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Vanini, Paolo's
Scholarly Papers
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Total
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26,914 |
Total
Citations
114 |
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1.
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Ebnöther, Silvan
Zurich Cantonal Bank Vanini, Paolo
Zurich Cantonal Bank McNeil, Alexander
Swiss Federal Institute of Technology Zurich - Department of Mathematics Antolinez-Fehr, Pierre
Zurich Cantonal Bank
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11 Dec 01
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Last Revised:
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06 Jan 10
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4,441
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3
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Operational Risk, Risk Management, Extreme Value Theory, VaR
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2.
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The Quantification of Operational Risk
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Vanini, Paolo
Zurich Cantonal Bank Leippold, Markus
University of Zurich - Department of Banking and Finance
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Posted:
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30 Dec 03
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Last Revised:
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01 Jun 08
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3,250
(1,178)
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9
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Vanini, Paolo
Zurich Cantonal Bank Leippold, Markus
University of Zurich - Department of Banking and Finance
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quantification of operational risk, functional dependencies, node, stochastic risk factors, analytical methocs, numerical methocs, capital allocation, stability, risk figures, network structured, topological diversification, dynamic diversification
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Leippold, Markus
University of Zurich - Department of Banking and Finance Vanini, Paolo
Zurich Cantonal Bank
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3,250
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9
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Operational Risk Management, Stochastic Systems, Diversification, Profitability
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3.
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Operational Risk: A Practitioner's View
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Vanini, Paolo
Zurich Cantonal Bank Antolinez-Fehr, Pierre
Zurich Cantonal Bank Ebnöther, Silvan
Zurich Cantonal Bank McNeil, Alexander
Swiss Federal Institute of Technology Zurich - Department of Mathematics
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Posted:
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18 Nov 02
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Last Revised:
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15 Feb 11
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2,010
(2,794)
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2
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Vanini, Paolo
Zurich Cantonal Bank Antolinez-Fehr, Pierre
Zurich Cantonal Bank Ebnöther, Silvan
Zurich Cantonal Bank McNeil, Alexander
Swiss Federal Institute of Technology Zurich - Department of Mathematics
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Vanini, Paolo
Zurich Cantonal Bank Ebnöther, Silvan
Zurich Cantonal Bank Antolinez-Fehr, Pierre
Zurich Cantonal Bank McNeil, Alexander
Swiss Federal Institute of Technology Zurich - Department of Mathematics
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18 Nov 02
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Last Revised:
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15 Feb 11
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2,010
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2
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Operational Risk, Risk Management, VaR
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4.
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Leippold, Markus
University of Zurich - Department of Banking and Finance Egloff, Daniel
QuantAlea GmbH Vanini, Paolo
Zurich Cantonal Bank
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05 Jan 04
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Last Revised:
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18 Dec 08
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1,840
(3,235)
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14
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Credit Portfolio Risk Management, Contagion, Macroeconomic Deependencies, Microstructural Dependencies, Value-at-Risk, Expected Shortfall
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5.
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Leippold, Markus
University of Zurich - Department of Banking and Finance Vanini, Paolo
Zurich Cantonal Bank Trojani, Fabio
University of Lugano
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1,663
(3,876)
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13
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Assets and Liabilities Portfolios, Minimum-Variance Frontiers, Dynamic Programming, Markowitz Model
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6.
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Vanini, Paolo
Zurich Cantonal Bank Leippold, Markus
University of Zurich - Department of Banking and Finance Doebeli, Barbara
Swiss National Bank, International Monetary Relations
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1,488
(4,735)
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2
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Profitability, Operational Risk Management, IT-networks, Stochastic Systems
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7.
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Leippold, Markus
University of Zurich - Department of Banking and Finance Vanini, Paolo
Zurich Cantonal Bank Trojani, Fabio
University of Lugano
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978
(9,594)
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14
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Value-at-Risk, Stochastic Opportunity Set, Regulatory Policy, Dynamic Financial Equilibria, Perturbation Theory
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8.
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Doebeli, Barbara
Swiss National Bank, International Monetary Relations Vanini, Paolo
Zurich Cantonal Bank
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11 Jun 07
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Last Revised:
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05 Jan 10
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693
(16,222)
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4
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Field Experiment, Behavioral Finance, Structured Products, Revealed Preferences, Stated Preferences
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9.
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Learning and Asset Prices under Ambiguous Information
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Vanini, Paolo
Zurich Cantonal Bank Leippold, Markus
University of Zurich - Department of Banking and Finance Trojani, Fabio
University of Lugano
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Posted:
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23 Sep 04
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Last Revised:
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29 Jul 10
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683
(16,582)
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20
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Leippold, Markus
University of Zurich - Department of Banking and Finance Trojani, Fabio
University of Lugano Vanini, Paolo
Zurich Cantonal Bank
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0
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G1, G11, G12
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Vanini, Paolo
Zurich Cantonal Bank Leippold, Markus
University of Zurich - Department of Banking and Finance Trojani, Fabio
University of Lugano
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683
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20
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Financial equilibria, knightian uncertainty, model misspecification, robust decision making
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10.
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Vanini, Paolo
Zurich Cantonal Bank Padovani, Miret
Vienna University of Economics and Business Administration
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28 Mar 10
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Last Revised:
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27 Apr 10
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630
(18,623)
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Stochastic Volatility, Heston Model, Fourier Theory, Complex Analysis, Pricing Equations, Generalized Functions
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11.
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Leippold, Markus
University of Zurich - Department of Banking and Finance Vanini, Paolo
Zurich Cantonal Bank Ebnöther, Silvan
Zurich Cantonal Bank
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618
(19,146)
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1
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Credit risk management, optimal limit policy, partial information, adverse selection
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12.
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Property Derivatives and Index-Linked Mortgages
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Syz, Juerg M.
Diener Syz Real Estate Vanini, Paolo
Zurich Cantonal Bank Salvi, Marco
Cantonal Bank of Zurich
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Posted:
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06 Sep 06
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Last Revised:
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20 Apr 10
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607
(19,636)
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Syz, Juerg M.
Diener Syz Real Estate Vanini, Paolo
Zurich Cantonal Bank Salvi, Marco
Cantonal Bank of Zurich
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0
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house price risk, mortgage default risk, rent or buy, hedonic index
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Vanini, Paolo
Zurich Cantonal Bank Syz, Juerg M.
Diener Syz Real Estate Salvi, Marco
Cantonal Bank of Zurich
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607
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House Price Risk, Mortgage Default Risk, Rent or Buy, Hedonic Index
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13.
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Andersson, Andreas
Zurich Cantonal Bank Vanini, Paolo
Zurich Cantonal Bank
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| Posted: |
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29 Sep 08
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Last Revised:
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05 Jan 10
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575
(21,170)
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2
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Credit Migration Risk, Point-In-Time, Migration Matrix, Regime Shifting Markov Mixture Model, Credit Dreivatives
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14.
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Doebeli, Barbara
Swiss National Bank, International Monetary Relations Vanini, Paolo
Zurich Cantonal Bank
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| Posted: |
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01 Apr 02
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Last Revised:
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06 Jan 10
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550
(22,400)
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IMF lending, sequential moral hazard model
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15.
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Vanini, Paolo
Zurich Cantonal Bank Trojani, Fabio
University of Lugano
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537
(23,138)
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4
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Hamilton-Jacobi Bellman Equations, Model Misspecification, Perturbation Theory, Robust Decision Making
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16.
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Optimal Decision-Making with Time Diversification
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Vanini, Paolo
Zurich Cantonal Bank Vignola, Luigi
Deutsche Bank, Zurich Branch
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Posted:
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18 Jan 02
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Last Revised:
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08 Sep 06
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489
(26,218)
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Vanini, Paolo
Zurich Cantonal Bank Vignola, Luigi
Deutsche Bank, Zurich Branch
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0
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Cross-Sectional Risk, Intertemporal Risk-Smoothing, Risk-Sharing, Time Diversification and Incomplete Financial Markets
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Vanini, Paolo
Zurich Cantonal Bank Vignola, Luigi
Deutsche Bank, Zurich Branch
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489
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Cross-Sectional Risk, Intertemporal Risk-Smoothing, Risk-Sharing, Time Diversification and Incomplete Financial Markets
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17.
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Vanini, Paolo
Zurich Cantonal Bank Trojani, Fabio
University of Lugano Vignola, Luigi
Deutsche Bank, Zurich Branch
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489
(26,218)
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Transaction Costs, Portfolio Matching, Portfolio Selection
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18.
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Vanini, Paolo
Zurich Cantonal Bank Trojani, Fabio
University of Lugano
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470
(27,587)
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1
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Financial Equilibria, Knightian Uncertainty, Model Misspecification, Perturbation Theory, Robust Decision Making
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19.
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Leippold, Markus
University of Zurich - Department of Banking and Finance Vanini, Paolo
Zurich Cantonal Bank Trojani, Fabio
University of Lugano
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468
(27,763)
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1
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Assets and Liabilities, Mean-Variance Frontiers, Markowitz Model, Endogenous Liabilities, Grassmann Algebra
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20.
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Akguen, Aydin
Zürcher Kantonalbank (ZKB) Vanini, Paolo
Zurich Cantonal Bank
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| Posted: |
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07 Mar 07
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Last Revised:
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22 Apr 09
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445
(29,680)
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Loan Pricing, Stochastic Collateral, Credit Risk, Earnings Management
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21.
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Domenig, Thomas
Zurcher Kantonalbank Vanini, Paolo
Zurich Cantonal Bank
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444
(29,770)
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Levy processes, Stochastic Volatility, Fourier Theory, Fast Fourier Analysis, Error Bounds, Time Change, Variance Gamma Model, Option Pricing
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22.
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Trojani, Fabio
University of Lugano Vanini, Paolo
Zurich Cantonal Bank
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393
(34,778)
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14
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Ambiguity, Financial Equilibria, Knightian Uncertainty, Model Misspecification, Perturbation Theory, Robust Decision Making
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23.
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Vanini, Paolo
Zurich Cantonal Bank
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370
(37,478)
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Implied Volatility, Stochastic Volatility, Local Volatility, Volatility Statics, Mixing Theorem, Asymptotic Expansions, Option Pricing
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24.
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Vanini, Paolo
Zurich Cantonal Bank Farinelli, Simone
Core Dynamics GmbH
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364
(38,220)
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Balance and Off Balance Sheet Analysis, Interest Rate Risk, Dynamic Mean Variance Optimization
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25.
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Ebnöther, Silvan
Zurich Cantonal Bank Vanini, Paolo
Zurich Cantonal Bank
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| Posted: |
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02 Nov 05
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Last Revised:
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05 Jan 10
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362
(38,456)
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2
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Credit risk management, portfolio management, risk measurement, coherence, VaR, expected shortfall, factor model
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26.
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Vanini, Paolo
Zurich Cantonal Bank Leippold, Markus
University of Zurich - Department of Banking and Finance
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347
(40,532)
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3
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27.
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Kruchen, Stefan
Zurich Cantonal Bank Vanini, Paolo
Zurich Cantonal Bank
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332
(42,775)
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Dividend Risk, Option Pricing, Forecasting
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28.
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Arbitrage Free Price Bounds for Property Derivatives
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Syz, Juerg M.
Diener Syz Real Estate Vanini, Paolo
Zurich Cantonal Bank
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Posted:
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29 Dec 08
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Last Revised:
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27 Jul 11
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249
(59,449)
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1
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Syz, Juerg M.
Diener Syz Real Estate Vanini, Paolo
Zurich Cantonal Bank
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0
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Property Derivatives, Property Spread, Arbitrage Free Price Bounds, Market Frictions, Halifax House Price Index
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Syz, Juerg M.
Diener Syz Real Estate Vanini, Paolo
Zurich Cantonal Bank
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| Posted: |
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29 Dec 08
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Last Revised:
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01 Jan 10
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249
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1
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Property derivatives, Property spread, Arbitrage free price bounds, Market frictions, Halifax House Price Index
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29.
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Vanini, Paolo
Zurich Cantonal Bank Braun, Norman
University Munich - Department of Sociology
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| Posted: |
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29 Jan 03
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Last Revised:
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06 Jan 10
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192
(77,809)
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1
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Addictions, Habits, Endogenous Time Preferences
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30.
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Vanini, Paolo
Zurich Cantonal Bank Hungerbühler, Norbert
ETH Zurich - Department of Mathematics
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179
(83,141)
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Taxation, Axiomatic Tax Law, Incentive Compatability
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31.
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Farinelli, Simone
Core Dynamics GmbH Vanini, Paolo
Zurich Cantonal Bank
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164
(90,296)
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Balance and Off Balance Sheet, Analysis, Interest Rate Risk, Dynamic Mean Variance Optimization
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32.
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Brumen, Gorazd
University of Zurich - Swiss Banking Institute (ISB) Vanini, Paolo
Zurich Cantonal Bank
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| Posted: |
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25 Mar 08
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Last Revised:
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15 May 08
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137
(105,816)
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2
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Asset pricing, network dependence models, contagion, buyer-supplier networks, credit risk.
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33.
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Vanini, Paolo
Zurich Cantonal Bank Broumandi, Shadie
Masaryk University
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| Posted: |
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21 Feb 13
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Last Revised:
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13 May 13
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124
(114,906)
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Basel III, EMIR, FATCA, Dodd-Frank, Innovation, Complete and Incomplete Markets, Pricing and Hedging, Risk, Uncertainty, Complexity
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34.
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Padovani, Miret
Vienna University of Economics and Business Administration Vanini, Paolo
Zurich Cantonal Bank
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| Posted: |
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22 Apr 09
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Last Revised:
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16 Apr 10
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118
(119,507)
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Financial innovation, longevity risk, population ageing, old-age dependency ratio, growth risk, exponential-utility-based pricing, intergenerational risk-sharing, international risk-sharing
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35.
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Staying on the Dole
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Vanini, Paolo
Zurich Cantonal Bank Strulik, Holger
University of Goettingen (Gottingen) - School of Law, Economics, Social Sciences Tyran, Jean-Robert
University of Vienna
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Posted:
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21 Nov 06
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Last Revised:
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18 Jan 08
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88
(147,208)
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Strulik, Holger
University of Goettingen (Gottingen) - School of Law, Economics, Social Sciences Vanini, Paolo
Zurich Cantonal Bank Tyran, Jean-Robert
University of Vienna
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14
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Unemployment, skill degradation, retraining, unemployment benefits, welfare assistance, present-biased preferences
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Vanini, Paolo
Zurich Cantonal Bank Strulik, Holger
University of Goettingen (Gottingen) - School of Law, Economics, Social Sciences Tyran, Jean-Robert
University of Vienna
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| Posted: |
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21 Nov 06
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Last Revised:
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18 Jan 08
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74
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Unemployment, Skill Degradation, Retraining, Unemployment Benefits, Welfare Assistance, Present-Biased Preferences
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36.
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Dalbert, Curdin
Zurcher Kantonalbank - Corporate Risk Control Vanini, Paolo
Zurich Cantonal Bank
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| Posted: |
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21 Apr 09
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Last Revised:
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15 Feb 11
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85
(150,471)
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1
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Real Options, Noise Derivatives, Aircraft, Pricing, Equilibrium Pricing
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37.
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Vanini, Paolo
Zurich Cantonal Bank Hoeskuldur, Hauksson
Cantonal Bank of Zurich
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| Posted: |
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25 Mar 13
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Last Revised:
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02 Apr 13
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21
(271,573)
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Point of sale, conduct-of-business risk, reengineering retail investments banking, MiFID, IOSCO, prospect theory
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38.
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Trojani, Fabio
University of Lugano Vanini, Paolo
Zurich Cantonal Bank Vignola, Luigi
Deutsche Bank, Zurich Branch
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21
(271,573)
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39.
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Vanini, Paolo
Zurich Cantonal Bank Trojani, Fabio
University of Lugano
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Merton's model, Knightian uncertainty, Model contamination, Model misspecification, Robust decision-making
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