Paolo Vanini

University of Basel

Petersplatz 1

Basel, CH-4003

Switzerland

SCHOLARLY PAPERS

42

DOWNLOADS
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CITATIONS
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116

Scholarly Papers (42)

1.

Modelling Operational Risk

Journal of Risk, Vol. 5, No. 3, pp. 1-16, 2003
Number of pages: 23 Posted: 11 Dec 2001 Last Revised: 06 Jan 2010
Zurich Cantonal Bank, University of Basel, ETH Zürich - Department of Mathematics and Zurich Cantonal Bank
Downloads 4,948 (971)
Citation 3

Abstract:

Operational Risk, Risk Management, Extreme Value Theory, VaR

2.
Downloads 3,665 ( 1,765)
Citation 10

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 3,665 (1,729)
Citation 10

Abstract:

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

Abstract:

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

3.
Downloads 2,213 ( 4,299)
Citation 2

Operational Risk: A Practitioner's View

Journal of Risk, Vol. 5, No. 3, pp. 1-16, 2003
Number of pages: 15 Posted: 18 Nov 2002 Last Revised: 15 Feb 2011
University of Basel, Zurich Cantonal Bank, Zurich Cantonal Bank and ETH Zürich - Department of Mathematics
Downloads 2,213 (4,200)
Citation 2

Abstract:

Operational Risk, Risk Management, VaR

Operational Risk: A Practitioner's View

Journal of Risk, Vol. 5, No. 3, Spring 2003
Posted: 18 Jun 2003
University of Basel, Zurich Cantonal Bank, Zurich Cantonal Bank and ETH Zürich - Department of Mathematics

Abstract:

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 1,944 (5,097)
Citation 15

Abstract:

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 University of Geneva
Downloads 1,803 (5,669)
Citation 13

Abstract:

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 1,570 (7,416)
Citation 2

Abstract:

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

7.

Equilibrium Impact of Value-at-Risk Regulation

EFA 2002 Berlin Meetings Discussion Paper
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 University of Geneva
Downloads 1,012 (14,994)
Citation 17

Abstract:

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

8.
Downloads 740 ( 24,935)
Citation 18

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 University of Geneva
Downloads 740 (24,538)
Citation 18

Abstract:

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, University of Geneva and University of Basel

Abstract:

G1, G11, G12

9.

Stated and Revealed Investment Decisions Concerning Structured Products

Journal of Banking and Finance, Forthcoming
Number of pages: 26 Posted: 11 Jun 2007 Last Revised: 05 Jan 2010
Barbara Doebeli and Paolo Vanini
Swiss National Bank, International Monetary Relations and University of Basel
Downloads 735 (24,524)
Citation 3

Abstract:

Field Experiment, Behavioral Finance, Structured Products, Revealed Preferences, Stated Preferences

10.

Stochastic Volatility I: Heston Model: Analytics

Number of pages: 59 Posted: 28 Mar 2010 Last Revised: 21 Dec 2013
Paolo Vanini and Miret Padovani
University of Basel and Vienna University of Economics and Business
Downloads 689 (25,974)

Abstract:

Stochastic Volatility, Heston Model, Fourier Theory, Complex Analysis, Pricing Equations, Generalized Functions

11.

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 660 (27,879)
Citation 1

Abstract:

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

Property Derivatives and Index-Linked Mortgages

Number of pages: 18 Posted: 06 Sep 2006
Paolo Vanini, Juerg M. Syz and Marco Salvi
University of Basel, Diener Syz Real Estate and Cantonal Bank of Zurich
Downloads 633 (30,512)

Abstract:

House Price Risk, Mortgage Default Risk, Rent or Buy, Hedonic Index

Property Derivatives and Index-Linked Mortgages

Journal of Real Estate Finance and Economics, Vol. 36, No. 1, 2008
Posted: 11 Sep 2007
Juerg M. Syz, Paolo Vanini and Marco Salvi
Diener Syz Real Estate, University of Basel and Cantonal Bank of Zurich

Abstract:

house price risk, mortgage default risk, rent or buy, hedonic index

13.

Credit Migration Risk Modelling

Journal of Credit Risk
Number of pages: 32 Posted: 29 Sep 2008 Last Revised: 05 Jan 2010
Andreas Andersson and Paolo Vanini
Zurich Cantonal Bank and University of Basel
Downloads 627 (28,469)
Citation 2

Abstract:

Credit Migration Risk, Point-In-Time, Migration Matrix, Regime Shifting Markov Mixture Model, Credit Dreivatives

14.

Banking Transformation

Number of pages: 507 Posted: 21 Feb 2013 Last Revised: 29 Mar 2015
Paolo Vanini and Shadie Broumandi
University of Basel and Masaryk University
Downloads 626 (27,182)

Abstract:

Asset Pricing, Collateralized Derivatives, Time Value of Money, Basel III, Systemic Risk, FATCA, Dodd-Frank, Innovation, Complete and Incomplete Markets, Uncertainty, Complexity, Technology

15.

An Analysis of Imf-Induced Moral Hazard

Journal of Banking and Finance, Vol. 28, No. 12, 2004
Number of pages: 33 Posted: 01 Apr 2002 Last Revised: 09 Apr 2014
Barbara Doebeli and Paolo Vanini
Swiss National Bank, International Monetary Relations and University of Basel
Downloads 558 (36,227)

Abstract:

IMF lending, sequential moral hazard model

16.

Perturbative Solutions of Hamilton Jacobi Bellman Equations in Robust Decision Making

Number of pages: 28 Posted: 26 May 2002
Paolo Vanini and Fabio Trojani
University of Basel and University of Geneva
Downloads 555 (36,412)
Citation 4

Abstract:

Hamilton-Jacobi Bellman Equations, Model Misspecification, Perturbation Theory, Robust Decision Making

17.

Stochastic Volatility II: Variance Gamma Model: Analysis and Implementation

Number of pages: 25 Posted: 03 Apr 2010 Last Revised: 21 Dec 2013
Thomas Domenig and Paolo Vanini
Zurcher Kantonalbank and University of Basel
Downloads 513 (37,935)

Abstract:

Levy processes, Stochastic Volatility, Fourier Theory, Fast Fourier Analysis, Error Bounds, Time Change, Variance Gamma Model, Option Pricing

Optimal Decision-Making with Time Diversification

Number of pages: 31 Posted: 18 Jan 2002
Paolo Vanini and Luigi Vignola
University of Basel and Deutsche Bank, Zurich Branch
Downloads 506 (41,074)

Abstract:

Cross-Sectional Risk, Intertemporal Risk-Smoothing, Risk-Sharing, Time Diversification and Incomplete Financial Markets

Optimal Decision-Making with Time Diversification

European Finance Review, 2002
Posted: 04 Mar 2002
Paolo Vanini and Luigi Vignola
University of Basel and Deutsche Bank, Zurich Branch

Abstract:

Cross-Sectional Risk, Intertemporal Risk-Smoothing, Risk-Sharing, Time Diversification and Incomplete Financial Markets

19.

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 University of Geneva
Downloads 500 (39,621)
Citation 1

Abstract:

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

20.

A Note on the Three-Portfolio Matching Problem

EFMA 2001 Lugano Meetings
Number of pages: 14 Posted: 02 Apr 2001
Paolo Vanini, Fabio Trojani and Luigi Vignola
University of Basel, University of Geneva and Deutsche Bank, Zurich Branch
Downloads 494 (41,402)

Abstract:

Transaction Costs, Portfolio Matching, Portfolio Selection

21.

Risk, Robustness and Knightian Uncertainty in Continuous-Time, Heterogenous Agents, Financial Equilibria

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 59 Posted: 06 Dec 2001
Paolo Vanini and Fabio Trojani
University of Basel and University of Geneva
Downloads 483 (42,953)
Citation 1

Abstract:

Financial Equilibria, Knightian Uncertainty, Model Misspecification, Perturbation Theory, Robust Decision Making

22.

Loan Pricing: Thinking Collateral

Number of pages: 35 Posted: 07 Mar 2007 Last Revised: 22 Apr 2009
Aydin Akguen and Paolo Vanini
Zürcher Kantonalbank (ZKB) and University of Basel
Downloads 475 (43,471)

Abstract:

Loan Pricing, Stochastic Collateral, Credit Risk, Earnings Management

23.

Stochastic Volatility III: Volatility Models and Volatility Surfaces

Number of pages: 31 Posted: 04 Jun 2010
Paolo Vanini
University of Basel
Downloads 405 (52,839)

Abstract:

Implied Volatility, Stochastic Volatility, Local Volatility, Volatility Statics, Mixing Theorem, Asymptotic Expansions, Option Pricing

24.

Robustness and Ambiguity Aversion in General Equilibrium

Number of pages: 52 Posted: 05 Apr 2004
Fabio Trojani and Paolo Vanini
University of Geneva and University of Basel
Downloads 404 (52,533)
Citation 13

Abstract:

Ambiguity, Financial Equilibria, Knightian Uncertainty, Model Misspecification, Perturbation Theory, Robust Decision Making

25.

Joint Interest Rate Risk Management of Balance Sheet and Hedge Portfolio

Number of pages: 38 Posted: 17 May 2006
Paolo Vanini and Simone Farinelli
University of Basel and Core Dynamics GmbH
Downloads 379 (57,954)

Abstract:

Balance and Off Balance Sheet Analysis, Interest Rate Risk, Dynamic Mean Variance Optimization

26.

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 376 (57,451)
Citation 4

Abstract:

27.

Credit Portfolios: What Defines Risk Horizons and Risk Measurement?*

Journal of Banking and Finance, Forthcoming
Number of pages: 19 Posted: 02 Nov 2005 Last Revised: 05 Jan 2010
Silvan Ebnöther and Paolo Vanini
Zurich Cantonal Bank and University of Basel
Downloads 369 (59,762)
Citation 2

Abstract:

Credit risk management, portfolio management, risk measurement, coherence, VaR, expected shortfall, factor model

28.

Dividend Risk

Number of pages: 35 Posted: 29 Jul 2008
Stefan Kruchen and Paolo Vanini
Zurich Cantonal Bank and University of Basel
Downloads 346 (62,959)

Abstract:

Dividend Risk, Option Pricing, Forecasting

29.
Downloads 292 ( 80,382)
Citation 1

Arbitrage Free Price Bounds for Property Derivatives

Journal of Real Estate Finance and Economics, Forthcoming
Number of pages: 18 Posted: 29 Dec 2008 Last Revised: 01 Jan 2010
Juerg M. Syz and Paolo Vanini
Diener Syz Real Estate and University of Basel
Downloads 292 (79,901)
Citation 1

Abstract:

Property derivatives, Property spread, Arbitrage free price bounds, Market frictions, Halifax House Price Index

Arbitrage Free Price Bounds for Property Derivatives

Journal of Real Estate Finance and Economics, Vol. 43, No. 3, 2011
Posted: 27 Jul 2011
Juerg M. Syz and Paolo Vanini
Diener Syz Real Estate and University of Basel

Abstract:

Property Derivatives, Property Spread, Arbitrage Free Price Bounds, Market Frictions, Halifax House Price Index

30.

On Habits and Addictions

Journal of Institutional and Theoretical Economics, Vol. 159, p. 135, December 2003
Number of pages: 38 Posted: 29 Jan 2003 Last Revised: 06 Jan 2010
Paolo Vanini and Norman Braun
University of Basel and University Munich - Department of Sociology (Deceased)
Downloads 205 (112,685)
Citation 1

Abstract:

Addictions, Habits, Endogenous Time Preferences

31.

Taxation Based on Social Norms: An Axiomatic Approach

U of Southern Switzerland Working Paper No. 2002
Number of pages: 11 Posted: 15 Oct 2002
Paolo Vanini and Norbert Hungerbühler
University of Basel and ETH Zurich - Department of Mathematics
Downloads 187 (123,216)

Abstract:

Taxation, Axiomatic Tax Law, Incentive Compatability

32.

Joint Interest Rate Risk Management of Balance Sheet and Hedge Portfolio in a Present Value Perspective

Number of pages: 37 Posted: 13 May 2008
Simone Farinelli and Paolo Vanini
Core Dynamics GmbH and University of Basel
Downloads 176 (133,629)

Abstract:

Balance and Off Balance Sheet, Analysis, Interest Rate Risk, Dynamic Mean Variance Optimization

33.

Pricing Credit Risk in Buyer-Supplier Networks

Number of pages: 50 Posted: 25 Mar 2008 Last Revised: 15 May 2008
Gorazd Brumen and Paolo Vanini
University of Zurich - Swiss Banking Institute (ISB) and University of Basel
Downloads 155 (139,234)
Citation 2

Abstract:

Asset pricing, network dependence models, contagion, buyer-supplier networks, credit risk.

34.

Structured Products: Performance, Costs and Investments

Number of pages: 40 Posted: 20 Jun 2015 Last Revised: 18 Jul 2016
Dietmar Maringer, Walter Pohl and Paolo Vanini
University of Basel, University of Zurich and University of Basel
Downloads 139 (113,225)

Abstract:

Structured Products, Costs, Performance, Investor Behaviour, Event Driven Investments

35.

An Intergenerational Cross-Country Swap

Swiss Finance Institute Research Paper No. 09-17
Number of pages: 35 Posted: 22 Apr 2009 Last Revised: 16 Apr 2010
Miret Padovani and Paolo Vanini
Vienna University of Economics and Business and University of Basel
Downloads 122 (172,569)

Abstract:

Financial innovation, longevity risk, population ageing, old-age dependency ratio, growth risk, exponential-utility-based pricing, intergenerational risk-sharing, international risk-sharing

36.
Downloads 96 (215,401)

Staying on the Dole

Number of pages: 30 Posted: 21 Nov 2006 Last Revised: 18 Jan 2008
Paolo Vanini, Holger Strulik and Jean-Robert Tyran
University of Basel, University of Goettingen (Gottingen) - School of Law, Economics, Social Sciences and University of Vienna
Downloads 82 (240,198)

Abstract:

Unemployment, Skill Degradation, Retraining, Unemployment Benefits, Welfare Assistance, Present-Biased Preferences

Staying on the Dole

CEPR Discussion Paper No. 5967
Number of pages: 29 Posted: 05 Jan 2007
Holger Strulik, Paolo Vanini and Jean-Robert Tyran
University of Goettingen (Gottingen) - School of Law, Economics, Social Sciences, University of Basel and University of Vienna
Downloads 14 (468,789)

Abstract:

Unemployment, skill degradation, retraining, unemployment benefits, welfare assistance, present-biased preferences

37.

Aircraft Noise Derivatives

Number of pages: 35 Posted: 21 Apr 2009 Last Revised: 15 Feb 2011
Curdin Dalbert and Paolo Vanini
Zurcher Kantonalbank - Corporate Risk Control and University of Basel
Downloads 89 (213,891)
Citation 1

Abstract:

Real Options, Noise Derivatives, Aircraft, Pricing, Equilibrium Pricing

38.

Pricing of Derivatives with Stochastically Correlated Underlyings

Number of pages: 23 Posted: 28 Jul 2013 Last Revised: 04 Nov 2014
Matthias Büchler and Paolo Vanini
Zurcher Kantonalbank and University of Basel
Downloads 55 (259,149)

Abstract:

Multi Asset Classes Derivatives; Wishart Process; Semi Analytical Pricing; Fast Fourier Transform and Laplace Theory Transform, Laplace Theory

39.

A Note on the Three-Portfolios Matching Problem

European Financial Management, Vol. 8, pp. 515-527, 2002
Number of pages: 13 Posted: 13 Feb 2003
Fabio Trojani, Paolo Vanini and Luigi Vignola
University of Geneva, University of Basel and Deutsche Bank, Zurich Branch
Downloads 21 (415,553)

Abstract:

40.

Old-Age Provision: Past, Present, Future

European Actuarial Journal, Forthcoming, Swiss Finance Institute Research Paper No. 16-55
Number of pages: 22 Posted: 17 Sep 2016 Last Revised: 20 Sep 2016
University of Lausanne, Swiss Federal Institute of Technology Zurich, Ecole Polytechnique Fédérale de Lausanne, Georgia State University - J. Mack Robinson College of Business, University of Zurich - Department of Banking and Finance, University of Lyon 1 - Institute of Finance and Insurance Science (ISFA), University of Basel and University of Lausanne - Department of Actuarial Science (HEC Lausanne)
Downloads 0 (261,278)

Abstract:

Pension funding gap, Demographic and societal challenges, Valuation of pension liabilities, Economic and regulatory capital models, Role of financial markets

41.

A Note on Robustness in Merton's Model of Intertemporal Consumption and Portfolio Choice

Journal of Economic Dynamics and Control, Vol. 26, No. 3, pp 423-435, March 2002
Posted: 12 May 2003
Paolo Vanini and Fabio Trojani
University of Basel and University of Geneva

Abstract:

Merton's model, Knightian uncertainty, Model contamination, Model misspecification, Robust decision-making

42.

Asset Management

Number of pages: 432 Posted: 02 Jan 2016
Paolo Vanini
University of Basel
Downloads 870

Abstract:

Asset management methods, growth of wealth, portfolio construction, factor investing, asset pricing, FinTech, big data, demographics, pension system