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ZORA Publication List

Publications

Journal Article
- 2009
  - Leippold, M., & Egloff, D. (2009). American Options with Stochastic Stopping Time Constraints Applied Mathematical Finance, 16, 287–305. https://doi.org/10.1080/13504860802645706
- 2008
  - Leippold, M., Vanini, P., & Trojani, F. (2008). Learning and Asset Pricing under Uncertainty Review of Financial Studies, 21, 2565–2597. http://rfs.oxfordjournals.org/content/21/6/2565.short
- 2007
  - Egloff, D., Leippold, M., & Vanini, P. (2007). A simple model of credit contagion Journal of Banking and Finance, 31, 2475–2492. https://doi.org/10.1016/j.jbankfin.2006.10.023
  - Syz, J., & Leippold, M. (2007). Trend derivatives: pricing, hedging, and application to executive stock options Journal of Futures Markets, 27, 151–186. https://doi.org/10.1002/fut.20233
  - Leippold, M., & Wu, L. (2007). Design and estimation of multi-currency quadratic models Review of Finance, 11, 167–207. https://doi.org/10.1093/rof/rfl002
- 2006
  - Vanini, P., Ebnoether, S., & Leippold, M. (2006). Optimal credit limit management under different information regimes Journal of Banking and Finance, 30, 463–487. https://doi.org/10.1016/j.jbankfin.2005.04.018
  - Blöchlinger, A., & Leippold, M. (2006). The economic benefit of powerful credit scoring Journal of Banking and Finance, 30, 851–873. https://doi.org/10.1016/j.jbankfin.2005.07.014
  - Vanini, P., Trojani, F., & Leippold, M. (2006). Equilibrium impact of value-at-risk regulation Journal of Economic Dynamics and Control, 30, 1277–1313. https://doi.org/10.1016/j.jedc.2005.04.008
- 2005
  - Leippold, M., & Vanini, P. (2005). The Quantification of Operational Risk Journal of Risk, 8, 59–85.
- 2004
  - Leippold, Markus; Wiener, Zvi (2004). Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models Review of Derivatives Research, 7(3):213-239.
  - Trojani, F., Leippold, M., & Vanini, P. (2004). A Geometric Approach to Multiperiod Mean-Variance Optimization of Assets and Liabilities Journal of Economic Dynamics and Control, 28, 1079–1113. https://doi.org/10.1016/S0165-1889(03)00067-8
  - Leippold, M., & Wiener, Z. (2004). Efficient Trinomial Trees for Short Rate Models Review of Derivatives Research, 7, 213–239.
- 2003
  - Leippold, M., & Wu, L. (2003). Design and Estimation of Quadratic Term Structure Models European Finance Review, 7, 47–73. https://doi.org/10.1023/A:1022502724886
- 2002
  - Leippold, M., & Vanini, P. (2002). Half as many cheers - the multiplier reviewed Wilmott Magazine, 2, 104–107.
  - Leippold, M., & Wu, L. (2002). Asset Pricing under the Quadratic Class Journal of Financial and Quantitative Analysis, 37, 271–295. https://doi.org/10.2307/3595006
- 1999
  - Leippold, M., & Jovic, D. (1999). Das Standardverfahren zur Eigenmittelunterlegung: Analyse der Wahlmöglichkeiten Finanzmarkt und Portfolio Management, 13, 260–290. https://fmpm.ch/fmpm/article-archive-1986-2000/#15-68-wpfd-volume-13-issue-3-1999
- 1997
  - Leippold, M. (1997). Numerische Methoden in der Optionspreistheorie: Monte Carlo und Quasi-Monte Carlo Methoden Finanzmarkt und Portfolio Management, 11, 179–196. https://fmpm.ch/fmpm/article-archive-1986-2000/#13-59-wpfd-volume-11-issue-2-1997
Book Section
- 2015
  - Leippold, M. (2015). Value-at-Risk and Other Risk Measures In H. K. Baker & G. Filbeck (Eds.), Investment Risk Management (pp. 283–303). Oxford University Press. https://doi.org/10.1093/acprof:oso/9780199331963.003.0015
- 2011
  - Leippold, M. (2011). Alpha In G. N. Gregoriou (Ed.), Encylopedia of Alternative Investments (p. 13). Chapman & Hall.
- 2008
  - Leippold, M. (2008). Manager Skills In G. N. Gregoriou (Ed.), Encylopedia of Alternative Investments (pp. 284–285). Chapman & Hall.
  - Leippold, M. (2008). Information Ratio In G. N. Gregoriou (Ed.), Encylopedia of Alternative Investments (p. 237). Chapman & Hall.
  - Leippold, M. (2008). Drawdown In G. N. Gregoriou (Ed.), Encylopedia of Alternative Investments (pp. 153–154). Chapman & Hall.
  - Leippold, M. (2008). Value at Risk In G. N. Gregoriou (Ed.), Encylopedia of Alternative Investments (pp. 499–501). Chapman & Hall.
- 2007
  - Leippold, M. (2007). Modeling business dependencies for credit portfolios In S. Satchell (Ed.), Quantitative Financial Risk Management : Fundamentals, Models and Techniques (p. online). [s.n.].
- 2006
  - Leippold, M. (2006). Business Dependencies in Credit Risk Portfolios In H. Stewart (Ed.), Risk Management.
  - Leippold, M., & Morger, F. (2006). International Stock Portfolios and Optimal Currency Hedging with Regime Switching In G. N. Gregoriou (Ed.), Asset Allocation and International Investments.
  - Leippold, M., & Jöhri, S. (2006). Quantitative Hedge Fund Selection for Fund of Funds In G. N. Gregoriou (Ed.), Fund of Hedge Funds: Performance, Assessment, Diversication and Statistical Properties. https://doi.org/10.1016/B978-075067984-8.50030-4
- 2003
  - Leippold, M., Doebeli, B., & Vanini, P. (2003). From Operational Risk to Operational Excellence In M. Leippold (Ed.), Advances in operational risk management : firm-wide issues for financial institutions (pp. 239–252). RISK Publications.
  - Leippold, M., & Trojani, F. (2003). Market Risk: A Primer In R. Gibson (Ed.), Risk and Risky Management (pp. 36–39). National Centre of Competence in Research. https://www.nccr-finrisk.uzh.ch/media/pdf/RM_Layout_1_27.pdf
- 2002
  - Leippold, M., Trojani, F., & Vanini, P. (2002). Optimization of Assets and Liabilities, Proceeding of International Scientific School In M. Leippold (Ed.), Modelling and Analysis of Safety, Risk and Quality in Complex Systems (p. n/a). Russian Foundation of Fundamental Research.
- 1997
  - Leippold, M., & Heinzl, T. (1997). Zinsstrukturmodelle In O. Bruderer & K. Hummler (Eds.), Value at Risk im Vermögensverwaltungsgeschäft (pp. 137–174). Stämpfli Verlag.
Conference or Workshop item
- 2026
  - Ni, J., Fan, Y., Zouhar, V., Rooein, D., Hoyle, A. M., Sachan, M., Leippold, M., Hovy, D., & Ash, E. (2026). Can Reasoning Help Large Language Models Capture Human Annotator Disagreement? (V. Demberg, K. Inui, & L. Marquez, Eds.; Volume 1: Long Papers; pp. 36–54). Association for Computational Linguistics. https://doi.org/10.18653/v1/2026.eacl-long.3
  - Vaghefi, S., Hachcham, A., Grasso, V., Msemo, N., Colesanti Senni, C., & Leippold, M. (2026). AI for Climate Finance: Agentic Retrieval and Multi-Step Reasoning for Early Warning System Investments (D. Croce, J. Leidner, & N. S. Moosavi, Eds.; Volume 3: System Demonstrations; pp. 492–511). Association for Computational Linguistics. https://doi.org/10.18653/v1/2026.eacl-demo.34
- 2025
  - Usmanova, A., Abdullah, R., Banerjee, D., Leippold, M., & Usbeck, R. (2025). ReportGRI: Automating GRI Alignment and Report Assessment 6723–6727. https://doi.org/10.1145/3746252.3761469
  - Kolli, I., Vaghefi, S., Colesanti Senni, C., Raj, S., & Leippold, M. (2025). Automated Evidence Extraction and Scoring for Corporate Climate Policy Engagement: A Multilingual RAG Approach (I. Habernal, P. Schulam, & J. Tiedemann, Eds.; pp. 111–129). Association for Computational Linguistics. https://doi.org/10.18653/v1/2025.emnlp-demos.9
  - Xiong, C., Ni, J., Fan, Y., Zouhar, V., Rooein, D., Calvo-Bartolomé, L., Hoyle, A. M., Jin, Z., Sachan, M., Leippold, M., Hovy, D., El-Assady, M., & Ash, E. (2025). Co-DETECT: Collaborative Discovery of Edge Cases in Text Classification (I. Habernal, P. Schulam, & J. Tiedemann, Eds.; pp. 354–364). Association for Computational Linguistics. https://doi.org/10.18653/v1/2025.emnlp-demos.25
  - Ni, J., Schimanski, T., Lin, M., Sachan, M., Ash, E., & Leippold, M. (2025). DIRAS: Efficient LLM Annotation of Document Relevance for Retrieval Augmented Generation (L. Chiruzzo, A. Ritter, & L. Wang, Eds.; Volume 1: Long Papers; Issue Volume 1: Long Papers, pp. 5238–5258). Association for Computational Linguistics. https://doi.org/10.18653/v1/2025.naacl-long.271
- 2024
  - Schimanski, T., Ni, J., Martín, R. S., Ranger, N., & Leippold, M. (2024). ClimRetrieve: A Benchmarking Dataset for Information Retrieval from Corporate Climate Disclosures Proceedings of the Conference on Empirical Methods in Natural Language Processing, 17509–17524. https://doi.org/10.18653/v1/2024.emnlp-main.969
  - Schimanski, T., Ni, J., Kraus, M., Ash, E., & Leippold, M. (2024). Towards Faithful and Robust LLM Specialists for Evidence-Based Question-Answering Proceedings of the Annual Meeting of the Association for Computational Linguistics, 1913–1931. https://doi.org/10.18653/v1/2024.acl-long.105
  - Bulian, J., Schäfer, M. S., Amini, A., Lam, H., Ciaramita, M., Gaiarin, B., Chen Hübscher, M., Buck, C., Mede, N. G., Leippold, M., & Strauß, N. (2024, July 27). Assessing Large Language Models on climate information Proceedings of Machine Learning Research. 41st International Conference on Machine Learning, Vienna. https://doi.org/10.48550/arXiv.2310.02932
- 2023
  - Schimanski, T., Bingler, J., Kraus, M., Hyslop, C., & Leippold, M. (2023). ClimateBERT-NetZero: Detecting and Assessing Net Zero and Reduction Targets Proceedings of the Conference on Empirical Methods in Natural Language Processing, 15745–15756. https://doi.org/10.18653/v1/2023.emnlp-main.975
  - Ni, J., Bingler, J., Colesanti Senni, C., Kraus, M., Gostlow, G., Schimanski, T., Stammbach, D., Ashraf Vaghefi, S., Wang, Q., Webersinke, N., Wekhof, T., Yu, T., & Leippold, M. (2023). CHATREPORT: Democratizing Sustainability Disclosure Analysis through LLM-based Tools Proceedings of the Conference on Empirical Methods in Natural Language Processing, 21–51. https://doi.org/10.18653/v1/2023.emnlp-demo.3
  - Leippold, M., Stammbach, D., Webersinke, N., Bingler, J. A., & Kraus, M. (2023). Environmental Claim Detection Proceedings of the Annual Meeting of the Association for Computational Linguistics, 1051–1066. https://doi.org/10.18653/v1/2023.acl-short.91
  - Leippold, M., Ni, J., Jin, Z., Wang, Q., & Sachan, M. (2023). When does aggregating multiple skills with multi-task learning work? A case study in financial NLP Proceedings of the Annual Meeting of the Association for Computational Linguistics, 7465–7488. https://aclanthology.org/2023.acl-long.412/
  - Leippold, M., Stammbach, D., Webersinke, N., Bingler, J. A., & Kraus, M. (2023). A dataset for detecting real-world environmental claims 1–14. https://doi.org/10.48550/arXiv.2209.00507
- 2022
  - Leippold, M., Hershcovich, D., Bingler, J. A., Kraus, M., & Webersinke, N. (2022). Towards Climate Awareness in NLP Research Proceedings of the Conference on Empirical Methods in Natural Language Processing, 2480–2494. https://doi.org/10.18653/v1/2022.emnlp-main.159
  - Leippold, M., Bingler, J. A., Kraus, M., & Webersinke, N. (2022, November 19). ClimateBert: A pretrained language model for climate-related text AAAI Fall Symposium 2022, Arlington. https://doi.org/10.48550/arXiv.2110.12010
- 2020
  - Mishra, R., Yadav, P., Calizzano, R., & Leippold, M. (2020, December 17). MuSeM: Detecting Incongruent News Headlines using Mutual Attentive Semantic Matching International Conference on Machine Learning and Applications (ICMLA) 2020, Miami.
  - Varini, F., Boyd-Graber, J., Ciaramita, M., & Leippold, M. (2020, December 11). ClimaText: A Dataset for Climate Change Topic Detection Tackling Climate Change with Machine Learning workshop at NeurIPS 2020, Online.
  - Diggelmann, T., Boyd-Graber, J., Bulian, J., Ciaramita, M., & Leippold, M. (2020, December 11). Climate-fever: A Dataset for Verification of Real-World Climate Claims Tackling Climate Change with Machine Learning workshop at NeurIPS 2020, Online.

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