|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
SFI Evening Seminar with Prof. Darrell Duffie, Geneva
Topic: Stresses and Strains on China's Financial System
SFI Evening Seminar with Prof. Paul Embrechts
Topic: Risk Management: Then, Now, and Tomorrow
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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SFI in the news
L'Agefi: Le décloisonnement des compétences
Article referring to the 10th Annual Meeting of SFI (13.11.2015)
L'Agefi: SFI Prof. Philipp Krüger remporte le Moskowitz (10.11.2015)
L'Agefi: Le sens des buyouts secondaires
Article on SFI Prof. Francois Degeorge's Practitioner Roundup on Secondary Buyouts (Sep 2015)
Finanz und Wirtschaft: Bewusster anlegen mit Evolutionary Finance
Article by SFI Professor Thorsten Hens (25.07.2015)
Finanz und Wirtschaft: Barriere-Zertifikate langfristig oder punktuell
Article referring to the SFI White Paper—Structured Products: Performance, Costs, and Investments (18.07.2015)
SRF: Radio program on the impact of the Greek crisis on the banks
Including interview with SFI Senior Chair Harald Hau (16.07.2015)
More press coverage...