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Swiss Finance Institute Research Paper Series
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Showing Papers 1 - 50 of 735
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Incl. Electronic Paper Banks’ Discretion Over the Debt Valuation Adjustment for Own Credit Risk
Minyue Dong, Leonidas C. Doukakis and Stephen G. Ryan
University of Lausanne, University of Lausanne, HEC and New York University (NYU) - Leonard N. Stern School of Business
Date Posted: February 21, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper Product Market Competition and Option Prices
Erwan Morellec and Alexei Zhdanov
Ecole Polytechnique Fédérale de Lausanne and Pennsylvania State University
Date Posted: February 17, 2017
Working Paper Series
28 downloads

Incl. Electronic Paper The Sustainability Footprint of Institutional Investors
Swiss Finance Institute Research Paper No. 17-05
Rajna Gibson and Philipp Krueger
University of Geneva - Geneva Finance Research Institute (GFRI) and University of Geneva
Date Posted: February 16, 2017
Last Revised: February 22, 2017
Working Paper Series
23 downloads

Incl. Electronic Paper Re-Use of Collateral: Leverage, Volatility, and Welfare
Swiss Finance Institute Research Paper No. 17-04
Johannes Brumm, Michael Grill, Felix Kubler and Karl Schmedders
Karlsruhe Institute of Technology, European Central Bank (ECB), University of Zurich and University of Zurich
Date Posted: February 07, 2017
Working Paper Series
23 downloads

Incl. Electronic Paper Investing in Managerial Honesty
Swiss Finance Institute Research Paper No. 17-03
Rajna Gibson, Matthias Sohn, Carmen Tanner and Alexander F. Wagner
University of Geneva - Geneva Finance Research Institute (GFRI), Zeppelin University, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Date Posted: February 07, 2017
Working Paper Series
27 downloads

Incl. Electronic Paper Company Stock Reactions to the 2016 Election Shock: Trump, Taxes and Trade
Swiss Finance Institute Research Paper No. 17-06
Alexander F. Wagner, Richard J. Zeckhauser and Alexandre Ziegler
University of Zurich - Department of Banking and Finance, Harvard University - Harvard Kennedy School (HKS) and University of Zurich - Department of Banking and Finance
Date Posted: February 02, 2017
Last Revised: February 22, 2017
Working Paper Series
151 downloads

Incl. Electronic Paper Recovery is Never Easy - Dynamics and Multiple Equilibria with Financial Arbitrage, Production and Collateral Constraints
Swiss Finance Institute Research Paper No. 17-02
Ally Quan Zhang
University of Zurich - Department of Banking and Finance
Date Posted: January 17, 2017
Last Revised: February 24, 2017
Working Paper Series
24 downloads

Incl. Electronic Paper The Consumption Response to Minimum Wages: Evidence from Chinese Households
Swiss Finance Institute Research Paper No. 17-01
Ernest Dautovic, Harald Hau and Yi Huang
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne), University of Geneva - Geneva Finance Research Institute and Graduate Institute of International and Development Studies
Date Posted: January 10, 2017
Working Paper Series
28 downloads

Incl. Electronic Paper News About Zero-Leverage Firms
Swiss Finance Institute Research Paper No. 16-78
Thomas Geelen
Ecole Polytechnique Fédérale de Lausanne
Date Posted: January 05, 2017
Working Paper Series
53 downloads

Incl. Electronic Paper Comparing Ask and Transaction Prices in the Swiss Housing Market
Swiss Finance Institute Research Paper No. 16-80
Ahmed Ahmed, Diego Ardila, Dorsa Sanadgol and Didier Sornette
ETH Zurich, ETH Zurich, ETH Zurich and Swiss Finance Institute
Date Posted: January 05, 2017
Working Paper Series
22 downloads

Liquidity, Innovation, and Endogenous Growth
Swiss Finance Institute Research Paper No. 15-41
Semyon Malamud and Francesca Zucchi
Ecole Polytechnique Federale de Lausanne and Federal Reserve Board
Date Posted: January 04, 2017
Working Paper Series

Incl. Electronic Paper Markov Cubature Rules for Polynomial Processes
Swiss Finance Institute Research Paper No. 16-79
Damir Filipović, Martin Larsson and Sergio Pulido
Ecole Polytechnique Fédérale de Lausanne, ETH Zurich - Department of Mathematics and Laboratoire de Mathématiques et Modélisation d'Évry (LaMME); Université d'Évry-Val-d'Essonne, ENSIIE, UMR CNRS 8071
Date Posted: December 27, 2016
Last Revised: January 04, 2017
Working Paper Series
32 downloads

Incl. Electronic Paper On the Shape of Non-Monetary Measures for Risks
Swiss Finance Institute Research Paper No. 16-77
Christophe Courbage, Henri Loubergé and Béatrice Rey
Haute Ecole de Gestion de Genève - University of Applied Sciences Western Switzerland (HES-SO), University of Geneva - Geneva School of Economics and Management and University of Lyon 2 - Groupe d'Analyse et de Théorie Economique (GATE)
Date Posted: December 20, 2016
Last Revised: January 04, 2017
Accepted Paper Series
26 downloads

Incl. Electronic Paper Statistical Approximation of High-Dimensional Climate Models
Swiss Finance Institute Research Paper No. 16-76
Alena Miftakhova, Kenneth L. Judd, Thomas S. Lontzek and Karl Schmedders
University of Zurich - Department of Business Administration, Stanford University - The Hoover Institution on War, Revolution and Peace, University of Zurich and University of Zurich
Date Posted: December 19, 2016
Last Revised: January 04, 2017
Accepted Paper Series
48 downloads

Incl. Electronic Paper Intermediation Markups and Monetary Policy Passthrough
Swiss Finance Institute Research Paper No. 16-75
Semyon Malamud and Andreas Schrimpf
Ecole Polytechnique Federale de Lausanne and Bank for International Settlements (BIS) - Monetary and Economic Department
Date Posted: December 14, 2016
Working Paper Series
46 downloads

Incl. Electronic Paper Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps
Swiss Finance Institute Research Paper No. 16-73
Antonio Cosma, Stefano Galluccio, Paola Pederzoli and O. Scaillet
Université du Luxembourg, BNP Paribas Fixed Income, University of Geneva and University of Geneva GSEM and GFRI
Date Posted: December 09, 2016
Working Paper Series
39 downloads

Incl. Electronic Paper A Primer on Portfolio Choice with Small Transaction Costs
Swiss Finance Institute Research Paper No. 16-74
Johannes Muhle-Karbe, Max Reppen and Halil Mete Soner
University of Michigan at Ann Arbor, ETH Zurich and ETH Zürich
Date Posted: December 07, 2016
Working Paper Series
61 downloads

Incl. Electronic Paper Hedging with Temporary Price Impact
Swiss Finance Institute Research Paper No. 16-72
Peter Bank, Halil Mete Soner and Moritz Voss
Humboldt University of Berlin - Department of Mathematics, ETH Zürich and Technische Universität Berlin (TU Berlin)
Date Posted: December 07, 2016
Working Paper Series
37 downloads

Incl. Electronic Paper Convex Duality with Transaction Costs
Swiss Finance Institute Research Paper No. 16-71
Yan Dolinsky and Halil Mete Soner
ETH Zürich and ETH Zürich
Date Posted: December 07, 2016
Working Paper Series
19 downloads

Incl. Electronic Paper Wealth and Income Inequalities ← → r > g
Swiss Finance Institute Research Paper No. 16-69
Yannick Malevergne and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM and Swiss Finance Institute
Date Posted: December 02, 2016
Working Paper Series
69 downloads

Incl. Electronic Paper Bank Response to Higher Capital Requirements: Evidence from a Quasi-Natural Experiment
Swiss Finance Institute Research Paper No. 16-70
Reint Gropp, Thomas C. Mosk, Steven Ongena and Carlo Wix
Halle Institute for Economic Research, Goethe University Frankfurt - Research Center SAFE, University of Zurich - Department of Banking and Finance and Goethe University Frankfurt - Research Center SAFE
Date Posted: November 30, 2016
Working Paper Series
105 downloads

Incl. Electronic Paper Collateral, Central Bank Repos, and Systemic Arbitrage
Swiss Finance Institute Research Paper No. 16-66
Falko Fecht, Kjell G. Nyborg, Jörg Rocholl and Jiri Woschitz
Frankfurt School of Finance & Management, University of Zurich - Department of Banking and Finance, ESMT European School of Management and Technology and University of Zurich
Date Posted: November 18, 2016
Working Paper Series
120 downloads

Incl. Electronic Paper Data Analytics for Non-Life Insurance Pricing
Swiss Finance Institute Research Paper No. 16-68
Mario V. Wuthrich and Christoph Buser
RiskLab, ETH Zurich and AXA-Winterthur
Date Posted: November 17, 2016
Last Revised: January 28, 2017
Working Paper Series
412 downloads

Incl. Electronic Paper Machine Learning in Individual Claims Reserving
Swiss Finance Institute Research Paper No. 16-67
Mario V. Wuthrich
RiskLab, ETH Zurich
Date Posted: November 11, 2016
Last Revised: November 23, 2016
Working Paper Series
444 downloads

Incl. Electronic Paper Intrinsic Risk Measures
Swiss Finance Institute Research Paper No. 16-65
Walter Farkas and Alexander Smirnow
University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Date Posted: November 09, 2016
Last Revised: November 18, 2016
Working Paper Series
135 downloads

Incl. Electronic Paper S&P 500 Index, an Option Implied Risk Analysis
Swiss Finance Institute Research Paper No. 16-62
Giovanni Barone-Adesi, Chiara Legnazzi and Carlo Sala
Swiss Finance Institute, Swiss Finance Institute and ESADE Business School and USI
Date Posted: November 09, 2016
Last Revised: November 12, 2016
Working Paper Series
142 downloads

Incl. Electronic Paper Exchange Traded Funds (ETFs)
Charles A. Dice Center Working Paper No. 2016-22, Fisher College of Business Working Paper No. 2016-03-022, Swiss Finance Institute Research Paper No. 16-64
Itzhak Ben-David, Francesco A. Franzoni and Rabih Moussawi
Ohio State University - Fisher College of Business, Finance Department, Università della Svizzera italiana (USI), Lugano and Villanova University - Department of Finance
Date Posted: November 08, 2016
Last Revised: November 11, 2016
Working Paper Series
1093 downloads

Incl. Electronic Paper A Simple Mechanism for Financial Bubbles: Time-Varying Momentum Horizon
Swiss Finance Institute Research Paper No. 16-61
Li Lin and Didier Sornette
East China University of Science and Technology (ECUST) and Swiss Finance Institute
Date Posted: October 21, 2016
Working Paper Series
256 downloads

Incl. Electronic Paper Dependent Defaults and Losses with Factor Copula Models
Swiss Finance Institute Research Paper No. 16-59
Damien Ackerer and Thibault Vatter
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Date Posted: October 17, 2016
Working Paper Series
108 downloads

Incl. Electronic Paper A Heterogeneous-Agent Foundation of the Representative-Agent Approach
Swiss Finance Institute Research Paper No. 16-58
Sabine Elmiger
University of Zurich
Date Posted: October 01, 2016
Working Paper Series
42 downloads

Incl. Electronic Paper Joint Lifetime Financial, Work and Health Decisions: Thrifty and Healthy Enough for the Long Run?
Swiss Finance Institute Research Paper No. 16-57
Yannis Mesquida and Pascal St-Amour
University of Lausanne and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Date Posted: September 30, 2016
Working Paper Series
49 downloads

Incl. Electronic Paper Old-Age Provision: Past, Present, Future
European Actuarial Journal, Forthcoming, Swiss Finance Institute Research Paper No. 16-55
Hansjoerg Albrecher, Paul Embrechts, Damir Filipović, Glenn W. Harrison, Pablo Koch-Medina, Stéphane Loisel, Paolo Vanini and Joël Wagner
University of Lausanne, Swiss Federal Institute of Technology Zurich, Ecole Polytechnique Fédérale de Lausanne, Georgia State University - J. Mack Robinson College of Business, University of Zurich - Department of Banking and Finance, University of Lyon 1 - Institute of Finance and Insurance Science (ISFA), University of Basel and University of Lausanne - Department of Actuarial Science (HEC Lausanne)
Date Posted: September 17, 2016
Last Revised: September 20, 2016
Working Paper Series
78 downloads

Incl. Electronic Paper A Model of Price Impact and Market Maker Latency
Swiss Finance Institute Research Paper No. 16-56
Jakub Rojcek
University of Zurich, Department of Banking and Finance
Date Posted: September 15, 2016
Last Revised: September 22, 2016
Working Paper Series
105 downloads

Incl. Electronic Paper Does Corporate Governance Matter? Evidence from the AGR Governance Rating
Swiss Finance Institute Research Paper No. 16-54
Alberto Plazzi and Walter N. Torous
USI-Lugano and Massachusetts Institute of Technology
Date Posted: September 09, 2016
Last Revised: September 21, 2016
Working Paper Series
258 downloads

Incl. Electronic Paper How Does Sovereign Bond Market Integration Relate to Fundamentals and CDS Spreads?
Swiss Finance Institute Research Paper No. 16-52
Ines Chaieb, Vihang R. Errunza and Rajna Gibson
University of Geneva and Swiss Finance Institute, McGill University - Desautels Faculty of Management and University of Geneva - Geneva Finance Research Institute (GFRI)
Date Posted: August 04, 2016
Working Paper Series
56 downloads

Incl. Electronic Paper A Diagnostic Criterion for Approximate Factor Structure
Swiss Finance Institute Research Paper No. 16-51
Patrick Gagliardini, Elisa Ossola and O. Scaillet
University of Lugano and Swiss Finance Institute, University of Lugano and University of Geneva GSEM and GFRI
Date Posted: August 03, 2016
Last Revised: December 15, 2016
Working Paper Series
63 downloads

Incl. Electronic Paper Market Integration and Global Crashes
Swiss Finance Institute Research Paper No. 16-49
Semyon Malamud and Aytek Malkhozov
Ecole Polytechnique Federale de Lausanne and Board of Governors of the Federal Reserve System
Date Posted: July 25, 2016
Working Paper Series
56 downloads

Incl. Electronic Paper Firm Response to Competitive Shocks: Evidence from China’s Minimum Wage Policy
Swiss Finance Institute Research Paper No. 16-47
Harald Hau, Yi Huang and Gewei Wang
University of Geneva - Geneva Finance Research Institute, Graduate Institute of International and Development Studies and Graduate Institute of International and Development Studies (IHEID)
Date Posted: July 22, 2016
Last Revised: October 22, 2016
Working Paper Series
103 downloads

Incl. Electronic Paper On the American Swaption in the Linear-Rational Framework
Swiss Finance Institute Research Paper No. 16-44
Damir Filipović and Yerkin Kitapbayev
Ecole Polytechnique Fédérale de Lausanne and Boston University - Questrom School of Business
Date Posted: July 08, 2016
Last Revised: July 12, 2016
Working Paper Series
46 downloads

Incl. Electronic Paper Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy
Swiss Finance Institute Research Paper No. 16-41
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, University of Geneva GSEM and GFRI and University of Geneva
Date Posted: July 06, 2016
Working Paper Series
86 downloads

Incl. Electronic Paper A False Sense of Security: Why U.S. Banks Diversify and Does it Help?
Swiss Finance Institute Research Paper No. 16-43
Priyank Gandhi, Patrick Christian Kiefer and Alberto Plazzi
Mendoza College of Business, University of Notre Dame, UCLA Anderson School of Management and USI-Lugano
Date Posted: July 02, 2016
Last Revised: July 08, 2016
Working Paper Series
94 downloads

Incl. Electronic Paper Aggregate Bank Capital and Credit Dynamics
Swiss Finance Institute Research Paper No. 16-42
Nataliya Klimenko, Sebastian Pfeil, Jean-Charles Rochet and Gianni De Nicolo
University of Zurich, University of Bonn, University of Zurich - Swiss Banking Institute (ISB) and International Monetary Fund and CESifo
Date Posted: June 30, 2016
Working Paper Series
146 downloads

Incl. Electronic Paper Quantification of the Evolution of Firm Size Distributions Due to Mergers and Acquisitions
Swiss Finance Institute Research Paper No. 16-39
Sandro Claudio Lera and Didier Sornette
ETH Zurich and Swiss Finance Institute
Date Posted: June 22, 2016
Last Revised: July 14, 2016
Working Paper Series
77 downloads

Incl. Electronic Paper Real Estate Research in Europe
Swiss Finance Institute Research Paper No. 16-40
Martin Hoesli
University of Geneva - Geneva School of Economics and Management (GSEM)
Date Posted: June 17, 2016
Working Paper Series
77 downloads

Incl. Electronic Paper Exact Smooth Term Structure Estimation
Swiss Finance Institute Research Paper No. 16-38
Damir Filipović and Sander Willems
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Date Posted: June 14, 2016
Working Paper Series
93 downloads

Incl. Electronic Paper Risk Factors of European Non-Listed Real Estate Fund Returns
Swiss Finance Institute Research Paper No. 16-37
Jean-Christophe Delfim and Martin Hoesli
University of Geneva and University of Geneva - Geneva School of Economics and Management (GSEM)
Date Posted: June 14, 2016
Working Paper Series
90 downloads

Incl. Electronic Paper Empty Creditors and Strong Shareholders: The Real Effects of Credit Risk Trading
Swiss Finance Institute Research Paper No. 16-17, Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Stefano Colonnello, Matthias Efing and Francesca Zucchi
Otto-von-Guericke Universität Magdeburg, HEC Paris - Finance Department and Federal Reserve Board
Date Posted: June 04, 2016
Last Revised: November 18, 2016
Working Paper Series
188 downloads

Incl. Electronic Paper Managing Inventory with Proportional Transaction Costs
Swiss Finance Institute Research Paper No. 16-48
Florent Gallien, Serge Kassibrakis, Semyon Malamud and Filippo Passerini
Swissquote Bank, Swissquote Bank, Ecole Polytechnique Federale de Lausanne and Swissquote Bank
Date Posted: June 03, 2016
Last Revised: July 25, 2016
Working Paper Series
83 downloads

Incl. Electronic Paper High Frequency House Price Indexes with Scarce Data
Swiss Finance Institute Research Paper No. 16-45
Steven C. Bourassa and Martin Hoesli
Florida Atlantic University and University of Geneva - Geneva School of Economics and Management (GSEM)
Date Posted: June 03, 2016
Last Revised: August 04, 2016
Working Paper Series
49 downloads

Incl. Electronic Paper Foreign Acquisition and Credit Risk: Evidence from the U.S. CDS Market
Swiss Finance Institute Research Paper No. 16-50
Umit Yilmaz
Swiss Finance Institute at the University of Lugano
Date Posted: May 28, 2016
Last Revised: January 28, 2017
Working Paper Series
102 downloads


 

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