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| 10th Conference Zürich SWX Swiss Exchange March 30, 2007 Keynote Speech by Dr. Thomas Vock, President
of the Swiss Society for Financial Market Research |
| SESSION A | ||
| A1 Credit Risk I | ||
| Holger Kraft and Mogens Steffensen | Bankruptcy, Counterparty Risk, and Contagion | download |
| Thomas Moosbrucker | Copulas from Infinitely Divisible Distributions - Applications to Credit Value at Risk | download |
| Julia Hein | Optimization of Credit Enhancements in Collateralized Loan Obligations: The Role of Loss Allocation and Reserve Account | download |
| A2 Credit Risk II | ||
| Christina Bannier and Dennis Hänsel | Determinants of Banks' Engagement in Loan Securization | download |
| Michael Kunisch and Marliese Uhrig-Homburg | Modelling Simultaneous Defaults: A Top-Down Approach | download |
| Chulwoo Han | Conditional Value-at-Risk Optimization within an Extended CreditRisk+ Framework | download |
| A3 Credit Risk III | ||
| Rainer Jankowitsch, Kurt Hornik, Manuel Lingo, Stefan Pichler and Gerhard Winkler | Validation of Credit Rating Systems Using Multiple-Rater Information | download |
| André Güttler | Conditional Rating Transitions: The Case of S&P and Moody's | download |
| Irmhild Kuehn and Andreas Pfingsten | White Noise in Internal Ratings - The Impact on Banks' Basel II Capital Requirements | download |
| A4 Risk Management | ||
| Norman Seeger and Burkhart Mönch | Hedging Options in Illiquid Markets | download |
| Markus Leippold, Daniel Egloff and Liuren Wu | Variance Risk Dynamics, Variance Risk Premia, and Optimal Variance Swap Investments | download |
| Antje Mahayni and Nicole Branger | Tractable Hedging with Additional Hedge Instruments | download |
| SESSION B | ||
| B1 Derivatives I | ||
| Beate Breuer, Nicole Branger and Christian Schlag | Optimal Derivative Strategies with Discrete Rebalancing | download |
| Matthias Muck and Frank Guse | Jump Risk Premia Implicit in DAX Options - A Note on Implied State GMM Estimation of Stochastic Volatility Jump Diffusion Models | download |
| Max Melnikov | A Note on the Green's Function Approach to the Black-Scholes Equation | download |
| B2 Derivatives II | ||
| Mark Cummins and Bernard Murphy | Testing Alternative Affine Jump-Diffusion Models in the S&P 500 Index Options Market | download |
| Aksel Mjøs and Svein-Arne Persson | Callable Risky Perpetual Debt: Options, Pricing and Bankruptcy Implications | download |
| Christian Schlag, Nicole Branger and Beate Breuer | Discrete-Time Implementation of Continiuous-Time Portfolio Strategies | download |
| B3 Corporate Finance I | ||
| Hannes Wagner | Equity Issuances and the Scope for Market Timing | download |
| Axel Kind, Benita von Lindeiner and Andrea Vedolin | A Principal-Agent View on Dividend Taxation and Investment Efficiency | download |
| André Betzer and Daniel Metzger | Event Study and Financial Performance Studies in Merger Assessment - Substitutes or Complements? | download |
| B4 Corporate Finance II | ||
| Sudi Sudarsanam and Binsheng Qian | Catering Theory of Corporate Spinoffs: Empirical Evidence from Europe | download |
| Gunnar Grass and Philipp N. Bäcker | Wealth Transfer or Wealth Destruction: Can Contingent-Claims Analysis Explain the Conglomerate Discount | download |
| Dirk Sturz and Hans-Peter Burghof | Stock Dividends and the Free Cash Flow Hypothesis | download |
| SESSION C | ||
| C1 Empirical Finance I | ||
| Igor Pouchkarev and Thierry Post | The Cross-sectional Distribution of Portfolio Returns: Formalizing the Dartboard Portfolio Approach to Performance Evaluation | download |
| Marcel Tyrell and Baris Serifsoy | Investment Behavior of Stock Exchanges and the Rationale for Demutualization - Theory and Empirical Evidence | download |
| Mia Holmfeld and Marcus Larson | Analyzing the Impact of Jumps to Price Variation: A VAR Approach with Evidence from Sweden | download |
| C2 Empirical Finance II | ||
| Ah Boon Sim, David Colwell and Yan Liu | The Effect of Intangible Assets on Jumps in Stock Returns | download |
| Jaroslaw Morawski, Roland Füss and Heinz Rehkugler | The Nature of Listed Real Estate Companies - Property or Equity Market? | download |
| Andrea Cipollini and Guiseppe Missaglia | Dynamic Factor Analysis of Industry Sector Default Rates and Implication for Portfolio Credit Risk Modelling | download |
| C3 Market Microstructure | ||
| Stephan Kessler and Manuel Amman | Intra-Day Characteristics of Stock Price Crashes | download |
| Evangelos Giouvris and Emilios C. Galariotis | Systematic Liquidity and Excess Returns: Evidence from the London Stock Exchange | download |
| Ryosuke Wada | Stochastic Structure of Volume and Volatility in Brokered FX Market | download |
| C4 Behavioral Finance | ||
| Sylvain Marsat | Herding Behaviour and Investment Choice: An Experimental Approach | download |
| Christian Schlag, Nicole Branger and Lue Wu | Rational Laymen versus Over-Confident Experts: Who Survives in the Long Run? | download |
| Thorsten Hens and Peter Wöhrmann | Mental Accounting and the Equity Premium Puzzle | download |
| SESSION D |
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| D1 Asset Valuation I | ||
| Christian Conrad and Enno Mammen | A Specification Test for a Class of GARCH-in-Mean Models | download |
| Michael Stamos, Wolfram Horneff and Raimond Maurer | Optimal Gradual Annuitization: Quantifying the Costs of Switching to Annuities | download |
| Marian Berneburg | Excess Volatility in European Equity Style Indices - New Evidence | download |
| D2 Asset Valuation II | ||
| Andreas Schrimpf, Michael Schröder and Richard Stehle | Cross-sectional
Tests of Conditional Asset Pricing Models: Evidence from the German Stock
Market |
download |
| Yannick Malevergne and Didier Sornette |
Heavy-tail Distribution of Firms' Capitalisations, Lack of Diversification and the Pricing Anomalies | download |
| Christian Klein and Bernhard Zwergel | On the Predictive Power of Sentiment - Why Institutional Investors are Worh their Prey | download |
| D3 Asset Management I | ||
| Juerg Tobler | How Well Can Multi-manager Funds Diversify? | download |
| Peter Meier, Michael Bretscher and Andreas Ruckstuhl | Style Analysis for Funds of Hedge Funds with Lasso | download |
| Hans Sauer | Non-Local Information Effects of a Securities Portfolio by Quantum Information Logic | download |
| D4 Asset Management II | ||
| Wolfgang Breuer and Marc Gürtler | Performance Evaluation for Mutual Funds, Skewness Preferences, and Two-Fund Separation | download |
| Ralf Seiz, Manuel Amman and Axel Kind | What Drives the Performance of US Convertible Bond Funds? | download |
| Stefan Prigge | The Performance of Measures of Shareholder Influence | download |
| SESSION E | ||
| E1 Corporate Governance I | ||
| Claudio Loderer and Urs Waelchli | Protecting Minority Investors: Listed versus Unlisted Firms | download |
| Christoph Becker, Wolfgang Bessler and Daniil Wagner | The Design and Success of Stock Option Plans for New Economy Firms: Evidence from Initial Public Offerings in Germany | download |
| Stefan Rünzi and Ulf von Lilienfeld-Toal | Stock Market Returns of Firms With Managerial Ownership - A Solution to the CEO Stockholdings Puzzler | download |
| E2 Banking I | ||
| Christoph Memmel, Christian Schmieder, Ingrid Stein | Relationship Banking - Empirical Evidence for Germany | download |
| Oliver Entrop, Hendrik Scholz and Marco Wilkens | The Price-setting Behavior of Banks: An Analysis of Open-end Leverage Certificates on the German Market | download |
| Diemo Dietrich and Uwe Vollmer | Internationalization Strategies: The Role of Bank Capital Regulation | download |
| E3 Corporate Governance II | ||
| Andrea Schertler and Tereza Tykvová | Rivals or Partners? Evidence from Europe’s International Private Equity Deals | download |
| Sudi Sudarsanam and Jian Huang | Managerial Incentives and Overconfidence: Impact on Risk-taking and Acquirer Value Creation in Mergers and Acquisitions | download |
| Alexander Wagner | Board Independence as Strategic Behavior | download |
| E4 Banking II | ||
| Günseli Tümer-Alkan, Steven Ongena and Natalija v. Westernhagen | Creditor Concentration: An Empirical Investigation | download |
| Rainer Haselmann and Paul Wachtel | Institutions and Bank Behavior | download |
| Felix Schwarze | Relationship Banking and Bank Profitability | download |
| SESSION F | ||
| F1 International Finance | ||
| Michael Flad | Do Macrofactors Help Forecasting Stock Market Volatility? | download |
| Philipp Koziol and Olaf Korn | Does Prospect Theory Explain the Disposition Effect? | download |
| Jianxin Wang and Minxian Wang | Asymmetric Volatility in the Foreign Exchange Markets | download |
| F2 Finance & Economics | ||
| Marc-Gregor Czaja, Hendrik Scholz and Marco Wilkens | Interest Rate Risk of German Financial Institutions – The Impact of Level, Slope, and Curvature of the Term Structure | download |
| Maxim Ulrich | Model Uncertainty and Term Premia on Nominal Bonds | download |
| Thomas Nitschka | Consumption Growth, Uncovered Equity Parity and the Cross-section of Risk Premia on Foreign Currencies | download |
| F3 Interest Rates | ||
| Zvika Afik and Simon Benninga | A Markov Model of Expected Bond Returns | download |
| Albert Lee Chun | Expectations, Bond Yields and Monetary Policy | download |
| Carsten Sorensen | Interest Rate Uncertainty and Strategic Asset Allocation with Borrowing and Short Sales Constraints | download |
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