Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

From Swiss Finance Institute
Contact information at EDIRC.
Bibliographic data for series maintained by Ridima Mittal ().

Access Statistics for this working paper series.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

16-69: Wealth and Income Inequalities ← → r > g

Yannick Malevergne and Didier Sornette

16-68: Data Analytics for Non-Life Insurance Pricing

Mario V. Wuthrich and Christoph Buser

16-67: Machine Learning in Individual Claims Reserving

Mario V. Wuthrich

16-66: Collateral, Central Bank Repos, and Systemic Arbitrage

Falko Fecht, Kjell Nyborg, Jörg Rocholl and Jiri Woschitz

16-65: Intrinsic Risk Measures

Walter Farkas and Alexander Smirnow

16-64: Exchange Traded Funds (ETFs)

Itzhak Ben-David, Francesco A. Franzoni and Rabih Moussawi

16-63: The Relevance of Broker Networks for Information Diffusion in the Stock Market

Marco Di Maggio, Francesco A. Franzoni, Amir Kermani and Carlo Sommavilla

16-62: S&P 500 Index, an Option Implied Risk Analysis

Giovanni Barone-Adesi, Chiara Legnazzi and Carlo Sala

16-61: A Simple Mechanism for Financial Bubbles: Time-Varying Momentum Horizon

Li Lin and Didier Sornette

16-60: Sticky Expectations and the Profitability Anomaly

Jean-Philippe Bouchaud, Philipp Krueger, Augustin Landier and David Thesmar

16-59: Dependent Defaults and Losses with Factor Copula Models

Damien Ackerer and Thibault Vatter

16-58: A Heterogeneous-Agent Foundation of the Representative-Agent Approach

Sabine Elmiger

16-57: Joint Lifetime Financial, Work and Health Decisions: Thrifty and Healthy Enough for the Long Run?

Yannis Mesquida and Pascal St-Amour

16-56: A Model of Price Impact and Market Maker Latency

Jakub Rojcek

16-55: Old-Age Provision: Past, Present, Future

Hansjoerg Albrecher, Paul Embrechts, Damir Filipović, Glenn Harrison, Pablo Koch-Medina, Stéphane Loisel, Paolo Vanini and Joël Wagner

16-54: Does Corporate Governance Matter? Evidence from the AGR Governance Rating

Alberto Plazzi and Walter N. Torous

16-53: WTI Crude Oil Option-Implied VaR and CVaR: An Empirical Application

Giovanni Barone-Adesi, Chiara Legnazzi and Carlo Sala

16-52: How Does Sovereign Bond Market Integration Relate to Fundamentals and CDS Spreads?

Ines Chaieb, Vihang R. Errunza and Rajna Gibson

16-51: A Diagnostic Criterion for Approximate Factor Structure

Patrick Gagliardini, Elisa Ossola and Olivier Scaillet

16-50: Foreign Acquisition and Credit Risk: Evidence from the U.S. CDS Market

Umit Yilmaz

16-49: Market Integration and Global Crashes

Semyon Malamud and Aytek Malkhozov

16-48: Managing Inventory with Proportional Transaction Costs

Florent Gallien, Serge Kassibrakis, Semyon Malamud and Filippo Passerini

16-47: Firm Response to Competitive Shocks: Evidence from China’s Minimum Wage Policy

Harald Hau, Yi Huang and Gewei Wang

16-46: Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models Using MIDAS Regressions and ARCH Models

Patrick Gagliardini, Eric Ghysels and Mirco Rubin

16-45: High Frequency House Price Indexes with Scarce Data

Steven Bourassa and Martin Hoesli

16-44: On the American Swaption in the Linear-Rational Framework

Damir Filipovic and Yerkin Kitapbayev

16-43: A False Sense of Security: Why U.S. Banks Diversify and Does it Help?

Priyank Gandhi, Patrick Christian Kiefer and Alberto Plazzi

16-42: Aggregate Bank Capital and Credit Dynamics

Nataliya Klimenko, Sebastian Pfeil, Jean Rochet and Gianni De Nicolo

16-41: Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy

Lorenzo Camponovo, Olivier Scaillet and Fabio Trojani

16-40: Real Estate Research in Europe

Martin Hoesli

16-39: Quantification of the Evolution of Firm Size Distributions Due to Mergers and Acquisitions

Sandro Claudio Lera and Didier Sornette

16-38: Exact Smooth Term Structure Estimation

Damir Filipović and Sander Willems

16-37: Risk Factors of European Non-Listed Real Estate Fund Returns

Jean-Christophe Delfim and Martin Hoesli

16-36: The Choice of Valuation Techniques in Practice: Education versus Profession

Lilia Mukhlynina and Kjell Nyborg

16-35: The Jacobi Stochastic Volatility Model

Damien Ackerer, Damir Filipović and Sergio Pulido

16-34: Linear Credit Risk Models

Damien Ackerer and Damir Filipović

16-33: The Impact of Merger Legislation on Bank Mergers

Elena Carletti, Steven Ongena, Jan-Peter Siedlarek and Giancarlo Spagnolo

16-32: New and Revised Results for 'Building Reputation for Contract Renewal: Implications for Performance Dynamics and Contract Duration'

Vanessa Kummer, Maik Meusel, Philipp Renner and Karl Schmedders

16-31: Calibration of Quantum Decision Theory, Aversion to Large Losses and Predictability of Probabilistic Choices

Sabine Vincent, Tatyana Kovalenko, Vyacheslav I. Yukalov and Didier Sornette

16-30: Risk and Resilience Management in Social-Economic Systems

Tatyana Kovalenko and Didier Sornette

16-29: Dating the Financial Cycle: A Wavelet Proposition

Diego Ardila and Didier Sornette

16-28: Which Swiss Gnomes Attract Money? Efficiency and Reputation as Performance Drivers of Wealth Management Banks

Urs Birchler, René Hegglin, Michael R. Reichenecker and Alexander Wagner

16-27: High Frequency House Price Indexes with Scarce Data

Steven Bourassa and Martin Hoesli

16-26: Dynamic Principal-Agent Models

Philipp Renner and Karl Schmedders

16-25: Replicating Portfolio Approach to Capital Calculation

Mathieu Cambou and Damir Filipović

16-24: Why Does Fast Loan Growth Predict Poor Performance for Banks?

Ruediger Fahlenbrach, Robert Prilmeier and René Stulz

16-23: On the Relation between Linearity-Generating Processes and Linear-Rational Models

Damir Filipović, Martin Larsson and Anders B. Trolle

16-22: Equity is Cheap for Large Financial Institutions: The International Evidence

Priyank Gandhi, Hanno N. Lustig and Alberto Plazzi

16-21: Price Impact of Aggressive Liquidity Provision

Ramazan Gencay, Soheil Mahmoodzadeh, Jakub Rojcek and Michael C Tseng

16-20: Real Estate Company Reactions to Financial Market Regulation

Martin Hoesli, Stanimira Milcheva and Alex Moss