Peter Schwendner

Zurich University of Applied Sciences

Head Institute of Wealth & Asset Management

School of Management and Law

Gertrudstrasse 8

Winterthur, CH 8401

Switzerland

SCHOLARLY PAPERS

17

DOWNLOADS

3,296

SSRN CITATIONS

10

CROSSREF CITATIONS

1

Scholarly Papers (17)

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, NVIDIA GmbH, Zurich University of Applied Sciences and Halle Institute for Economic Research
Downloads 1,403 (26,645)
Citation 3

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

2.

Mitigating Digital Asset Risks

Number of pages: 54 Posted: 10 Nov 2023 Last Revised: 09 Jan 2024
National Yang Ming Chiao Tung University, Blockchain Research Center Humboldt-Universität zu Berlin, University of Twente, University of Twente, University College Dublin (UCD) - Michael Smurfit Graduate School of Business, Warsaw School of Economics (SGH) - Department of Economics I, Kaunas University of Technology, Komercijalna Banka, University of the Aegean - Department of Financial Engineering & Management - Decision & Management Engineering Laboratory, Independent, Royal Melbourne Institute of Technolog (RMIT University), University of Galway, Independent, Piraeus Bank, University Politehnica of Bucharest, Independent, Selçuk University - Department of Economics, University POLITEHNICA of Bucharest, CSEF - University of Naples Federico II, Poznań University of Economics and Business, University of Iceland, Zurich University of Applied Sciences, Independent, Independent, York St John University, Independent, Independent, Independent, Eötvös Loránd University, University of Tirana - Department of Informatics, Romanian Academy - Institute for Economic Forecasting and American University in Bulgaria
Downloads 335 (169,356)

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Digital assets, Blockchain technology, Regulatory frameworks, Decentralized finance, Non-fungible tokens

3.

The Stock and Option Market Response to Negative ESG News

International Journal of Accounting, Forthcoming
Number of pages: 17 Posted: 21 Jun 2023 Last Revised: 18 May 2024
Tomasz Orpiszewski, Mark Thompson and Peter Schwendner
Zurich University of Applied Sciences, Austrian Institute of Technology and Zurich University of Applied Sciences
Downloads 311 (185,032)
Citation 1

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ESG news, Implied Volatility, Market Reaction

4.

The Applicability of Self-Play Algorithms to Trading and Forecasting Financial Markets: A Feasibility Study

Number of pages: 15 Posted: 11 Mar 2021
University of Liechtenstein, University of Pavia - Department of Economics and Management, ZHAW School of Management and Law, University of Twente and Zurich University of Applied Sciences
Downloads 283 (202,214)
Citation 2

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artificial intelligence, self-play, machine learning, financial markets, trading

5.

Bio-Value-at-Risk: A Concept to Assessing the Implications of Biodiversity Risks on Portfolio Management using Geospatial Analysis

Number of pages: 13 Posted: 16 Apr 2024
ZHAW School of Management and Law, Zurich University of Applied Sciences, Zurich University of Applied Sciences (ZHAW) - Institute of Natural Resource Sciences and Zurich University of Applied Sciences
Downloads 280 (204,420)

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Nature risks, biodiversity loss, scenarios, bio-value-at-risk, asset-level data, geospatial data, remote sensing data, risk management, spatial finance, sustainable finance

6.

Can Adaptive Seriational Risk Parity Tame Crypto Portfolios?

Number of pages: 12 Posted: 08 Jul 2021 Last Revised: 15 Jul 2021
Jochen Papenbrock, Peter Schwendner and Philipp G. Sandner
NVIDIA GmbH, Zurich University of Applied Sciences and Frankfurt School of Finance & Management
Downloads 275 (208,216)

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Machine learning, Graph theory, Hierarchical tree clustering, Asset allocation, Cryptocurrencies

7.

Hedge Fund Returns Characterized by Correlation Regimes (Presentation Slides)

Number of pages: 22 Posted: 19 Sep 2019
Peter Schwendner
Zurich University of Applied Sciences
Downloads 149 (364,847)

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Hedge Funds, Correlation Regimes, Portfolio Management

8.

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, Zurich University of Applied Sciences, Institute of Applied Simulation and XU Exponential University
Downloads 79 (570,566)

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

9.

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
Downloads 72 (601,139)

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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, Zurich University of Applied Sciences, Institute of Applied Simulation, Zurich University of Applied Sciences, Institute of Applied Simulation and XU Exponential University
Downloads 64 (650,790)
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, Zurich University of Applied Sciences, Institute of Applied Simulation, Zurich University of Applied Sciences, Institute of Applied Simulation and XU Exponential University

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

11.

Investor Demand in Syndicated Bond Issuances: Stylised Facts

European Stability Mechanism Working Paper No. 50
Number of pages: 23 Posted: 06 Jan 2022
Martin Hillebrand, Marko Mravlak and Peter Schwendner
XU Exponential University, European Stability Mechanism and Zurich University of Applied Sciences
Downloads 45 (751,088)

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Investor demand, bond issuance, bond syndication, bond primary market, investor behaviour, order books, order book inflation, new issue premium

12.

'Adaptive Seriational Risk Parity' and other Extensions for Heuristic Portfolio Construction using Machine Learning and Graph Theory

Peter Schwendner, Jochen Papenbrock, Markus Jaeger and Stephan Krügel The Journal of Financial Data Science Fall 2021, jfds.2021.1.078; DOI: https://doi.org/10.3905/jfds.2021.1.078
Posted: 18 Mar 2021 Last Revised: 07 Oct 2021
Zurich University of Applied Sciences, NVIDIA GmbH, Munich Reinsurance Company, Financial Solutions and Munich Reinsurance Company, Financial Solutions
Downloads 0 (1,150,384)

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Hierarchical Risk Parity, portfolio allocation, hierarchical structure, seriation

13.

Interpretable Machine Learning for Diversified Portfolio Construction

Markus Jaeger, Stephan Krügel, Dimitri Marinelli, Jochen Papenbrock and Peter Schwendner. The Journal of Financial Data Science Summer 2021, jfds.2021.1.066; DOI: https://doi.org/10.3905/jfds.2021.1.066
Posted: 08 Jan 2021 Last Revised: 24 Jun 2021
Munich Reinsurance Company, Financial Solutions, Munich Reinsurance Company, Financial Solutions, Munich Reinsurance Company, Financial Solutions, NVIDIA GmbH and Zurich University of Applied Sciences

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asset allocation, portfolio construction, explainable artificial intelligence, Hierarchical Risk Parity

14.

Matrix Evolutions: Synthetic Correlations and Explainable Machine Learning for Constructing Robust Investment Portfolios

Jochen Papenbrock, Peter Schwendner, Markus Jaeger and Stephan Krügel The Journal of Financial Data Science Spring 2021, jfds.2021.1.056; DOI: https://doi.org/10.3905/jfds.2021.1.056
Posted: 02 Oct 2020 Last Revised: 05 Apr 2021
NVIDIA GmbH, Zurich University of Applied Sciences, Munich Reinsurance Company, Financial Solutions and Munich Reinsurance Company, Financial Solutions

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Asset Allocation, Portfolio Construction Explainable AI, XAI, Machine Learning, Hierarchical Risk Parity, Monte Carlo, GPU, CUDA, Scenario Analysis, Simulation, Convex Optimization, Clustering, Risk-Based Optimization

15.

Understanding Machine Learning for Diversified Portfolio Construction by Explainable AI

Markus Jaeger, Stephan Krügel, Dimitri Marinelli, Jochen Papenbrock and Peter Schwendner. Interpretable Machine Learning for Diversified Portfolio Construction. The Journal of Financial Data Science Summer 2021, jfds.2021.1.066; DOI: https://doi.org/10.3905/jfds.2021.1.066
Posted: 25 Feb 2020 Last Revised: 14 Jun 2021
Munich Reinsurance Company, Financial Solutions, Munich Reinsurance Company, Financial Solutions, Munich Reinsurance Company, Financial Solutions, NVIDIA GmbH and Zurich University of Applied Sciences

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

16.

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
NVIDIA GmbH and Zurich University of Applied Sciences

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

17.

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

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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
XU Exponential University, affiliation not provided to SSRN, European Stability Mechanism and Zurich University of Applied Sciences

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