
Am 9.12.2006 starb – nur 29jährig – Dipl.-Kfm. Jochen Franke, der in Cluster 1 als hervorragender Wissenschaftler, Mitarbeiter und Freund hoch geschätzt war. Wir vermissen ihn und
For a comprehensive list of all E-Finance Lab
werden ihm ein ehrendes Andenken bewahren.
publications see:
www.efinancelab.de/results/pubs/index.php
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research outside the efinance lab
RESEARCH PAPER: INFORMATION ASYMMETRY AND FINANCING
RESEARCH PAPER: FROM CUSTOMER LIFETIME VALUE TO SHAREHOLDER
ARRANGEMENTS: EVIDENCE FROM SYNDICATED LOANS
VALUE – THEORY, EMPIRICAL EVIDENCE, AND ISSUES FOR FUTURE RESEARCH
Sufi explores the syndicated loan market, with an emphasis on how information asymmetry bet-
The authors determine an effects framework for making out how customer lifetime value affects
ween lenders and borrowers influences syndicate structure. Analyzing a sample of public U.S.
shareholder value. In the chain of that framework, they propose that customer lifetime value ser-
companies he finds striking results that information and incentive problems are of first order
ves as an intermediary in the relationship between company actions and shareholder value. The
importance in the syndicated loan market. Furthermore, relationships between arranging banks
notion of the “present” value of customer lifetime value is introduced by the authors. That
in commercial lending syndicates and other participant lenders, as well as relationships between
captures the impact on customer lifetime value from future adjustments to a company’s business
borrowing firms and participants crucially influence financing arrangements. Consistent with
model and competitive reactions too. The paper identifies econometric and data-related
moral hazard in monitoring, the lead bank on the syndicate retains a larger share of the loan and
challenges in establishing the link, which suggest guidance for future research.
forms a more concentrated syndicate when the borrower requires more intense monitoring and
due diligence.
Berger, Paul D. et al.
In: Journal of Service Research 9(2006)2, pp. 156-167.
Sufi, Amir
In: Journal of Finance (2007).
electronic newsletter
RESEARCH PAPER: CRITICAL RISKS IN OUTSOURCED IT PROJECTS:
THE INTRACTABLE AND THE UNFORESEEN
The article focuses on two types of risk in outsourced projects. On the one hand the intractable risks and on the other hand the unforeseen risks. Intractable risks are those risks that resist
mitigating actions, and still impact the project despite the manager's best efforts to address
them at the start. Unforeseen risks are typically overlooked or simply don't seem likely to happen at the risk assessment stage, so that no action is taken to mitigate them. The article highlights certain critical risk factors that both vendors and clients should be aware of when ente-
Das E-Finance Lab betreibt zwei Typen von Newslettern, die beide quartalsweise
erscheinen, sodass alle sechs Wochen die jeweils andere Art herauskommt. Bei dem hier
vorliegenden gedruckten Newsletter steht die Beschreibung der Ergebnisse zweier
Forschungsprojekte des E-Finance Lab im Zentrum – ergänzt durch ein Interview und
weitere Kurzinformationen. Zur Subskription senden Sie bitte eine E-Mail an:
[email protected] oder ihre Visitenkarte mit der Notiz „bitte gedruckten
Newsletter zusenden“ an:
Prof. Dr. Wolfgang König
E-Finance Lab, Universität Frankfurt
Mertonstr. 17, 60054 Frankfurt
ring into an outsourced agreement for an information system, and suggests key strategies for
addressing these risks. In particular, schedule and budget risks can become intractable problems, particularly if they arise from underbidding by vendors or by clients selecting a vendor
partner on price alone.
[email protected]
Viele weitere Informationen finden Sie unter www.efinancelab.com.
Taylor, Hazel
In: Communications of the ACM 49(2006)11, pp. 74-79.
ef l quarterly 01|07
Der elektronische Newsletter hingegen setzt mehr auf kurze Anmoderationen und den
Einsatz von Hyperlinks zu weiterführenden Ressourcen. Zur Subskription senden Sie bitte
eine E-Mail an:
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