Peter Schwendner

Zurich University of Applied Sciences, Center for Asset Management

School of Management and Law

Technoparkstrasse 2

Winterthur, CH 8401

Switzerland

SCHOLARLY PAPERS

4

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Scholarly Papers (4)

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 911 (24,176)

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

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 11 (584,877)

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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

3.

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

4.

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