Markus Leippold

University of Zurich

Rämistrasse 71

Zürich, CH-8006

Switzerland

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

SCHOLARLY PAPERS

93

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99,299

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366

CROSSREF CITATIONS

178

Ideas:
“  Climate Finance, Natural Language Processing, Machine Learning  ”

Scholarly Papers (93)

1.
Downloads 14,584 ( 490)
Citation 2

Non-Standard Errors

Journal of Finance Forthcoming
Number of pages: 111 Posted: 23 Nov 2021 Last Revised: 06 Jul 2023
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom L. Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Mianjun Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schuerhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Zhou Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, EMLV Business School Paris, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - McDonough School of Business, University of Mannheim, Tennessee Technological University, EM Lyon (Ecole de Management de Lyon) - Emlyon Business School, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Economics, Toulouse School of Economics, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), George Washington University, University of Hohenheim, Queen's University (Canada), Queen's School of Business, The Brattle Group, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, VU Amsterdam, University of Queensland - Business School, Georgetown University - Department of Economics, University of Wisconsin - Milwaukee - Department of Finance, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City University London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex - Essex Business School, Radboud University Nijmegen - Institute for Management Research, Ardea Investment Management, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tübingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Economics, University of California, Berkeley - Haas School of Business, West Virginia University - John Chambers College of Business and Economics, Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, Northeastern University - D'Amore-McKim School of Business, University of Orleans, VU University Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, VU University Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontificia Universidad Católica de Chile, HEC Montreal, University of Adelaide, Chemnitz University of Technology (CUT) - Department of Economics, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Independent Researcher, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, Independent, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, UNSW Australia Business School, School of Banking and Finance, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, Royal Melbourne Institute of Technolog (RMIT University) - Blockchain Innovation Hub, University of Toronto, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, University of Duisburg-Essen - Mercator School of Management, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, ESSEC Business School, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Edinburgh Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG), University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, The University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), VU Amsterdam - School of Business and Economics, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, University of New South Wales (UNSW), University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol Business School, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol - Department of Finance and Accounting, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, Vlerick Business School, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Reykjavik University, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, Columbia University, Singapore Management University - Lee Kong Chian School of Business, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, Vrije Universiteit Amsterdam (VU Amsterdam), University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS) - Monetary and Economic Department, University of Toronto at Mississauga - Department of Management, Vrije Universiteit Amsterdam, Queen's University, HEC Paris, University of Birmingham, King’s College London, Cardiff Business School, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, State University of New York (SUNY) - Buffalo, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, University of Reading - ICMA Centre, Pontificia Universidad Católica de Chile and Zhongnan University of Economics and Law - School of Finance
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Citation 4

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non-standard errors, multi-analyst approach, liquidity

War and Policy: Investor Expectations on the Net-Zero Transition

Swiss Finance Institute Research Paper No. 22-29
Number of pages: 78 Posted: 11 Apr 2022 Last Revised: 27 Jul 2023
Ming Deng, Markus Leippold, Alexander F. Wagner and Qian Wang
University of Zurich - Department of Banking and Finance, University of Zurich, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 5,413 (2,833)
Citation 34

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Climate transition risk, energy, ESG, event study, inflation, Inflation Reduction Act, resilience, regulation, REPowerEU, Russia-Ukraine war, stock returns

Stock Prices and the Russia-Ukraine War: Sanctions, Energy and ESG

CEPR Discussion Paper No. DP17207
Number of pages: 53 Posted: 27 May 2022 Last Revised: 23 Jun 2022
Ming Deng, Markus Leippold, Alexander F. Wagner and Qian Wang
University of Zurich - Department of Banking and Finance, University of Zurich, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 8 (1,079,413)
Citation 4
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Climate transition risk, Energy, ESG, Event studies, inflation, resilience, Russia-Ukraine war, Stock returns

3.

Cheap Talk and Cherry-Picking: What ClimateBert has to say on Corporate Climate Risk Disclosures

Number of pages: 21 Posted: 03 Mar 2021 Last Revised: 05 Apr 2023
Julia Bingler, Mathias Kraus and Markus Leippold
University of Oxford, University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg and University of Zurich
Downloads 5,099 (3,214)
Citation 1

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Climate-risk disclosure, voluntary reporting, TCFD recommendations, natural language processing

4.
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Citation 14

The Quantification of Operational Risk

Number of pages: 38 Posted: 30 Dec 2003
Markus Leippold and Paolo Vanini
University of Zurich and University of Basel
Downloads 4,422 (4,025)
Citation 14

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Operational Risk Management, Stochastic Systems, Diversification, Profitability

The Quantification of Operational Risk

Journal of Risk, Vol. 8, No. 1, Fall 2005
Posted: 08 Nov 2005
Paolo Vanini and Markus Leippold
University of Basel and University of Zurich

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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

5.

How Cheap Talk in Climate Disclosures relates to Climate Initiatives, Corporate Emissions, and Reputation Risk

Swiss Finance Institute Research Paper No. 22-01
Number of pages: 64 Posted: 05 Jan 2022 Last Revised: 29 Feb 2024
University of Oxford, University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg, University of Zurich and Friedrich-Alexander-Universität Erlangen-Nürnberg
Downloads 3,622 (5,724)
Citation 6

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Corporate climate disclosures, voluntary reporting, commitments, TCFD recommendations, textual analysis, natural language processing.

6.

Ask BERT: How Regulatory Disclosure of Transition and Physical Climate Risks affects the CDS Term Structure

Swiss Finance Institute Research Paper No. 21-19, Journal of Financial Econometrics, forthcoming
Number of pages: 55 Posted: 15 Jul 2020 Last Revised: 06 Jul 2022
University of St. Gallen - School of Finance, University of Zurich, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 3,240 (6,868)
Citation 4

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climate risk disclosure, CDS spreads, 10-K filings, physical risks, transition risks, BERT model.

7.

Variance Risk Dynamics, Variance Risk Premia, and Optimal Variance Swap Investments

EFA 2006 Zurich Meetings Paper
Number of pages: 60 Posted: 24 May 2006 Last Revised: 19 Nov 2007
Markus Leippold, Liuren Wu and Daniel Egloff
University of Zurich, City University of New York, CUNY Baruch College - Zicklin School of Business and QuantAlea GmbH
Downloads 2,475 (10,455)
Citation 9

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Return variance swap, equity index options, term structure

8.

Algorithms Behind Term Structure Models of Interest Rates Ii: The Hull-White Trinomial Tree of Interest Rates

Hebrew University Working Paper No. int071899
Number of pages: 17 Posted: 30 Nov 2001
Markus Leippold and Zvi Wiener
University of Zurich and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 2,413 (10,907)

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9.

Machine-Learning in the Chinese Stock Market

Number of pages: 88 Posted: 18 Feb 2021 Last Revised: 12 Jul 2021
Markus Leippold, Qian Wang and Wenyu Zhou
University of Zurich, University of Zurich - Department of Banking and Finance and affiliation not provided to SSRN
Downloads 2,277 (11,974)
Citation 1

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Chinese stock market, factor investing, machine learning, model selection

Sentiment Spin: Attacking Financial Sentiment with GPT-3

Swiss Finance Institute Research Paper No. 23-11
Number of pages: 29 Posted: 30 Jan 2023 Last Revised: 13 Apr 2023
Markus Leippold
University of Zurich
Downloads 2,141 (12,957)

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sentiment analysis in financial markets, keyword-based approach, FinBERT, GPT-3

Sentiment Spin: Attacking Financial Sentiment with Gpt-3

Number of pages: 23 Posted: 11 Mar 2023
Markus Leippold
University of Zurich
Downloads 52 (694,601)

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Sentiment analysis in financial markets, keyword-based approach, FinBERT, GPT-3

11.

A Simple Model of Credit Contagion

EFA 2004 Maastricht Meetings
Number of pages: 55 Posted: 05 Jan 2004 Last Revised: 18 Dec 2008
Markus Leippold, Daniel Egloff and Paolo Vanini
University of Zurich, QuantAlea GmbH and University of Basel
Downloads 2,169 (12,928)
Citation 20

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Credit Portfolio Risk Management, Contagion, Macroeconomic Deependencies, Microstructural Dependencies, Value-at-Risk, Expected Shortfall

12.

A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities

Univ. of Southern Switzerland Working Paper
Number of pages: 42 Posted: 08 Nov 2001
Markus Leippold, Paolo Vanini and Fabio Trojani
University of Zurich, University of Basel and University of Geneva
Downloads 2,075 (13,926)
Citation 22

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Assets and Liabilities Portfolios, Minimum-Variance Frontiers, Dynamic Programming, Markowitz Model

13.

Sustainable Finance Literacy and the Determinants of Sustainable Investing

Swiss Finance Institute Research Paper No. 22-02
Number of pages: 48 Posted: 01 Jan 2022 Last Revised: 05 Jan 2022
Massimo Filippini, Markus Leippold and Tobias Wekhof
ETH Zürich, University of Zurich and ETH Zürich - CER-ETH - Center of Economic Research at ETH Zurich
Downloads 2,002 (14,710)
Citation 10

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Sustainable finance literacy, sustainable finance products, ESG, household finance, open-ended questions, gender gap

14.

ChatClimate: Grounding Conversational AI in Climate Science

Swiss Finance Institute Research Paper No. 23-88
Number of pages: 22 Posted: 26 Apr 2023 Last Revised: 09 Oct 2023
University of Zurich, University of Zurich - Department of Banking and Finance, University of Zurich - Department of Geography, ETH Zurich, University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg, University of Oxford, University of Zurich, University of Zurich - Department of Banking and Finance, Friedrich-Alexander-Universität Erlangen-Nürnberg, University of Zurich and University of Zurich
Downloads 1,914 (15,784)

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15.

Algorithms Behind Term Structure Models of Interest Rates: I. Valuation and Hedging of Interest Rates Derivatives with the Ho-Lee Model

Number of pages: 22 Posted: 30 Nov 2001
Markus Leippold and Zvi Wiener
University of Zurich and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 1,779 (17,690)
Citation 1

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16.

From Operational Risk to Operational Excellence

Number of pages: 18 Posted: 20 Jul 2003
Paolo Vanini, Markus Leippold and Barbara Doebeli
University of Basel, University of Zurich and Swiss National Bank, International Monetary Relations
Downloads 1,750 (18,174)

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Profitability, Operational Risk Management, IT-networks, Stochastic Systems

17.

Value-at-Risk and Other Risk Measures

Number of pages: 35 Posted: 17 Mar 2015 Last Revised: 23 May 2016
Markus Leippold
University of Zurich
Downloads 1,523 (22,481)

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Value-at-Risk, Spectral Risk Measures, Markowitz optimization

18.

The Anatomy of Factor Momentum

Number of pages: 73 Posted: 06 Feb 2020 Last Revised: 18 Jun 2021
Markus Leippold and Hanlin Yang
University of Zurich and University of Zurich - Department of Banking and Finance
Downloads 1,408 (25,267)

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Factor momentum, time-series predictability, factor timing portfolio, buy-and-hold portfolio

19.

chatReport: Democratizing Sustainability Disclosure Analysis through LLM-based Tools

Swiss Finance Institute Research Paper No. 23-111
Number of pages: 32 Posted: 19 Jun 2023 Last Revised: 21 Nov 2023
ETH Zurich, University of Oxford, University of Zurich - Department of Banking and Finance, University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg, University of Zurich - Department of Banking and Finance, University of Zurich, ETH Zürich, University of Zurich, University of Zurich - Department of Banking and Finance, Friedrich-Alexander-Universität Erlangen-Nürnberg, ETH Zürich - CER-ETH - Center of Economic Research at ETH Zurich, University of Zurich - Department of Banking and Finance and University of Zurich
Downloads 1,399 (25,557)
Citation 1

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Task Force for Climate-Related Financial Disclosures, Sustainability Report, Large Language Model, ChatGPT

Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets

Swiss Finance Institute Research Paper No. 13-40
Number of pages: 75 Posted: 26 Jul 2013 Last Revised: 22 Dec 2016
Chris Bardgett, Elise Gourier and Markus Leippold
University of Zurich - Department of Banking and Finance, ESSEC Business School and University of Zurich
Downloads 1,048 (38,173)
Citation 44

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S&P 500 and VIX joint modeling, option pricing, particle

Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 69 Posted: 04 Jun 2016 Last Revised: 18 Jan 2021
Chris Bardgett, Elise Gourier and Markus Leippold
University of Zurich - Department of Banking and Finance, ESSEC Business School and University of Zurich
Downloads 251 (217,814)
Citation 27

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S&P 500 and VIX joint modeling, volatility dynamics, particle filter, variance risk premium

21.

Economic Benefit of Powerful Credit Scoring

Number of pages: 42 Posted: 31 Jan 2005
Andreas Bloechlinger and Markus Leippold
University of Applied Sciences Northwestern Switzerland and University of Zurich
Downloads 1,175 (32,966)
Citation 2

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Bank loan pricing, credit scoring, discriminatory power, Receiver Operating Characteristic (ROC)

22.

The Potential Approach to Bond and Currency Pricing

Number of pages: 37 Posted: 17 Apr 1999
Markus Leippold and Liuren Wu
University of Zurich and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,160 (33,551)

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23.

Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models

Number of pages: 34 Posted: 21 May 2003
Markus Leippold and Zvi Wiener
University of Zurich and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 1,145 (34,184)
Citation 3

Abstract:

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Short Rate Models, Trinomial Trees, Forward Measure

24.

Equilibrium Impact of Value-at-Risk Regulation

Number of pages: 64 Posted: 14 Nov 2002
Markus Leippold, Paolo Vanini and Fabio Trojani
University of Zurich, University of Basel and University of Geneva
Downloads 1,111 (35,635)
Citation 10

Abstract:

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Value-at-Risk, Stochastic Opportunity Set, Regulatory Policy, Dynamic Financial Equilibria, Perturbation Theory

25.

Let’s Get Physical: Comparing Metrics of Physical Climate Risk

Number of pages: 17 Posted: 20 Apr 2021 Last Revised: 17 Jun 2021
Linda Isabella Hain, Julian F Kölbel and Markus Leippold
University of Zurich - Department of Banking and Finance, University of St. Gallen - School of Finance and University of Zurich
Downloads 1,097 (36,307)
Citation 12

Abstract:

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Climate change, physical risk scores, disagreement, model uncertainty

26.

How Rational and Competitive is the Market for Mutual Funds?

Number of pages: 58 Posted: 06 Feb 2018 Last Revised: 06 Jun 2019
Markus Leippold and Roger Rüegg
University of Zurich and University of Zurich - Department of Banking and Finance
Downloads 1,057 (38,336)
Citation 3

Abstract:

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active investing, index investing, mutual funds, robust alpha test

27.
Downloads 1,012 (40,756)
Citation 12

Asset Pricing with Matrix Jump Diffusions

Number of pages: 57 Posted: 27 Sep 2008 Last Revised: 18 Jan 2021
Markus Leippold and Fabio Trojani
University of Zurich and University of Geneva
Downloads 766 (58,970)
Citation 8

Abstract:

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affine jump-diffusions, matrix subordinator, stochastic volatility, stochastic correlations, option pricing, portfolio choice, yield curve modeling

Asset Pricing with Matrix Jump Diffusions

Number of pages: 57 Posted: 03 Apr 2010
Markus Leippold and Fabio Trojani
University of Zurich and University of Geneva
Downloads 246 (222,138)
Citation 16

Abstract:

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Affine jump-diffusions, matrix subordinator, stochastic volatility, stochastic correlations, option pricing, portfolio choice, yield curve models

28.

Quadratic Term Structure Models

LEWU 2000
Number of pages: 54 Posted: 21 Feb 2000
Markus Leippold and Liuren Wu
University of Zurich and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 996 (41,685)
Citation 6

Abstract:

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29.

How Index Futures and ETFs Affect Stock Return Correlations

Number of pages: 53 Posted: 21 Jun 2015 Last Revised: 24 Aug 2016
Markus Leippold, Lujing Su and Alexandre Ziegler
University of Zurich, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 986 (42,293)
Citation 9

Abstract:

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Asset correlations, limits to arbitrage, ETFs, futures

30.

Fama–French Factor Timing: The Long-Only Integrated Approach

Number of pages: 50 Posted: 28 Jun 2019 Last Revised: 08 Sep 2020
Markus Leippold and Roger Rüegg
University of Zurich and University of Zurich - Department of Banking and Finance
Downloads 919 (46,589)
Citation 1

Abstract:

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Factor timing, equity style timing, integrated approach, momentum

31.

Maximum Diversification Strategies Along Commodity Risk Factors

European Financial Management, Vol. 24, Issue 1, pp. 53-78, 2018
Number of pages: 37 Posted: 08 Jul 2013 Last Revised: 12 Mar 2018
Simone Bernardi, Markus Leippold and Harald Lohre
University of Zurich - Department of Banking and Finance, University of Zurich and Robeco Quantitative Investments
Downloads 909 (47,454)
Citation 1

Abstract:

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commodity strategies, risk-based portfolio construction, risk parity, diversification

32.
Downloads 906 (47,547)
Citation 19

Data Snooping and the Global Accrual Anomaly

EFA 2007 Ljubljana Meetings Paper
Number of pages: 43 Posted: 21 Mar 2008 Last Revised: 12 Oct 2010
Markus Leippold and Harald Lohre
University of Zurich and Robeco Quantitative Investments
Downloads 906 (46,827)
Citation 19

Abstract:

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Accrual Anomaly, Market Efficiency, Multiple Hypotheses Testing, Momentum Effect

Data Snooping and the Global Accrual Anomaly

Applied Financial Economics, Vol. 22, No. 7, 2012
Posted: 18 Sep 2012
Harald Lohre and Markus Leippold
Robeco Quantitative Investments and University of Zurich

Abstract:

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accrual anomaly, market efficiency, multiple hypotheses testing, momentum effect

33.
Downloads 881 (49,451)
Citation 5

International Price and Earnings Momentum

Number of pages: 44 Posted: 17 Mar 2008 Last Revised: 17 Sep 2012
Markus Leippold and Harald Lohre
University of Zurich and Robeco Quantitative Investments
Downloads 881 (48,734)
Citation 5

Abstract:

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Earnings Momentum, Price Momentum, Market Efficiency, Multiple Hypotheses Testing, Information Uncertainty, Liquidity

International Price and Earnings Momentum

European Journal of Finance, Vol. 18, No. 5-6, 2012, pp. 535-573
Posted: 18 Sep 2012
Harald Lohre and Markus Leippold
Robeco Quantitative Investments and University of Zurich

Abstract:

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earnings momentum, price momentum, market efficiency, multiple hypothesis testing, information uncertainty, liquidity

34.

Beyond Climate: The Impact of Biodiversity, Water, and Pollution on the CDS Term Structure

EFA 2023, Swiss Finance Institute Research Paper No. 23-10, Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 23-4
Number of pages: 64 Posted: 09 Feb 2023 Last Revised: 27 Nov 2023
Smurfit Graduate Business School, University College Dublin, University of Virginia - Darden School of Business, University of Zurich and University of Zurich - Department of Banking and Finance
Downloads 862 (51,009)
Citation 1

Abstract:

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Double materiality, EU Taxonomy, infrastructure, term structure.

35.

Economic Policy Uncertainty and the Yield Curve

Swiss Finance Institute Research Paper No. 22-36, Forthcoming, Review of Finance
Number of pages: 58 Posted: 07 Oct 2015 Last Revised: 27 Apr 2022
Markus Leippold and Felix Matthys
University of Zurich and ITAM
Downloads 860 (51,166)
Citation 11

Abstract:

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Term structure, yield volatility curve, hump-shaped volatility, policy uncertainty, bond risk premia

36.
Downloads 847 (52,264)
Citation 21

Learning and Asset Prices Under Ambiguous Information

University of St.Gallen Economics Discussion Paper No. 2005-03
Number of pages: 66 Posted: 23 Sep 2004
Paolo Vanini, Markus Leippold and Fabio Trojani
University of Basel, University of Zurich and University of Geneva
Downloads 847 (51,493)
Citation 21

Abstract:

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Financial equilibria, knightian uncertainty, model misspecification, robust decision making

Learning and Asset Prices Under Ambiguous Information

The Review of Financial Studies, Vol. 21, Issue 6, pp. 2565-2597, 2008
Posted: 15 Dec 2008
Markus Leippold, Fabio Trojani and Paolo Vanini
University of Zurich, University of Geneva and University of Basel

Abstract:

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G1, G11, G12

Bridging the Gap in ESG Measurement: Using NLP to Quantify Environmental, Social, and Governance Communication

Number of pages: 11 Posted: 07 Dec 2023
University of Zurich, University of St. Gallen (HSG), University of St. Gallen (HSG), University of Oxford, University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg and University of Zurich
Downloads 752 (60,407)

Abstract:

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ESG, Natural Language Processing, Sustainability

Bridging the Gap in ESG Measurement: Using Nlp to Quantify Environmental, Social, and Governance Communication

Number of pages: 25 Posted: 30 Nov 2023
University of Zurich, affiliation not provided to SSRN, affiliation not provided to SSRN, University of Oxford, University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg and University of Zurich
Downloads 42 (762,025)

Abstract:

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ESG analysis in financial markets, Natural Language Processing, BERT Model.

38.

Optimal Credit Limit Management Under Different Information Regimes

Number of pages: 29 Posted: 12 Oct 2003
Markus Leippold, Paolo Vanini and Silvan Ebnöther
University of Zurich, University of Basel and Zurich Cantonal Bank
Downloads 787 (57,615)

Abstract:

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Credit risk management, optimal limit policy, partial information, adverse selection

39.

American Options with Stopping Time Constraints

Number of pages: 19 Posted: 12 Sep 2005
Daniel Egloff, Markus Leippold and Walter Farkas
QuantAlea GmbH, University of Zurich and University of Zurich - Department of Banking and Finance
Downloads 763 (60,159)
Citation 2

Abstract:

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American options, optimal stopping under constraints, out-performance options, management options

40.

A New Goodness-of-Fit Test for Event Forecasting and its Application to Credit Default Models

Number of pages: 49 Posted: 20 Feb 2007 Last Revised: 25 Oct 2010
Andreas Bloechlinger and Markus Leippold
University of Applied Sciences Northwestern Switzerland and University of Zurich
Downloads 737 (62,993)

Abstract:

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Out-of-Sample Validation, Probability Calibration, Hosmer-Lemeshow Statistic, Bernoulli Mixture Models, Credit Risk

41.

Optimal Importance Sampling for Credit Portfolios with Stochastic Approximation

Number of pages: 25 Posted: 07 Apr 2005
QuantAlea GmbH, University of Zurich, University of Zurich - Swiss Banking Institute (ISB) and Zurcher Kantonalbank - Corporate Risk Control
Downloads 726 (64,256)

Abstract:

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Credit risk, Monte Carlo simulation, importance sampling, stochastic approximation, Robbins-Monro

42.

Are Ratings the Worst Form of Credit Assessment Apart from All the Others?

Swiss Finance Institute Research Paper No. 12-09
Number of pages: 62 Posted: 28 Feb 2012 Last Revised: 27 Jun 2016
Andreas Bloechlinger and Markus Leippold
University of Applied Sciences Northwestern Switzerland and University of Zurich
Downloads 694 (68,073)
Citation 5

Abstract:

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credit rating agencies, distance to default, z-score, zeta-score, default prediction

43.

The Mixed vs the Integrated Approach to Style Investing: Much Ado About Nothing?

Number of pages: 43 Posted: 19 Dec 2016 Last Revised: 14 Aug 2017
Markus Leippold and Roger Rüegg
University of Zurich and University of Zurich - Department of Banking and Finance
Downloads 681 (69,761)
Citation 1

Abstract:

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factor investing, integrated and mixed approach, value, momentum, low volatility

44.

Design and Estimation of Multi-Currency Quadratic Models

Number of pages: 54 Posted: 15 Jan 2004
Markus Leippold and Liuren Wu
University of Zurich and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 635 (76,148)
Citation 11

Abstract:

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Independent currency variation, Quadratic model, Term structure, Exchange rate, Uncovered interest rate parity, Unscented Kalman Filter

45.

Subsampled Factor Models for Asset Pricing: The Rise of Vasa

Journal of Forecasting (2022)
Number of pages: 64 Posted: 14 Apr 2020 Last Revised: 23 Feb 2023
Gianluca De Nard, Simon Hediger and Markus Leippold
University of Zurich - Department of Economics, University of Zurich - Department of Economics and University of Zurich
Downloads 631 (76,744)
Citation 4

Abstract:

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Large-dimensional factor models, machine learning, return prediction, subagging, subsampling.

46.

The Green Innovation Premium

Swiss Finance Institute Research Paper No. 23-21
Number of pages: 83 Posted: 17 Mar 2023 Last Revised: 27 Jan 2024
Markus Leippold and Tingyu Yu
University of Zurich and University of Zurich - Department of Banking and Finance
Downloads 627 (77,369)
Citation 1

Abstract:

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Green invention, green adoption, cross-sectional returns, ClimateBERT, GPT-3.

47.

Design and Estimation of Quadratic Term Structure Models

ISB Working Paper No. 2002-3
Number of pages: 39 Posted: 20 Jul 2002
Markus Leippold and Liuren Wu
University of Zurich and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 622 (78,111)
Citation 19

Abstract:

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quadratic model, term structure, positive interest rates, humps, expectation hypothesis, GMM

48.

Efficient Portfolios with Endogenous Liabilities

Swiss Banking Institute Working Paper No. WP L3
Number of pages: 26 Posted: 23 Apr 2003
Markus Leippold, Paolo Vanini and Fabio Trojani
University of Zurich, University of Basel and University of Geneva
Downloads 584 (84,633)
Citation 2

Abstract:

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Assets and Liabilities, Mean-Variance Frontiers, Markowitz Model, Endogenous Liabilities, Grassmann Algebra

49.

Don't Rely on VAR

Euromoney, November 2004
Number of pages: 5 Posted: 18 Apr 2007
Markus Leippold
University of Zurich
Downloads 573 (86,667)

Abstract:

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Value at Risk, Regulation

50.

Trend Derivatives: Pricing, Hedging, and Application to Executive Stock Options

Number of pages: 44 Posted: 18 Aug 2005
Markus Leippold and Juerg M. Syz
University of Zurich and Diener Syz Real Estate
Downloads 568 (87,642)
Citation 3

Abstract:

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Time diversification, regression, trend derivatives, executive stock option plans

51.

What's Beneath the Surface? Option Pricing with Multifrequency Latent States

HEC Paris Research Paper No. 969/2013
Number of pages: 52 Posted: 07 Nov 2012 Last Revised: 17 Oct 2014
SKEMA Business School, HEC Paris - Department of Finance, University of British Columbia (UBC) - Sauder School of Business and University of Zurich
Downloads 545 (92,306)
Citation 4

Abstract:

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Markov-switching multifractal, particle filter, regime-switching, stochastic volatility, jump-risk premium, option pricing

52.

Bounding the Impact of Hazard Interdependence on Climate Risk

Swiss Finance Institute Research Paper No. 23-26
Number of pages: 49 Posted: 25 Apr 2023 Last Revised: 28 Apr 2023
Linda Isabella Hain, Julian F Kölbel and Markus Leippold
University of Zurich - Department of Banking and Finance, University of St. Gallen - School of Finance and University of Zurich
Downloads 492 (104,765)

Abstract:

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Extreme Risks, Natural Catastrophes, Climate Change, Tail Risk, Dependence Uncertainty, Infinite Mean, Physical Climate Risk, Expected Shortfall

53.

Collateral Smile

Swiss Finance Institute Research Paper No. 11-51
Number of pages: 45 Posted: 08 Nov 2011 Last Revised: 29 Sep 2014
Markus Leippold and Lujing Su
University of Zurich and University of Zurich - Department of Banking and Finance
Downloads 478 (108,378)
Citation 5

Abstract:

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collateral requirements, funding costs, volatility smile, option pricing

54.

Half as Many Cheers - the Multiplier Reviewed

Number of pages: 4 Posted: 02 Jun 2003
Paolo Vanini and Markus Leippold
University of Basel and University of Zurich
Downloads 464 (112,287)

Abstract:

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55.

Quantile Estimation with Adaptive Importance Sampling

Number of pages: 39 Posted: 25 Jul 2007 Last Revised: 03 Nov 2009
Daniel Egloff and Markus Leippold
QuantAlea GmbH and University of Zurich
Downloads 433 (121,849)
Citation 2

Abstract:

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Quantile Estimation, Adaptive Importance Sampling, Credit Risk, Stochastic Approximation

56.

Time-Changed Lévy LIBOR Market Model: Pricing and Joint Estimation of the Cap Surface and Swaption Cube

Swiss Finance Institute Research Paper No. 12-23
Number of pages: 68 Posted: 24 May 2012 Last Revised: 22 May 2013
Markus Leippold and Jacob Stromberg
University of Zurich and Swiss Finance Institute
Downloads 427 (123,861)
Citation 5

Abstract:

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LIBOR market models, time-changed Lévy process, caps volatilities, swaption cube, unscented Kalman filter

57.

The Trend is Your Friend: Absence of Pin Risk in Trend Options and Time Diversification

Number of pages: 9 Posted: 09 Sep 2005
Markus Leippold and Juerg M. Syz
University of Zurich and Diener Syz Real Estate
Downloads 424 (124,869)

Abstract:

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Time Diversification, Regression, PIN Risk

58.

The Dispersion Effect in International Stock Returns

Journal of Empirical Finance, Vol. 29, December 2014, pp. 331–342
Number of pages: 25 Posted: 01 Jun 2008 Last Revised: 28 Aug 2015
Markus Leippold and Harald Lohre
University of Zurich and Robeco Quantitative Investments
Downloads 414 (128,709)
Citation 2

Abstract:

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International Dispersion Effect, Information Uncertainty, Liquidity

59.

Stock Market Liquidity, Monetary Policy and the Business Cycle

Swiss Finance Institute Research Paper No. 22-93
Number of pages: 22 Posted: 02 Dec 2022
Markus Leippold and Vincent Wolff
University of Zurich and University of Zurich - Department of Banking and Finance
Downloads 390 (137,347)

Abstract:

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Financial Markets and the Macroeconomy, Liquidity, Monetary Policy

60.

Thus Spoke GPT-3: Interviewing a Large-Language Model on Climate Finance

Number of pages: 12 Posted: 15 Oct 2022
Markus Leippold
University of Zurich
Downloads 384 (139,755)

Abstract:

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Climate change, Natural Language Processing, Large Language Models

61.

Corporate Climate Lobbying

Swiss Finance Institute Research Paper No. 24-14, European Corporate Governance Institute – Finance Working Paper No. 960/2024
Number of pages: 75 Posted: 01 Feb 2024 Last Revised: 18 Feb 2024
Markus Leippold, Zacharias Sautner and Tingyu Yu
University of Zurich, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 372 (147,029)

Abstract:

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Corporate Lobbying, Climate Change, Stock Returns

62.

The Monetary Benefit of Tokenizing Renewable Energy

Number of pages: 27 Posted: 26 Sep 2022
Philip Berntsen and Markus Leippold
University of Zurich and University of Zurich
Downloads 365 (147,928)

Abstract:

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Impact investing, renewable energy, tokenization, security tokens, decentralized finance, infrastructure financing.

63.

ClimateBERT-NetZero: Detecting and Assessing Net Zero and Reduction Targets

Swiss Finance Institute Research Paper No. 23-110
Number of pages: 14 Posted: 08 Nov 2023 Last Revised: 20 Nov 2023
University of Zurich, University of Oxford, University of Oxford, University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg and University of Zurich
Downloads 344 (157,741)

Abstract:

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Net Zero Targets, ClimateBERT, Transformers, NLP

Second-Order Risk of Alternative Risk Parity Strategies

Journal of Risk, 2019, Vol. 21(3), pp. 1-25
Number of pages: 30 Posted: 26 Dec 2017 Last Revised: 12 Mar 2021
Simone Bernardi, Markus Leippold and Harald Lohre
University of Zurich - Department of Banking and Finance, University of Zurich and Robeco Quantitative Investments
Downloads 337 (160,112)

Abstract:

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Estimation Risk, Second-Order Risk, Portfolio Construction, Risk Parity, Diversification

Second-Order Risk of Alternative Risk Parity Strategies

Journal of Risk, Forthcoming
Number of pages: 25 Posted: 04 Feb 2019
Simone Bernardi, Markus Leippold and Harald Lohre
University of Zurich - Department of Banking and Finance, University of Zurich and Robeco Quantitative Investments
Downloads 1 (1,136,027)
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estimation risk, second-order risk, portfolio construction, risk parity, diversification

65.

Environmental Claim Detection

Number of pages: 14 Posted: 18 Sep 2022 Last Revised: 23 May 2023
ETH Zürich, Friedrich-Alexander-Universität Erlangen-Nürnberg, University of Oxford, University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg and University of Zurich
Downloads 333 (163,421)
Citation 1

Abstract:

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Environmental Claims, Climate Change Dataset, Natural Language Processing

66.

Equilibrium Implications of Delegated Asset Management Under Benchmarking

Number of pages: 50 Posted: 21 Nov 2008 Last Revised: 31 Mar 2012
Markus Leippold, Philippe Rohner and Philippe Rohner
University of Zurich and University of Zurich - Swiss Banking Institute (ISB)University of Zurich - Department of Banking and Finance
Downloads 326 (167,237)
Citation 3

Abstract:

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Portfolio Delegation, Benchmarking, General Equilibrium, Equity Risk Premia

67.

Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model

Swiss Finance Institute Research Paper No. 15-08
Number of pages: 43 Posted: 03 Mar 2015 Last Revised: 04 Mar 2015
Markus Leippold and Nikola Vasiljevic
University of Zurich and University of Zurich, Department of Banking and Finance
Downloads 319 (171,168)
Citation 8

Abstract:

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American options, early exercise premium, hyper-exponential jump-diffusion model, maturity randomization, jump-diffusion disentanglement.

68.

CLIMATEBERT: A Pretrained Language Model for Climate-Related Text

Number of pages: 9 Posted: 19 Oct 2022
Friedrich-Alexander-Universität Erlangen-Nürnberg, University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg, University of Oxford and University of Zurich
Downloads 307 (178,187)

Abstract:

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Climate Finance, Language Model, Fact-Checking, Classification

69.

Fundamental Theorem of Asset Pricing on Measurable Spaces Under Uncertainty

Number of pages: 22 Posted: 02 May 2013 Last Revised: 12 May 2013
Markus Leippold and Meriton Ibraimi
University of Zurich and University of Zurich - Swiss Banking Institute (ISB)
Downloads 300 (182,573)
Citation 1

Abstract:

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Fundamental Theorem of Asset Pricing, uncertainty, multiple priors

70.

Enhancing Large Language Models with Climate Resources

Swiss Finance Institute Research Paper No. 23-99
Number of pages: 9 Posted: 17 Apr 2023 Last Revised: 14 Nov 2023
University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg, University of Oxford, University of Zurich, University of Zurich, University of Zurich - Department of Banking and Finance, ETH Zürich, University of Zurich and Friedrich-Alexander-Universität Erlangen-Nürnberg
Downloads 259 (212,160)
Citation 3

Abstract:

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71.

Option-Implied Intra-Horizon Value-at-Risk

Number of pages: 60 Posted: 06 Jul 2016 Last Revised: 11 May 2018
Markus Leippold and Nikola Vasiljevic
University of Zurich and University of Zurich, Department of Banking and Finance
Downloads 259 (212,160)
Citation 1

Abstract:

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value at risk, intra-horizon risk, displaced mixed-exponential model, first-passage disentanglement, option-implied estimates

72.

Discrete-Time Option Pricing with Stochastic Liquidity

Swiss Finance Institute Research Paper No. 16-15
Number of pages: 46 Posted: 08 Mar 2016 Last Revised: 07 Sep 2016
Markus Leippold and Steven Schaerer
University of Zurich and University of Zurich - Department of Banking and Finance
Downloads 249 (220,609)
Citation 4

Abstract:

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Market Liquidity; Bid-Ask Spreads; Option Pricing; Stochastic Liquidity; Conic Finance

73.

A Robust Fundamental Theorem of Asset Pricing with Discrete Martingale Measures

Number of pages: 25 Posted: 09 Oct 2014 Last Revised: 19 May 2015
Meriton Ibraimi, Markus Leippold and Felix Stang
University of Zurich - Swiss Banking Institute (ISB), University of Zurich and University of Zurich - Department of Banking and Finance
Downloads 245 (224,134)

Abstract:

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Fundamental Theorem of Asset Pricing, uncertainty, multiple prior, P-arbitrage.

74.

A Remark on Lin and Chang's Paper 'Consistent Modeling of S&P 500 and VIX Derivatives'

Swiss Finance Institute Research Paper No. 11-54
Number of pages: 21 Posted: 17 Nov 2011
Jun Cheng, Meriton Ibraimi, Markus Leippold and Jin E. Zhang
Shanghai Stock Exchange, University of Zurich - Swiss Banking Institute (ISB), University of Zurich and University of Otago, Otago Business School, Department of Accountancy and Finance
Downloads 245 (224,134)

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VIX option pricing, affine jump di usion, characteristic function

75.

Strategic Technology Adoption and Hedging under Incomplete Markets

Swiss Finance Institute Research Paper No. 14-73
Number of pages: 53 Posted: 18 Oct 2014 Last Revised: 06 Jan 2015
Markus Leippold and Jacob Stromberg
University of Zurich and Swiss Finance Institute
Downloads 225 (243,403)
Citation 1

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Real Options; Incomplete Markets; Technology Adoption; Optimal Portfolio Choice; Hedging

76.

Trend and Reversal of Idiosyncratic Volatility Revisited

Critical Finance Review
Number of pages: 57 Posted: 14 Feb 2019 Last Revised: 03 Nov 2020
Markus Leippold and Michal Svaton
University of Zurich and University of Zurich - Department of Banking and Finance
Downloads 223 (245,412)

Abstract:

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Idiosyncratic Volatility, Measurement Error, Bid-Ask Bounce, Asynchronicity

77.

Exploring Nature: Datasets and Models for Analyzing Nature-Related Disclosures

Number of pages: 10 Posted: 27 Jan 2024
University of Zurich, University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance, ETH Zurich, University of Zurich - Department of Banking and Finance and University of Zurich
Downloads 221 (247,514)

Abstract:

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Nature-related risks, TNFD, Natural Language Processing, Disclosure

78.

Particle Filtering, Learning, and Smoothing for Mixed-Frequency State-Space Models

Number of pages: 39 Posted: 22 Oct 2016 Last Revised: 18 Jan 2021
Markus Leippold and Hanlin Yang
University of Zurich and University of Zurich - Department of Banking and Finance
Downloads 217 (251,811)
Citation 2

Abstract:

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Mixed-frequency, State-space Models, Particle Filtering, Particle Learning, Smoothing, Parameter Estimation, Real-time Learning, Confounded Learning

79.

Endogenous Markov Switching Regression Models for High-Frequency Data Under Microstructure Noise

Number of pages: 40 Posted: 29 May 2015 Last Revised: 31 May 2015
Markus Leippold and Felix Matthys
University of Zurich and ITAM
Downloads 206 (264,268)

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Endogeneous regime switching, microstructure noise, realized volatility, endogeneity plot.

80.

Sustainable Finance Literacy and the Determinants of Sustainable Investing

Number of pages: 58 Posted: 30 Mar 2023
Markus Leippold, Tobias Wekhof and max Filippini
University of Zurich, University of Zurich and affiliation not provided to SSRN
Downloads 180 (298,276)

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Sustainable finance literacy, sustainable finance products, ESG, household finance, open-ended questions, gender gap, natural language processing

81.

Short-run Risk, Business Cycle, and the Value Premium

Number of pages: 72 Posted: 09 Feb 2020 Last Revised: 22 Sep 2020
Yunhao He and Markus Leippold
University of Zurich and University of Zurich
Downloads 135 (378,923)

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Long-run and Short-run consumption risk, value premium, business cycle, portfolio selection, stochastic covariance

82.

Optimal Conic Execution Strategies with Stochastic Liquidity

Number of pages: 44 Posted: 27 Feb 2018 Last Revised: 02 Mar 2018
Markus Leippold and Steven Schaerer
University of Zurich and University of Zurich - Department of Banking and Finance
Downloads 115 (427,859)

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Optimal Execution; Conic Finance; Stochastic Liquidity; Dynamic Programming

83.

Political uncertainty and currency markets

Swiss Finance Institute Research Paper No. 24-13
Number of pages: 69 Posted: 05 Feb 2024
University of Zurich, ITAM, Warwick Business School Finance Group and University of Zurich - Department of Banking and Finance
Downloads 112 (439,193)

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FX option pricing; Volatility and skewness; electoral systems; political uncertainty

84.

Mixed-Frequency Predictive Regressions with Parameter Learning

Swiss Finance Institute Research Paper No. 23-39
Number of pages: 50 Posted: 27 Mar 2023 Last Revised: 08 Jun 2023
Markus Leippold and Hanlin Yang
University of Zurich and University of Zurich - Department of Banking and Finance
Downloads 108 (448,149)

Abstract:

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Mixed-frequency data, predictive regressions, stochastic volatility, consumption-wealth ratio, parameter learning, portfolio optimization

85.

Scheduling Processes and Inference of Scheduled Events From Price Data

Swiss Finance Institute Research Paper No. 24-12
Number of pages: 53 Posted: 02 Feb 2024 Last Revised: 06 Feb 2024
Markus Leippold and Michal Svaton
University of Zurich and University of Zurich - Department of Banking and Finance
Downloads 103 (463,835)

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Option pricing, scheduling processes, particle filtering, event pricing

86.

When Does Aggregating Multiple Skills with Multi-Task Learning Work? A Case Study in Financial NLP

Swiss Finance Institute Research Paper No. 23-112
Number of pages: 24 Posted: 25 May 2023 Last Revised: 21 Nov 2023
ETH Zurich, ETH Zurich, University of Zurich - Department of Banking and Finance, ETH Zurich and University of Zurich
Downloads 88 (514,241)

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Multi-Task Learning, Sentiment Analysis, Financial Datasets, FinBERT

87.

Efficacy of Non-Pharmacological Interventions Before COVID Mass Vaccination: An Open Data Study Across 185 Countries

Swiss Finance Institute Research Paper No. 23-17, 2023
Number of pages: 51 Posted: 20 Mar 2023
Smurfit Graduate Business School, University College Dublin, University of Bern - Bern University Hospital, University of Zurich, University of Sussex and China Europe International Business School (CEIBS)
Downloads 77 (557,046)

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COVID-19, Non-Pharmaceutical Interventions (NPIs), Effective Reproductive Rate

88.

Generating Fact Checking Summaries for Web Claims

EMNLP W-NUT 2020 : Conference on Empirical Methods in Natural Language Processing (EMNLP)
Number of pages: 8 Posted: 12 Dec 2020
Rahul Mishra, Dhruv Gupta and Markus Leippold
University of Stavanger, Boston Consulting Group - Boston and University of Zurich
Downloads 63 (620,506)

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89.

MuSeM: Detecting Incongruent News Headlines using Mutual Attentive Semantic Matching

IEEE 2020 International Conference on Machine Learning and Applications (ICMLA)
Number of pages: 9 Posted: 03 Dec 2020
Rahul Mishra, Piyush Yadav, Remi Calizzano and Markus Leippold
University of Stavanger, affiliation not provided to SSRN, affiliation not provided to SSRN and University of Zurich
Downloads 53 (674,383)

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90.

Automated Fact-Checking of Climate Change Claims with Large Language Models

Number of pages: 42
University of Zurich, University of Zurich, University of Zurich - Department of Geography, University of Oxford, ETH Zürich, University of Zurich - Department of Banking and Finance, ETH Zurich, ETH Zürich - CER-ETH - Center of Economic Research at ETH Zurich, University of Zurich - Department of Banking and Finance, University of Zurich, University of Zurich - Department of Banking and Finance, affiliation not provided to SSRN and University of Zurich
Downloads 44

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91.

Towards Faithful and Robust LLM Specialists for Evidence-Based Question-Answering

Number of pages: 18
University of Zurich, ETH Zurich, University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg, ETH Zürich and University of Zurich
Downloads 8

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92.

A Remark on Lin and Chang's Paper ‘Consistent Modeling of S&P 500 and Vix Derivatives’

Journal of Economic Dynamics and Control, Vol. 36, No. 5, 2012
Posted: 03 Oct 2012
Jun Cheng, Meriton Ibraimi, Markus Leippold and Jin E. Zhang
Shanghai Stock Exchange, University of Zurich - Swiss Banking Institute (ISB), University of Zurich and University of Otago, Otago Business School, Department of Accountancy and Finance

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VIX option pricing, affine jump diffusion, characteristic function

93.

Asset Pricing Under the Quadratic Class

Posted: 27 Oct 2002
Markus Leippold and Liuren Wu
University of Zurich and City University of New York, CUNY Baruch College - Zicklin School of Business

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