Professoren
Prof. Dr. Markus Leippold

Prof. Dr. Markus Leippold

Paper Awards:

German Finance Association 2003

Operational Risk Achievement Award 2004 (Risk Publications)Books

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.Publications in academic journals

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.

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