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| 11th Conference Zürich SWX Swiss Exchange April 11, 2008 Keynote Speech by Dr. Jose Blanco, Head of Asset Allocation EMEA, UBS Global Asset Management |
| SESSION A | ||
| A1 Credit Risk I | ||
| Ashay Kadam and Peter Lenk | Bayesian Inference for Issuer Heterogeneity in Credit Ratings Migration | download |
| Peter Raupach and Andre Guettler | The Impact of Downward Rating Momentum on Credit Portfolio Risk | download |
| Ferdinand Mager and Christian Schmieder | Credit Portfolio Analysis and Stress Testing of a Real Portfolio | download |
| A2 Credit Risk II | ||
| Daniel Foos, Lars Norden and Martin Weber | Loan Growth and Riskiness of Banks | download |
| Martin Hibbeln, Marc Guertler and Clemens Voehringer | Adjusting Multi-Factor Models for Basel II-Consistent Economic Capital | download |
| Dennis Vink and Andre E. Thibeault | An Empirical Analysis of Asset-Backed Securitization | download |
| A3 Credit Risk III | ||
| Klaus Duellmann, Jonathan Küll and Michael Kunisch | Estimating Asset Correlation from Stock Prices or Default Rates - Which Method is Superior | download |
| John V. Duca | Risk and the Use of Collaterized Open Market Paper during the Great Depression | download |
| Leopold Soegner, Paul Schneider and Tanja Veza | The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk | download |
| A4 Credit Risk IV | ||
| Rainer Jankowitsch, Kurt Hornik, Manuel Lingo, Stefan Pichler and Gerhard Winkler | Determinants of Heterogeneity in European Credit Ratings | download |
| Christian Koziol | What Makes a Bank Risky? - Insights from the Optimal Capital Structure of Banks | download |
| Hannelore Brandt, Engelbert J. Dockner, Rainer Jankowitsch and Stefan Pichler | Choice of Rating Technology and Price Formation in Imperfect Credit Markets | download |
| SESSION B | ||
| B1 Empirical Finance I | ||
| Pierre Bajgrowicz and Oliver Scaillet | Technical Trading Revisited: Persistence Test, Transaction Costs and False Discoveries | download |
| Hendrik Scholz, Marco Wilkens and Martin Rohleder | Jump Survivorship Bias and Mutual Fund Performance: Relevance, Significance and Methodical Differences | download |
| Olga Kolokolova | Hedge Funds' Interlocks and Their Impact on Performance | download |
| B2 Theory of Capital Markets I | ||
| Stefano Bonini, Roberto Bianchini and Laura Zanetti | A Target Price Driven Portfolio Strategy | download |
| Wei Sun, Svetlozar Rachev, Stoyan V. Stoyanov and Frank J. Fabozzi | Multivariate Skewed Student's t Copula in Analysis of Nonlinear and Asymmetric Dependence in German Equity Markets | download |
| ;Michael Stutzer | Style Investing and the ICAPM | download |
| B3 Risk Management I | ||
| Gabrielle Wanzenried, Olaf Stotz and Karsten Döhnert | Do Fundamental Indexes Produce Higher Risk-Adjusted Returns than Market Cap Indexes? Evidence for European Stock Markets | download |
| Wei Sun, Svetlozar Rachev and Frank J. Fabozzi | Determining and Forecasting High-Frequency Value at Risk by Using Lévy Processes | download |
| Andreas Pfingsten, Rolf Boeve and Frederik Hesse | The Aggregation of Market Risk and Credit Risk Using Different Copulas: A Simulation Study for Several Risk Measures | download |
| B4 Market Microstructure | ||
| Marc van Achter | A Dynamic Limit Order Market with Diversity in Trading Horizons | download |
| Lukas Menkhoff, Carol L. Osler and Maik Schmeling | Order-Choice Dynamics under Asymmetric Information: An Empirical Analysis | download |
| Oliver Wuensche, Erik Theissen and Joachim Grammig | Time and Price Impact of a Trade: A Structural Approach | download |
| SESSION C | ||
| C1 Derivatives I | ||
| Nicole Branger and Beate Breuer | The Optimal Demand for Retail Derivatives | download |
| David Horn and Eva Schneider | Systematic Risk and Option Prices | download |
| C2 Derivatives Ii | ||
| Jos E. van Bommel and Silvia Rossetto | Endless Leverage Certificates | download |
| Eva Schneider, Nicole Branger, Christian Schlag and Norman Seeger | Using Hedging Errors to Identify Option Pricing Models | download |
| Rainer Baule and Christian Tallau | Option Prices of Growth Companies - The Explanatory Power of the Schwartz-Moon Model | download |
| C3 Commodity Markets | ||
| Marcel Prokopczuk and Raphael Paschke | Integrating Multiple Commodities in a Model of Stochastic Price Dynamics | download |
| Jens Wimschulte and Jan Marckhoff | Locational Price Spreads and the Pricing of Contracts for Difference: Evidence from the Nordic Market | download |
| Isabel Catalina Figuerola-Ferretti and Jesus Gonzalo | Modelling and Measuring Price Discovery | download |
| C4 Theory of Capital Markets II | ||
| Marc Oliver Rieger | Co-Monotonicity of Optimal Investments and the Design of Structured Financial Products | download |
| Marcel Marekwica | Portfolio Choice with Tax Loss Carry-Forward | download |
| Peter-Jan Engelen, Wojciech Grabowski and Agnieszka Kawinska | Trading Suspensions on an Emerging Market around Corporate Control Transactions | download |
| SESSION D |
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| D1 Corporate Finance I | ||
| Urs Waelchli | CEO and Board Turnover: Causes and Consequences | download |
| Markus Schmid, Daniel Hoechle and Manuel Ammann | Is There Really no Conglomerate Discount? | download |
| Robert W. Faff, Xin Chang, Wing Chun Kwok and George Wong | Financial Constraints, Mispricing and Corporate Investments | download |
| D2 Corporate Finance II | ||
| Andreas Trauten and Thomas Langer | Why the Google IPO Might Stay Exotic - An Experimental Analysis of Offering Mechanisms |
download |
| Christian Andres |
Family Ownership, Financing Constraints and Investment Decisions | download |
| Marisa Nöldeke and Christoph Jorns | Should Firms Really Be Obliged to Provide Financial Interim Reports? | download |
| D3 Empirical Finance II | ||
| Philippe Masset and Martin Wallmeier | A High-Frequency Investigation of the Interaction between Volatility Changes and DAX Returns | download |
| Sam Young Chung and Michael L. Tindall | Does Idiosyncratic Risk Matter in Hedge Fund?: Institutional Investor's View | download |
| Oliver A. Schwindler | Performance Bias from Strategic Asset Allocation: The Case of Funds of Hedge Funds | download |
| D4 Empirical Finance III | ||
| Jose da Fonseca, Martino Grasselli and Florian Ielpo | Estimating the Wishart Affine Stochastic Correlation Model Using the Empirical Characteristic Function | download |
| Enzo Rossi and Angelo Ranaldo | The Reaction of Asset Markets to Swiss National Bank Communication | download |
| He Huang, Georg Keienburg and Duane R.Stock | The Economic Value of Predicting Correlation for Asset Allocation | download |
| SESSION E | ||
| E1 Interest Rates I | ||
| Antje Mahayni and An Chen | Endowment Assurance Products-Effectiveness of Risk-Minimizing Strategies under Model Risk | download |
| Christoph Memmel | Which Interest Rate Scenario Is the Worst One for a Bank? Evidence from a Tracking Bank Approach for German Savings and Cooperative Banks | download |
| Ombretta Signori and Marie Briere | Do Inflation-Linked Bonds Still Diversify? | download |
| E2 Interest Rates II | ||
| Marco Willner | Forecasting International Yield Curves | download |
| Theofanis Archontakis | Hedging Interest Rate Risk in a Data-Rich Environment | download |
| Christian Conrad and Michael Lamla | The High-Frequency Response of the EUR-US Dollar Exchange Rate to ECB Monetary Policy Announcements | download |
| E3 Behavioral Finance I | ||
| Johannes Rieks and Sebastian Lobe | Do Price Shocks Indicate a Short-Term Overreaction on the German Capital Market? | download |
| Frank Niemeyer | An Experiment in Banking - Evidence on Lender Behavior | download |
| Andreas Walter, Kevin Aretz, Alexander Kerl and Marcel Naujoks | Do German Security Analysts Herd? | download |
| E4 Behavioral Finance II | ||
| Andreas Walter and Alexander Kerl | Never Judge a Book by Its Cover - What Security Analysts Have to Say beyond Recommendations | download |
| Christoph Gort | Overconfidence and Active Management. An Empirical Study across Swiss Pension Plans | download |
| Mei Wang, Christoph Gort and Michael Siegrist | Are Pension Fund Managers Overconfident? | download |
| SESSION F | ||
| F1 International Finance | ||
| Emanuel Kopp, Michael Huetl, Otto Loistl and Johannes Prix | Systematic Liquidity in the Xetra Order Book: A Multi-Stage Approach | download |
| Alexande Groh, Heinrich Liechtenstein and Karsten Lieser | The Attractiveness of Central Eastern European Countries for Venture Capital and Private Equity Investors | download |
| Metodij Hadzi-Vaskov and Clemens J.M. Kool | Stochastic Discount Factor Approach to International Risk Sharing: Evidence from Fixed Exchange Rate Episodes | download |
| F2 Financial Intermediation | ||
| Fabian Gleisner and Sven C. Berger | Electronic Marketplaces and Intermediation - An Empirical Investigation of an Online P2P Lending Marketplace | download |
| Barry Williams and Gulasekaran Rajaguru | The Chicken or the Egg? The Trade-Off between Bank Non Interest Income and Net Interest Margins | download |
| Michiel van Leuvensteijn and Wolter Hassink | The Importance of Income and Housing Wealth Shocks for Residential Mobility: Evidence from Prepayment Risk Premiums | download |
| F3 Asset Valuation I | ||
| Cesario Mateus and Tzu-Wei Kuo | The Performance and Persistence of Exchange-Traded Funds: Evidence for iShares MSCI Country-Specific ETFs | download |
| Rachel Berchtold, Manuel Ammann and Ralf Seiz | Do Demographic Changes Affect Pharmaceutical Companies' Returns? | download |
| Mohamed A. Ayadi and Lawrence Kryzanowski | Nonlinear Performance Measurement of Canadian Equity Mutual Funds | download |
| F4 Asset Valuation II | ||
| Karl Neumar | Optimal Management of Portfolio Transitions | download |
| Nicole Branger, Christian Schlag and Lue We | Pricing Two Trees when Trees and Investors Are Heterogeneous | download |
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