Professoren
Prof. Dr. Paolo Vanini

Prof. Dr. Paolo Vanini

1985-1988
Swiss National Science Foundation, project no. 12-43590.95

1985-1988
MacArthur Foundation, Stanford, California, Network on Economic Environment and the Evolution of Individual Preferences and Social Norms

2001-2004
National Center of Competence, Financial Risk, Swiss National Foundation

2003
Outstanding Paper Award, German Finance Association, Annual Meeting 2003, for the paper “Equilibrium Impact of Value at Risk”, joint work with M. Leippold and F. Trojani

2004
Risk Achievement Awards, Operational Risk Europe Conference 2004, London, for the paper “The Quantification of Operational Risk”, joint work with M.
Leippold

2004
STOXX 2004, Risk Management Award, Gold, Annual Meeting European Financial Management Association 2004, ‘A Simple Model of Credit Contragion, joint work with D. Egloff and M. Leippold

2007
Swiss Derivative Awards for Structured Product Innvoation

2007
Swiss Derivative Awards for Structured Product Innvoation

2007
Euromoney Award, Best Swiss Bank for Property Derivatives

2008
Best Swiss Bank for Risk Structuring, Swiss Derivatives AssociationPublications in Referred Journals

1. Periodic Potential Schrödinger Equation Coupled to a Wall Potential
Letters in Mathematical Physics 32, 331-346, 1994

2. Groups, Determinant Bundle and Tau Functions on Isospectral Sets, Journal of Geometry and Physics, 96/3, 241-276, 1996

3. Asymptotic Riemannian Geometry on Isospectral Sets,
Journal of Geometry and Physics, 96/2, 92-127, 1996

4. A Note on Robustness in the Merton's Model of Intertemporal Consumption and Portfolio Choice
Joint work with F. Trojani
Journal of Economic Dynamics and Control, 26/3, 423-435, 2001

5. A Review of Perturbative Approaches for Robust Optimal Portfolio Problems
Joint work with F. Trojani
“Handbook of Computational Methods in Decision Making, Economics and Finance”, Eds. B. Rustem et al., Kluwer Academic Press, Singapore November 2002

6. Optimal Decision Making under Time Diversification
Joint work with L. Vignola
European Finance Review, 6, 1-30, 2002

7. On the 3 Portfolios Matching Problem
Joint work with L. Vignola and F. Trojani
European Financial Management, 8, 515-528, 2002

8. Half as Many Cheers – The Multiplier Reviewed
Joint work with M. Leippold
Wilmott Magazine, 2, 158-165, 2002

9. Operational Risk: A Practitioners Point of View
Joint work with S. Ebnöther, A. McNeil, and P. Antolinez
Journal of Risk, 5, 3, 1-16, 2003

10. From Operational Risk to Operational Excellence
Joint work with B. Döbeli and M. Leippold
Advances in Operational Risk, 2nd edition, Risk Waters Group, London, 2003

11. On Habits and Addictions
Joint work with N. Braun
Journal of Institutional and Theoretical Economics, vol. 159, December, 135, 2003

12. A Geometric Approach To Multiperiod Mean Variance Optimization of Assets and Liabilities
Joint work with M. Leippold and F. Trojani
Journal of Economic Dynamics and Control, vol. 28, 6, March, 1079-1113, 2004

13. IMF Lending: A Three Players Moral Hazard Game
Joint work with B. Döbeli
Journal of Banking and Finance, Volume 28 (12), 2933-2956, 2004

14. Robustness and Ambiguity in General Equilibrium
Joint work with F. Trojani
Review of Finance, Volume 8 (2), 279-324, 2004

15. Optimal Limit Management
Joint work with S. Ebnöther and M. Leippold
Journal of Banking and Finance, 2006 (30), 463-487, 2006

16. The Quantification of Operational Risk
Joint work with M. Leippold
Journal of Risk, 2005, 8(1), 59-85, 2005

17. Equilibrium Impact of Value-at-Risk
Joint work with M. Leippold and F. Trojani
Journal of Economic Dynamics and Control, Vol. 30 (8) , August, 1277-1313, 2006

18. A Simple Model of Credit Contagion
Joint work with M. Leippold and D. Egloff
Journal of Banking and Finance, 2007, 31, 2475-2492.

19. Credit Portfolios: What Defines Risk Horizons and Risk Measurement?
Joint work with S. Ebnöther
Journal of Banking & Finance, Volume 31, Issue 12, December 2007, Pages 3663-3679

20. Property Derivatives and Index-Linked Mortgages
Joint work with J. Syz and M. Salvi
Journal of Real Estate Finance and Economics, Vol. 36, No. 1, 2008

21. Learning and Asset Prices under Ambiguous Information
Joint work with M. Leippold and F. Trojani
The Review of Financial Studies, Vol. 21, Issue 6, pp. 2565-2597, 2008

22. Joint Interest Rate Risk Management of Balance Sheet and Hedge Portfolio
Joint work with S. Farinelli
The Icfai University Journal of Financial Risk Management, Vol. V, No. 3, September 2008 , 61-89

23. Property Derivatives and the Subprime Crisis
Joint work with J. Syz Wilmott Journal, Volume 1 (3), 2008, 1-8

24. Efficient Portfolios with Endogenous Liabilities
Joint work with Markus Leippold and Fabio Trojani
Forthcoming Quantitative Finance

25. Credit Migration Risk Modelling
Joint work with A. Andersson
Forthcoming Journal of Credit Risk

26. Stated and Revealed Investment Decisions Concerning Retail Structured Products
Joint work with B. Döbeli
Forthcoming Journal of Banking and Finance

27. Arbitrage Free Price Bounds for Property Derivatives
Joint work with J. Syz
Forthcoming Journal of Real Estate Finance and Economics


Submitted Papers

1. Aircraft Noise Derivatives
Joint work with C. Dalbert
Submit Journal of Derivatives, May 2009

3. Staying on the Dole
Joint work J.-R. Tyran and H. Strulik
Revise and Resubmit European Journal of Economics, 2009


Publications in Conference Proceedings

1. Preference-Based Asset Liability Management for Private Investors
Joint work with W. Neuschwander and U. Lüthi
Proceeding 8th Symposium Banking, Finance and Insurance, University of Karlsruhe, Germany, 2000

2. The Economic Value of Integrated Data Models for the Financial Industry
Joint work with A. Glatter and M. Janssen
Proceeding 8th Symposium Banking, Finance and Insurance, University of Karlsruhe, Germany, 2000

3. Dynamic Asset Liability Management
Joint work with F. Trojani
Proceeding European Financial Management Association, Annual Meeting, Lugano, June 2001

4. Dynamic ALM in a Mean-Variance Context
Joint work with M. Leippold and F. Trojani
Optimization of Assets and Liabilities, Proceeding of International Scientific School "Modelling and Analysis of Safety, Risk and Quality in Complex Systems", Saint-Petersburg, Russian Foundation of Fundamental Research, June 2002

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