Prof. Dr. Markus Leippold
Professor - aktiv
Position / Amtsbezeichnung
Extraordinarius
Extraordinarius
Universität
Universität Zürich
Universität Zürich
Fachbereich
Wirtschaftswissenschaftliche Fakultät
Wirtschaftswissenschaftliche Fakultät
Institut
Institut für Schweizerisches Bankwesen
Institut für Schweizerisches Bankwesen
Arbeitsbereiche
Finanzmarkttheorie
Finanzmarkttheorie
Forschungsbereiche
Financial Engineering
Asset Pricing
Asset Allocation
Financial Engineering
Asset Pricing
Asset Allocation
Land
Schweiz
Schweiz
Ort / PLZ
8032 Zürich
8032 Zürich
Strasse
Plattenstrasse 14
Plattenstrasse 14
Telefon
+41 44 634 50 69
+41 44 634 50 69
FAX
+41 44 634 4903
+41 44 634 4903
Auszeichnungen und Ehrungen
German Finance Association 2003
Operational Risk Achievement Award 2004 (Risk Publications)
Autorentätigkeiten
International Term Structure Models, Paul Haupt Verlag, Band 301, 1999.
Book Chapters
Alpha, In: Encyclopedia of Alternative Investments, Gregoriou, G.N. (editor), Chapman Hall, 2008.
Information Ratio, In: Encyclopedia of Alternative Investments, Gregoriou, G.N. (editor), Chapman Hall, 2008.
Manager Skills, In: Encyclopedia of Alternative Investments, Gregoriou, G.N. (editor), Chapman Hall, 2008.
Value at Risk, In: Encyclopedia of Alternative Investments, Gregoriou, G.N. (editor), Chapman Hall, 2008.
Drawdown, In: Encyclopedia of Alternative Investments, Gregoriou, G.N. (editor), Chapman Hall, 2008.
Quantitative Hedge Fund Selection for Fund of Funds, (with Stephan Johri), In: Fund of Hedge Funds: Performance, Assessment, Diversi_cation and Statistical Properties, Gregoriou, G.N., Elsevier Press, Quantitative Finance Series, 2006.
International Stock Portfolios and Optimal Currency Hedging with Regime Switching, (with Felix Morger), In: Asset Allocation and International Investments, Gregoriou, G.N, Palgrave-MacMillan, London, 2006
Business Dependencies in Credit Risk Portfolios, In: Risk Management, Henry Stewart Publications, London, 2006.
A Simple Model of Credit Contagion, (with Daniel Eglo_ and Paolo Vanini), Validation of Credit Risk Models, Proceedings C.R.E.D.I.T. 2004, Vol. I.
From Operational Risk to Operational Excellence, (with Barbara Doebeli and Paolo Vanini), Chapter 15 in: Advances in Operational Risk Management, 2nd Edition, RISK Publications, 2003.
Market Risk: A Primer, (with Fabio Trojani), FINRISK Booklet on Risk Management for Executives, 2003.
Optimization of Assets and Liabilities, Proceeding of International Scienti_c School, (with Fabio Trojani and Paolo Vanini), Modelling and Analysis of Safety, Risk and Quality in Complex Systems, 2002, Saint-Petersburg, Russian Foundation of Fundamental Research.
Term Structure Models, (with Thomas Heinzl), in: Value-at-Risk in der Vermögensverwaltung, Hummler et al. (eds.), Stampi Verlag, Bern, 1997.
Veröffentlichungen
Adaptive Importance Sampling, (with Daniel Eglo_), 2009, University of Zurich, (forthcoming, Annals of Statistics)
Valuation and Optimal Investing in Variance Swaps, (with Daniel Eglo_ and Liuren Wu), 2009, Imperial College - Business School. (forthcoming, Journal of Financial and Quantitative Analysis)
E_cient Portfolios with Endogenous Liabilities, (with Fabio Trojani and Paolo Vanini), 2009, University of Zurich. (forthcoming Quantitative Finance)
American Options with Stopping Time Constraints, (with Daniel Eglo_), 2009, Imperial College – Business School. (forthcoming, Applied Mathematical Finance)
Learning and Asset Pricing under Uncertainty, (with Fabio Trojani and Paolo Vanini), Review of Financial Studies, Vol. 21, Issue 6, 2008, pp. 2565-2597.
A Simple Model for Credit Contagion, (with Daniel Eglo_ and Paolo Vanini), Journal of Banking and Finance, 2007, 31, 2475{2492.
Multi-Currency Quadratic Model: Theory and Evidence, (with Liuren Wu), Review of Finance, 9, 2007, 1-38.
Trend Derivatives: Pricing, Hedging, and Application to Executive Stock Options, (with Jurg Syz), Journal of Futures Markets, 27 (2), 2007, 151-186.
Equilibrium Impacts of Value-at-Risk Regulation, (with Fabio Trojani and Paolo Vanini), Journal of Economic Dynamics and Control, 30, 2006, 1277-1313.
The Economic Bene_t of Powerful Credit Scoring, (with Andreas Blochlinger), Journal of Banking and Finance, 2006 (30), 2006, 851-873.
Optimal Credit Limit Management, (with Silvan Ebnother and Paolo Vanini), Journal of Banking and Finance, 2006 (30), 463-487.
The Quanti_cation of Operational Risk, (with Paolo Vanini), Journal of Risk, 2005, 8(1), 59-85.
E_cient Trinomial Trees for Short Rate Models, (with Zvi Wiener), Review of Derivative Research, 7, 2004, 213-239.
A Geometric Approach to Multiperiod Mean-Variance Optimization of Assets and Liabilities, (with Fabio Trojani and Paolo Vanini), Journal of Economic Dynamics and Control, 28, March 2004, 1079-1113.
Estimation and Design of Quadratic Term Structure Models, (with Liuren Wu), Review of Finance, 2003, 7(1), 47-73.
Asset Pricing under the Quadratic Class, (with Liuren Wu), Journal of Financial and Quantitative Analysis, 2002, 37(2), 271-295.
Half as Many Cheers - The Multiplier Reviewed, (with Paolo Vanini), The Wilmott Magazine, No. 2, 2002.
Alternatives within the BIS Standard Approach, Financial Markets and Portfolio Management, October 1999.
Numerical Methods in Finance: Monte Carlo and Quasi-Monte Carlo Methods, Financial Markets and Portfolio Management, 1997. Nutzungshinweise: Jede natürliche Person darf sich nur mit einer E-Mail Adresse bei WiWi-Online registrieren lassen. Die Nutzung der Daten die WiWi-Online bereitstellt ist nur für den privaten Gebrauch bestimmt - eine gewerbliche Nutzung ist verboten. Eine automatisierte Nutzung von WiWi-Online und dessen Inhalte, z.B. durch Offline-Browser, Download-Manager oder Webseiten etc. ist ausdrücklich strengstens untersagt. Zuwiderhandlungen werden straf- und zivilrechtlich verfolgt.