Markus Leippold

University of Zurich - Department of Banking and Finance

Professor

Plattenstrasse 14

Zürich, 8032

Switzerland

University of Zurich - Faculty of Economics, Business Administration and Information Technology

Professor

Plattenstrasse 14

Zürich, 8032

Switzerland

SCHOLARLY PAPERS

60

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41,638

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Top 4,635

in Total Papers Citations

107

CROSSREF CITATIONS

162

Scholarly Papers (60)

The Quantification of Operational Risk

Number of pages: 38 Posted: 30 Dec 2003
Markus Leippold and Paolo Vanini
University of Zurich - Department of Banking and Finance and University of Basel
Downloads 4,000 (2,552)
Citation 13

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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 - 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

2.

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 - Department of Banking and Finance, City University of New York, CUNY Baruch College - Zicklin School of Business and QuantAlea GmbH
Downloads 2,389 (6,233)
Citation 14

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Return variance swap, equity index options, term structure

3.

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 - Department of Banking and Finance and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 2,151 (7,411)

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4.

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 - Department of Banking and Finance, QuantAlea GmbH and University of Basel
Downloads 2,080 (7,853)
Citation 14

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

5.

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 - Department of Banking and Finance, University of Basel and Swiss Finance Institute
Downloads 1,995 (8,452)
Citation 21

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

6.

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 - Department of Banking and Finance and Swiss National Bank, International Monetary Relations
Downloads 1,672 (11,234)

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

7.

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 - Department of Banking and Finance and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 1,465 (13,873)
Citation 1

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8.

The Potential Approach to Bond and Currency Pricing

Number of pages: 37 Posted: 17 Apr 1999
Markus Leippold and Liuren Wu
University of Zurich - Department of Banking and Finance and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,121 (20,795)

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9.

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 - Department of Banking and Finance and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 1,085 (21,877)
Citation 1

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Short Rate Models, Trinomial Trees, Forward Measure

10.

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 - Department of Banking and Finance
Downloads 1,077 (22,107)
Citation 2

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

11.

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 - Department of Banking and Finance, University of Basel and Swiss Finance Institute
Downloads 1,070 (22,318)
Citation 10

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

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 - Department of Banking and Finance
Downloads 903 (28,119)
Citation 16

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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: 02 Feb 2017
Chris Bardgett, Elise Gourier and Markus Leippold
University of Zurich - Department of Banking and Finance, ESSEC Business School and University of Zurich - Department of Banking and Finance
Downloads 144 (225,741)
Citation 23

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

13.

Quadratic Term Structure Models

LEWU 2000
Number of pages: 54 Posted: 21 Feb 2000
Markus Leippold and Liuren Wu
University of Zurich - Department of Banking and Finance and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 939 (26,956)
Citation 6

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Downloads 848 ( 31,230)
Citation 11

Asset Pricing with Matrix Jump Diffusions

Number of pages: 57 Posted: 27 Sep 2008 Last Revised: 02 Feb 2010
Markus Leippold and Fabio Trojani
University of Zurich - Department of Banking and Finance and Swiss Finance Institute
Downloads 672 (42,209)
Citation 6

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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 - Department of Banking and Finance and Swiss Finance Institute
Downloads 176 (190,267)
Citation 15

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

15.
Downloads 836 ( 31,829)
Citation 15

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 - Department of Banking and Finance and Invesco
Downloads 836 (31,335)
Citation 15

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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
Invesco and University of Zurich - Department of Banking and Finance

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

16.
Downloads 800 ( 33,773)
Citation 4

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 - Department of Banking and Finance and Invesco
Downloads 800 (33,269)
Citation 4

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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
Invesco and University of Zurich - Department of Banking and Finance

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

17.

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 - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 794 (34,176)
Citation 3

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

18.
Downloads 782 ( 34,848)
Citation 17

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 - Department of Banking and Finance and Swiss Finance Institute
Downloads 782 (34,327)
Citation 17

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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 - Department of Banking and Finance, Swiss Finance Institute and University of Basel

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G1, G11, G12

19.

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 - Department of Banking and Finance
Downloads 778 (35,087)

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

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 - Department of Banking and Finance and Invesco
Downloads 760 (35,689)
Citation 1

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

Maximum Diversification Strategies Along Commodity Risk Factors

European Financial Management, Vol. 24, Issue 1, pp. 53-78, 2018
Number of pages: 26 Posted: 19 Jan 2018
Simone Bernardi, Markus Leippold and Harald Lohre
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and Invesco
Downloads 3 (730,171)
Citation 4
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commodity strategies, diversification, risk‐based portfolio construction, risk parity

21.

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 - Department of Banking and Finance, University of Basel and Zurich Cantonal Bank
Downloads 720 (38,977)

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

22.

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 - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 696 (40,816)
Citation 1

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

23.

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 - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 689 (41,370)
Citation 6

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Asset correlations, limits to arbitrage, ETFs, futures

24.

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 - Department of Banking and Finance
Downloads 670 (42,981)

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

25.

Optimal Importance Sampling for Credit Portfolios with Stochastic Approximation

Number of pages: 25 Posted: 07 Apr 2005
QuantAlea GmbH, University of Zurich - Department of Banking and Finance, University of Zurich - Swiss Banking Institute (ISB) and Zurcher Kantonalbank - Corporate Risk Control
Downloads 657 (44,104)
Citation 7

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

26.

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 - Department of Banking and Finance and University of Zurich
Downloads 633 (46,503)

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Factor timing, equity style timing, integrated approach, momentum

27.

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 - Department of Banking and Finance
Downloads 622 (47,423)
Citation 5

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

28.

Design and Estimation of Multi-Currency Quadratic Models

Number of pages: 54 Posted: 15 Jan 2004
Markus Leippold and Liuren Wu
University of Zurich - Department of Banking and Finance and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 590 (50,813)
Citation 10

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

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 - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 553 (54,499)
Citation 1

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

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

European Financial Management, Vol. 24, Issue 5, pp. 829-855, 2018
Number of pages: 27 Posted: 16 Nov 2018
Markus Leippold and Roger Rüegg
University of Zurich - Department of Banking and Finance and University of Zurich
Downloads 1 (755,743)
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factor investing, integrated and mixed approach, value, momentum, low volatility

30.

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 - Department of Banking and Finance and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 553 (55,125)
Citation 14

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

31.

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 - Department of Banking and Finance, University of Basel and Swiss Finance Institute
Downloads 549 (55,649)
Citation 2

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

32.

Don't Rely on VAR

Euromoney, November 2004
Number of pages: 5 Posted: 18 Apr 2007
Markus Leippold
University of Zurich - Department of Banking and Finance
Downloads 527 (58,619)

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Value at Risk, Regulation

33.

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
EDHEC Business School - Department of Economics & Finance, HEC Paris - Department of Finance, University of British Columbia (UBC) - Sauder School of Business and University of Zurich - Department of Banking and Finance
Downloads 480 (65,847)
Citation 3

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

34.

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 - Department of Banking and Finance and Diener Syz Real Estate
Downloads 480 (65,847)
Citation 2

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

35.

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 - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 423 (76,739)
Citation 4

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collateral requirements, funding costs, volatility smile, option pricing

36.

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 - Department of Banking and Finance
Downloads 415 (78,557)

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37.
Downloads 414 ( 78,786)
Citation 4

Economic Policy Uncertainty and the Yield Curve

Number of pages: 66 Posted: 07 Oct 2015
Markus Leippold and Felix Matthys
University of Zurich - Department of Banking and Finance and ITAM
Downloads 251 (135,990)
Citation 4

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Term structure modeling, yield volatility curve, policy uncertainty, bond risk premia

Government Policy Uncertainty and the Yield Curve

Number of pages: 59 Posted: 24 Sep 2015 Last Revised: 23 Aug 2017
Markus Leippold and Felix Matthys
University of Zurich - Department of Banking and Finance and ITAM
Downloads 163 (203,411)
Citation 2

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Term structure modeling, yield volatility curve, policy uncertainty, bond risk premia

38.

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 - Department of Banking and Finance
Downloads 393 (83,572)
Citation 2

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

39.

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 - Department of Banking and Finance and Swiss Finance Institute
Downloads 375 (88,357)
Citation 4

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

40.

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 - Department of Banking and Finance and Invesco
Downloads 362 (91,991)
Citation 2

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International Dispersion Effect, Information Uncertainty, Liquidity

41.

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 - Department of Banking and Finance and Diener Syz Real Estate
Downloads 315 (107,544)

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Time Diversification, Regression, PIN Risk

42.

Equilibrium Implications of Delegated Asset Management Under Benchmarking

Number of pages: 50 Posted: 21 Nov 2008 Last Revised: 31 Mar 2012
Markus Leippold and Philippe Rohner
University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 266 (128,697)
Citation 1

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Portfolio Delegation, Benchmarking, General Equilibrium, Equity Risk Premia

43.

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 - Department of Banking and Finance and University of Zurich, Department of Banking and Finance
Downloads 265 (129,169)
Citation 7

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

44.

Does the CDS Market Reflect Regulatory Climate Risk Disclosures?

Number of pages: 66 Posted: 15 Jul 2020 Last Revised: 01 Sep 2020
University of Zurich, Department of Banking and Finance, University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 261 (132,334)

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

45.

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 - Department of Banking and Finance and University of Zurich - Swiss Banking Institute (ISB)
Downloads 254 (134,900)

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Fundamental Theorem of Asset Pricing, uncertainty, multiple priors

Second-Order Risk of Alternative Risk Parity Strategies

Number of pages: 30 Posted: 26 Dec 2017 Last Revised: 08 Feb 2019
Simone Bernardi, Markus Leippold and Harald Lohre
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and Invesco
Downloads 242 (141,090)

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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 - Department of Banking and Finance and Invesco
Downloads 1 (755,743)
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estimation risk, second-order risk, portfolio construction, risk parity, diversification

47.

Subsampled Factor Models for Asset Pricing: The Rise of Vasa

Number of pages: 62 Posted: 14 Apr 2020
Gianluca De Nard, Simon Hediger and Markus Leippold
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 205 (165,667)

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

48.

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 - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 192 (176,096)
Citation 4

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

49.

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 - Department of Banking and Finance and University of Otago, Otago Business School, Department of Accountancy and Finance
Downloads 192 (176,096)

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VIX option pricing, affine jump di usion, characteristic function

50.

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 - Department of Banking and Finance and University of Zurich, Department of Banking and Finance
Downloads 189 (178,657)

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

51.

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 - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 187 (180,362)

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

52.

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 - Department of Banking and Finance and Swiss Finance Institute
Downloads 179 (187,495)

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

53.

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 - Department of Banking and Finance and ITAM
Downloads 148 (220,251)

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

54.

Trend and Reversal of Idiosyncratic Volatility Revisited

Number of pages: 73 Posted: 14 Feb 2019 Last Revised: 23 Sep 2020
Markus Leippold and Michal Svaton
University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 79 (341,321)

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

55.

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 - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 77 (346,434)

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Optimal Execution; Conic Finance; Stochastic Liquidity; Dynamic Programming

56.

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 - Department of Banking and Finance
Downloads 68 (371,096)

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

57.

Generating Fact Checking Summaries for Web Claims

EMNLP W-NUT 2020 : Conference on Empirical Methods in Natural Language Processing (EMNLP)
Number of pages: 8
Rahul Mishra, Dhruv Gupta and Markus Leippold
University of Stavanger, affiliation not provided to SSRN and University of Zurich - Department of Banking and Finance
Downloads 23

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58.

MuSeM: Detecting Incongruent News Headlines using Mutual Attentive Semantic Matching

IEEE 2020 International Conference on Machine Learning and Applications (ICMLA)
Number of pages: 9
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 - Department of Banking and Finance
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59.

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 - Department of Banking and Finance and University of Otago, Otago Business School, Department of Accountancy and Finance

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VIX option pricing, affine jump diffusion, characteristic function

60.

Asset Pricing Under the Quadratic Class

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

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