Paul Schneider

University of Lugano - Institute of Finance

Via Buffi 13

CH-6900 Lugano

Switzerland

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

SCHOLARLY PAPERS

18

DOWNLOADS
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10,018

CITATIONS
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Top 12,095

in Total Papers Citations

33

Scholarly Papers (18)

1.
Downloads 2,023 ( 5,363)

Low Risk Anomalies?

Number of pages: 68 Posted: 13 Apr 2015 Last Revised: 19 Mar 2016
Paul Schneider, Christian Wagner and Josef Zechner
University of Lugano - Institute of Finance, Copenhagen Business School and Vienna University of Economics and Business
Downloads 1,807 (6,401)

Abstract:

Low risk anomaly, skewness, credit risk, risk premia, equity options

Low Risk Anomalies?

CFS WP No. 550
Number of pages: 71 Posted: 26 Oct 2016
Paul Schneider, Christian Wagner and Josef Zechner
University of Lugano - Institute of Finance, Copenhagen Business School and Vienna University of Economics and Business
Downloads 216 (116,004)

Abstract:

Low risk anomaly, skewness, credit risk, risk premia, equity options

2.
Downloads 1,803 ( 6,559)
Citation 5

The Skew Risk Premium in the Equity Index Market

Review of Financial Studies (2013), 26, 2174-2203, AFA 2011 Denver Meetings Paper
Number of pages: 34 Posted: 18 Mar 2010 Last Revised: 04 Oct 2014
Roman Kozhan, Anthony Neuberger and Paul Schneider
University of Warwick, Warwick Business School, Cass Business School, City, University of London and University of Lugano - Institute of Finance
Downloads 1,729 (6,926)
Citation 5

Abstract:

skew risk premium, variance risk premium, index options

The Skew Risk Premium in the Equity Index Market

WBS Finance Group Research Paper
Number of pages: 34 Posted: 18 Feb 2015
Roman Kozhan, Anthony Neuberger and Paul Schneider
University of Warwick, Warwick Business School, Cass Business School, City, University of London and University of Lugano - Institute of Finance
Downloads 74 (268,861)
Citation 5

Abstract:

3.
Downloads 734 ( 26,661)
Citation 9

Properties of Foreign Exchange Risk Premiums

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 86 Posted: 24 Aug 2009 Last Revised: 27 Apr 2016
Lucio Sarno, Paul Schneider and Christian Wagner
City University London - Sir John Cass Business School, University of Lugano - Institute of Finance and Copenhagen Business School
Downloads 730 (26,438)
Citation 9

Abstract:

term structure, exchange rates, forward bias, predictability

Properties of Foreign Exchange Risk Premiums

CEPR Discussion Paper No. DP8503
Number of pages: 89 Posted: 12 Aug 2011
Lucio Sarno, Paul Schneider and Christian Wagner
City University London - Sir John Cass Business School, University of Lugano - Institute of Finance and Copenhagen Business School
Downloads 4 (545,076)
Citation 9

Abstract:

exchange rates, forward bias, predictability, term structure

4.

Fear Trading

Swiss Finance Institute Research Paper No. 15-03
Number of pages: 74 Posted: 30 Jan 2012 Last Revised: 03 Feb 2015
Paul Schneider and Fabio Trojani
University of Lugano - Institute of Finance and University of Geneva
Downloads 682 (15,972)
Citation 1

Abstract:

Skew, Variance Swap, Realized Variance, Trading Strategy, Disaster, Robust, Jumps

5.
Downloads 605 ( 34,788)
Citation 1

Generalized Risk Premia

Swiss Finance Institute Research Paper No. 14-29
Number of pages: 53 Posted: 14 Dec 2012 Last Revised: 14 Jul 2014
Paul Schneider
University of Lugano - Institute of Finance
Downloads 312 (77,867)
Citation 1

Abstract:

Predictability, pricing kernel, model risk, trading strategy, model-free, variance premium, skew premium, kurtosispremium

Generalized Risk Premia

Journal of Financial Economics (JFE), Forthcoming, Swiss Finance Institute Research Paper No. 14-29
Number of pages: 21 Posted: 27 Apr 2014 Last Revised: 08 Jan 2015
Paul Schneider
University of Lugano - Institute of Finance
Downloads 293 (83,615)
Citation 1

Abstract:

Preference trading, pricing kernel, model risk, trading strategy, model-free, variance premium, equity premium, skew premium, kurtosis premium.

6.

The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 60 Posted: 19 Mar 2008 Last Revised: 21 May 2009
Paul Schneider, Leopold Sögner and Tanja Veza
University of Lugano - Institute of Finance, Institute for Advanced Studies (IHS) and WU Vienna (Vienna University of Economics and Business)
Downloads 516 (41,082)
Citation 7

Abstract:

credit default swaps, credit risk, loss given default, stochastic intensity, jump-diffusion, Markov chain Monte Carlo estimation

7.

Density Approximations for Multivariate Affine Jump-Diffusion Processes

Swiss Finance Institute Research Paper No. 11-20
Number of pages: 42 Posted: 26 May 2011 Last Revised: 17 Mar 2013
Ecole Polytechnique Fédérale de Lausanne, University of Limerick - Department of Mathematics and Statistics and University of Lugano - Institute of Finance
Downloads 482 (38,767)
Citation 2

Abstract:

Affine Processes, Asymptotic Expansion, Density Approximation, Orthogonal Polynomials

8.

The Economic Value of Predicting Bond Risk Premia

Number of pages: 77 Posted: 15 Feb 2012 Last Revised: 27 Apr 2016
Lucio Sarno, Paul Schneider and Christian Wagner
City University London - Sir John Cass Business School, University of Lugano - Institute of Finance and Copenhagen Business School
Downloads 351 (46,198)
Citation 2

Abstract:

term structure of interest rates, expectations hypothesis, affine models, risk premia, statistical predictability, economic value

9.

The Risk Microstructure of Corporate Bonds: A Case Study from the German Corporate Bond Market

EFA 2006 Zurich Meetings
Number of pages: 45 Posted: 27 Feb 2006 Last Revised: 15 Oct 2008
Manfred Frühwirth, Paul Schneider and Leopold Sögner
Vienna University of Economics and Business, University of Lugano - Institute of Finance and Institute for Advanced Studies (IHS)
Downloads 337 (68,328)

Abstract:

Credit risk, Liquidity risk, Duffie/Singleton framework, Markov Chain Monte Carlo estimation, Density approximation

10.

Bayesian versus Maximum Likelihood Estimation of Term Structure Models Driven by Latent Diffusions

Number of pages: 9 Posted: 19 Aug 2005
Paul Schneider, Manfred Frühwirth and Leopold Sögner
University of Lugano - Institute of Finance, Vienna University of Economics and Business and Institute for Advanced Studies (IHS)
Downloads 321 (73,133)
Citation 2

Abstract:

Estimation, Markov Chain Monte Carlo, maximum likelihood, latent diffusion

11.

Empirical Asset Pricing with Nonlinear Risk Premia

Number of pages: 30 Posted: 01 Nov 2009 Last Revised: 02 Apr 2013
Aleksandar Mijatovic and Paul Schneider
Imperial College London and University of Lugano - Institute of Finance
Downloads 175 (122,510)

Abstract:

risk premia, diffusion processes, forecasting

12.

Approximations of Transition Densities for Nonlinear Multivariate Diffusions with an Application to Dynamic Term Structure Models

Number of pages: 34 Posted: 21 Mar 2006
Paul Schneider
University of Lugano - Institute of Finance
Downloads 156 (149,537)
Citation 1

Abstract:

Multivariate Nonlinear Diffusion, Estimation, MCMC

13.

Flexing the Default Barrier

Number of pages: 33 Posted: 16 Feb 2009
Gregor Dorfleitner, Paul Schneider and Tanja Veza
Universität Regensburg, University of Lugano - Institute of Finance and WU Vienna (Vienna University of Economics and Business)
Downloads 117 (189,345)
Citation 1

Abstract:

credit default swap, structural model, default boundary, the Green function, calibration

14.

(Almost) Model-Free Recovery

Number of pages: 68 Posted: 10 Aug 2015 Last Revised: 06 Jun 2016
Paul Schneider and Fabio Trojani
University of Lugano - Institute of Finance and University of Geneva
Downloads 87 (60,009)

Abstract:

Pricing Kernel, Model-Free, Projection, Risk Premia, Moments, Recovery Theorem, Trading Strategy

15.

Globally Optimal Parameter Estimates for Non-Linear Diffusions

Number of pages: 26 Posted: 19 Mar 2008 Last Revised: 14 May 2009
Aleksandar Mijatovic and Paul Schneider
Imperial College London and University of Lugano - Institute of Finance
Downloads 75 (244,847)
Citation 1

Abstract:

Maximum likelihood, global optimization, non-linear diffusion, EM algorithm, estimation

16.

The Risk Microstructure of Corporate Bonds: A Case Study from the German Corporate Bond Market

European Financial Management, Vol. 16, Issue 4, pp. 658-685, September 2010
Number of pages: 28 Posted: 24 Aug 2010
Manfred Frühwirth, Paul Schneider and Leopold Sögner
affiliation not provided to SSRN, University of Lugano - Institute of Finance and Institute for Advanced Studies (IHS)
Downloads 2 (531,350)

Abstract:

17.

Divergence and the Price of Uncertainty

Swiss Finance Institute Research Paper No. 15-60
Number of pages: 90 Posted: 25 Nov 2015
Paul Schneider and Fabio Trojani
University of Lugano - Institute of Finance and University of Geneva
Downloads 0 (91,398)
Citation 1

Abstract:

divergence, risk premia, information theory, dispersion, options

18.

An Anatomy of the Forward Equity Premium

Swiss Finance Institute Research Paper No. 15-61
Number of pages: 60 Posted: 22 Oct 2015 Last Revised: 06 Apr 2017
Paul Schneider
University of Lugano - Institute of Finance
Downloads 0 (79,804)

Abstract:

equity premium, model-free, risk aversion, skewness, signal processing