Peter Schwendner

Zurich University of Applied Sciences, Center for Asset Management

School of Management and Law

Technoparkstrasse 2

Winterthur, CH 8401

Switzerland

SCHOLARLY PAPERS

8

DOWNLOADS

2,077

SSRN CITATIONS

3

CROSSREF CITATIONS

0

Scholarly Papers (8)

1.

Tail-Risk Protection Trading Strategies

Number of pages: 25 Posted: 11 Dec 2015 Last Revised: 31 Jul 2018
Berlin School of Economics and Law, Firamis, Zurich University of Applied Sciences, Center for Asset Management and Goethe University Frankfurt - Department of Finance
Downloads 1,021 (22,755)
Citation 1

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tail-risk protection, portfolio protection, extreme events, tail distributions, trading strategies

2.

Understanding Machine Learning for Diversified Portfolio Construction by Explainable AI

Number of pages: 19 Posted: 25 Feb 2020
Munich Reinsurance Company, Financial Solutions, Munich Reinsurance Company, Financial Solutions, Firamis, Firamis and Zurich University of Applied Sciences, Center for Asset Management
Downloads 900 (27,336)

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Asset Allocation, explainable AI, XAI, Machine Learning, HRP, Risk Parity

3.

Hedge Fund Returns Characterized by Correlation Regimes (Presentation Slides)

Number of pages: 22 Posted: 19 Sep 2019
Peter Schwendner
Zurich University of Applied Sciences, Center for Asset Management
Downloads 63 (374,188)

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Hedge Funds, Correlation Regimes, Portfolio Management

4.

Sentiment Analysis of European Bonds 2016–2018

Frontiers in Artificial Intelligence 2:20, 2019
Number of pages: 15 Posted: 07 Sep 2019 Last Revised: 21 Oct 2019
Peter Schwendner, Martin Schüle and Martin Hillebrand
Zurich University of Applied Sciences, Center for Asset Management, Zurich University of Applied Sciences, Institute of Applied Simulation and Frankfurt University of Applied Sciences
Downloads 48 (420,872)

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sovereign bonds, contagion, sentiment, European sovereign bond crisis, correlation

5.

Wie Eurobonds Sinn machen könnten (How Eurobonds Could Make Sense)

Number of pages: 10 Posted: 07 Jun 2019
Peter Schwendner
Zurich University of Applied Sciences, Center for Asset Management
Downloads 29 (508,608)

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Eurobonds, Europäische Union, European Union

European Government Bond Dynamics and Stability Policies: Taming Contagion Risks

European Stability Mechanism Working Paper No. 8
Number of pages: 25 Posted: 20 Mar 2018
Zurich University of Applied Sciences, Center for Asset Management, Zurich University of Applied Sciences, Institute of Applied Simulation, Zurich University of Applied Sciences, Institute of Applied Simulation and Frankfurt University of Applied Sciences
Downloads 16 (602,669)
Citation 2

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Contagion Risk, Correlation Networks, Euro Area, Sovereign Bonds, European Stability Mechanism, Financial Stability

European Government Bond Dynamics and Stability Policies: Taming Contagion Risks

Journal of Network Theory in Finance 1 (4), 2015, European Stability Mechanism Research Paper No. 8
Posted: 04 May 2015 Last Revised: 19 Apr 2017
Zurich University of Applied Sciences, Center for Asset Management, Zurich University of Applied Sciences, Institute of Applied Simulation, Zurich University of Applied Sciences, Institute of Applied Simulation and Frankfurt University of Applied Sciences

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Contagion risk; correlation networks, euro area, sovereign bonds, European Stability Mechanism, financial stability

7.

Handling Risk On/Risk Off Dynamics with Correlation Regimes and Correlation Networks

Financial Markets and Portfolio Management, 29, 2. 125-147, 2015
Posted: 21 Apr 2013 Last Revised: 01 May 2015
Jochen Papenbrock and Peter Schwendner
Firamis and Zurich University of Applied Sciences, Center for Asset Management

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regime switching, correlation regimes, clustering, correlation networks, risk management, portfolio construction, asset allocation

8.

Better than its Reputation: An Empirical Hedging Analysis of the Local Volatility Model for Barrier Options

Journal of Risk, Vol. 12, No. 1, pp. 53-77, 2009
Posted: 09 Oct 2006 Last Revised: 10 Mar 2011
Bernd Engelmann, Matthias R. Fengler and Peter Schwendner
Ho Chi Minh City Open University, University of St. Gallen - School of Economics and Political Science and Zurich University of Applied Sciences, Center for Asset Management

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Local Volatility Model, Barrier Options, Implied Volatility Smile, Empirical Hedging Analysis

Other Papers (1)

Total Downloads: 0
1.

Predicting Investor Behaviour in European Bonds Markets - A Machine Learning Approach (Presentation Slides)

Posted: 25 Oct 2019
Frankfurt University of Applied Sciences, affiliation not provided to SSRN, European Stability Mechanism and Zurich University of Applied Sciences, Center for Asset Management

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Bond markets, Investor behaviour, Order books, European Stability Mechanism, Market access