|Local Professor - M. Leippold|
SFI Faculty Member (since October 2006)
University of Zurich
+41 44 634 50 69
Markus Leippold holds the Vontobel Chair of Financial Engineering at the University of Zurich and has been an SFI faculty member since October 2006. During his professorship term at Imperial College London, he was the director of the Center of Quantitative Finance. Throughout his career, Prof. Leippold has been involved in numerous projects with the Swiss banking industry. He is a founding partner of Lambda Capital, providing consultancy services in risk management, portfolio management, and asset pricing.
Research InterestsHis main research interests lie in asset management, risk management, derivative pricing, and volatility modeling.
Recent Research One of Prof. Leippold’s recent co-authored studies analyzes the impact of funding costs and margin
requirements on the price of options traded on
the Chicago Board Operations Exchange (CBOE). Funding costs (i.e. the spread between the borrowing and lending rates that investors face) and the recent increase in the amount of collateral option sellers are required to deposit have both had a positive, substantial and significant effect on increasing the price of options. These increases in option prices further translate into a skew and smile pattern for implied volatility curves.
Lunch and Learn @ SFI
Informationevent in Zurich
SFI Evening Seminar with UZH - Mrs. Esther Choy
Topic: Storytelling: The Missing Ingredient in Modern Financial Communications
Seminario SFI con il Prof. Fabrizio Zilibotti
Tema: La crescita economica cinese: passato, presente e futuro
SFI Breakfast Seminar with Prof. Riccardo Rebonato
Topic: Portfolio and Risk Management Under Stress
SFI Signing Ceremony – Master in Wealth Management
Topic: "Swiss Financial Center: Challenges and Opportunities"
Finanzexperten treffen sich im Kanton Schwyz
Der Swiss Asset Management Day findet am 7. April zum fünften Mal im Kanton Schwyz statt. Thema: Die neuen Herausforderungen in der Vermögensverwaltung.
Asset Management Study Switzerland by zeb und SFI. Asset Management in Switzerland faces huge challenges.
Swiss Finance Institute has attributed its Outstanding Paper Award to “The Impact of Treasury Supply on Financial Sector Lending and Stability”, a research paper by Arvind Krishnamurthy of Stanford University and Annette Vissing-Jorgensen of the University of California Berkeley that studies how government debt crowds out financial sector short-term debt.
Swiss Finance Institute publishes the first comprehensive Swiss study on structured products. The most recent SFI White Paper sheds light on the performance, costs, and investments of structured products.
English version, German version, French version, Italian version
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Interview with Paolo Vanini on Change in Asset Management (09.03.2016)
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Articel referring to SFI Prof. Semyon Malamud's practitioner roundup. (04.03.2016)
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Article referring to the most recent Asset Management Study Switzerland by zeb and SFI (19.02.2016)
FinanzNachrichten: Asset Management in der Schweiz vor großen Herausforderungen
Article referring to the most recent Asset Management Study Switzerland by zeb and SFI (18.02.2016)
FuW: Bewährungsprobe für Basel III
Article by SFI Adjunct Prof. Cocca on Basel III (17.02.2016)
Tribune de Genève: Le franc fort peut générer une hémorragie d'emplois
Article referring to the SFI Research Paper Series, No 15–65, by M. Efing, R. Fahlenbrach, Ch. Herpfer, and P. Krüger (13.02.2016)
Schweizer Jahrbuch für derivate Produkte: Die grösste Herausforderung waren die Daten
Article on SFI White Paper by Dietmar Maringer, Walter Pohl, and Paolo Vanini (03.02.2016)
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