Other Publications

ZORA Publication List

Publications

• 2016

  • Newspaper Article

    • Chesney, M. (2016, May 23). Taxons les flux financiers pour financer le RBI Le Temps, 1–11. http://www.letemps.ch/economie/2016/05/24/taxons-flux-financiers-financer-rbi
    • Chesney, M., & Poulin, A. (2016, May 2). Panama Papers, What Now? The World Post: A Partnership of The Huffington Post and Berggruen Institute, 1–3. http://www.huffingtonpost.com/alexis-poulin/panama-papers-what-now_b_9793756.html
    • Hens, T. (2016, April 28). Wissenschaft oder Kunst? Beratung: Der optimalen Lösung auf der Spur Finanz und Wirtschaft, 7–7. http://www.fuw.ch/wp-content/uploads/2016/05/privatebanking_2016.pdf
    • Rajamani, A., Van der Poel, M., de Jong, A., & Ongena, S. (2016, March 1). How does international diversification influence advisor performance on cross-border M&A? International Banker, 16–19. http://internationalbanker.com/finance/international-diversification-influence-advisor-performance-cross-border-ma/

  • Published Research Report

    • Abad, J., Aldasoro, I., Aymanns, C., D’Errico, M., Fache Rousová, L., Hoffmann, P., Langfield, S., Neychev, M., & Roukny, T. (2016). Shedding light on dark markets: First insights from the new EU-wide OTC derivatives dataset (Occasional Paper Series, Vol. 11). European Systemic Risk Board. https://doi.org/10.2849/878675

  • Scientific Publication in Electronic Form

    • Chesney, M. (2016). Der Terror ist Resultat einer bankrotten Politik http://www.infosperber.ch/Artikel/Politik/Terroranschlage-Berlin-ist-Resultat-einer-bankrotten-Politik
    • Wagner, A. (2016). How Does Managerial Tone Affect Market Reactions? SFI Blog, online. http://sfi.ch/node/5376
    • Habib, M., Rochet, J.-C., & Collard, F. (2016). The reluctant defaulter: A tale of high government debt https://cepr.org/voxeu/columns/reluctant-defaulter-tale-high-government-debt

  • Working Paper

    • D’Errico, M., Battiston, S., Peltonen, T., & Scheicher, M. (2016). How does risk flow in the credit default swap market? (No. 33; European Systemic Risk Board Working Paper Series (ESRB)). https://www.esrb.europa.eu/pub/pdf/wp/esrbwp33.en.pdf?ce86cf9372e645bcbbd4faffef58f073
    • Ongena, S., De Jonghe, O., Dewachter, H., Mulier, K., & Schepens, G. (2016). Funding shocks and banks’ credit reallocation (12/16; SFI Practitioner Roundups December 2016). http://sfi.ch/system/tdf/PractitionerRoundup_2016_12.pdf?file=1&type=node&id=5418&force=
    • Nyborg, K. G., Fecht, F., Rocholl, J., & Woschitz, J. (2016). Collateral, Central Bank Repos, and Systemic Arbitrage (No. 16–66; Swiss Finance Institute Research Paper). https://doi.org/10.2139/ssrn.2871337
    • Petzev, I., Schrimpf, A., & Wagner, A. (2016). Has the Pricing of Stocks Become More Global? (No. 15–48; Swiss Finance Institute Research Paper). https://doi.org/10.2139/ssrn.2693024
    • Leippold, M., & Vasiljevic, N. (2016). Option-Implied Intra-Horizon Risk and First-Passage Disentanglement (No. 2804702; SSRN). http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2804702
    • Barucca, P., Bardoscia, M., Caccioli, F., D’Errico, M., Visentin, G., Battiston, S., & Caldarelli, G. (2016). Network Valuation in Financial Systems (No. 2795583; SSRN). http://ssrn.com/abstract=2795583
    • Carletti, E., Ongena, S., Siedlarek, J.-P., & Spagnolo, G. (2016). The impact of merger legislation on bank mergers (No. 16–33; Swiss Finance Institute Research Paper). http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2782040
    • Nyborg, K. G., & Mukhlynina, L. (2016). The Choice of Valuation Techniques in Practice: Education versus Profession (No. 16–36; Swiss Finance Institute Research Paper). https://doi.org/10.2139/ssrn.2784850
    • Bardoscia, M., Battiston, S., Caccioli, F., & Caldarelli, G. (2016). Pathways towards instability in financial networks (1602.05883; ArXiv.Org). https://doi.org/10.48550/arXiv.1602.05883
    • Roukny, T., Battiston, S., & Stiglitz, J. E. (2016). Interconnectedness as a source of uncertainty in systemic risk (No. 2726631; SSRN). http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2726631
    • Bonfim, D., Nogueira, G., & Ongena, S. (2016). Sorry, we’re closed: Loan conditions when bank branches close and firms transfer to another bank (No. 7; Banco de Portugal-Working Papers 2016). https://www.bportugal.pt/sites/default/files/anexos/papers/wp201607.pdf
    • De Giorgi, E., & Mahmoud, O. (2016). Naive Diversification Preferences and their Representation (No. 2864231; SSRN).

• 2015

  • Dissertation

    • Wälchli, B. (2015). Essays on Nonaffine Option Pricing and Random Forests in the Fields of Finance (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-120314
    • Pana, A. C. (2015). Contributions to the Economics of Climate Change Mitigation (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-114972
    • Paetzold, F. (2015). Three Essays on Sustainable Investing in Private Wealth Management: Barriers for Sustainable Investing in the Cognition and Decision Making Processes of Private Wealth Holders and Investment Advisors (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-120319
    • Bradbury, M. (2015). Improved Investment Advice Through Risk Simulation (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-120317
    • Ibraimi, M. (2015). Essays on Arbitrage Pricing Theory and Systemic Risk Modeling (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-120318
    • Doronzo, M. (2015). Empirical essays on risky assets, asset allocation and emission certificates (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-122061
    • Stössel, R. (2015). Risk Assessment and Risk Communication in Theory and Practice (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-120315
    • Ludwig, M. (2015). Three Essays on Option Implied Information (Dissertation, University of Zurich)
    • Gupta, M. (2015). Three Essays in Real Estate and Entrepreneurial Finance (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-120316
    • Su, L. (2015). Three Essays on Market Frictions (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-120620

  • Newspaper Article

    • Chesney, M., & Maranghino-Singer, B. (2015, December 29). Bessere Bildung statt hohe Boni Tagesanzeiger, 1. http://www.tagesanzeiger.ch/zuerich/bessere-bildung-statt-hohe-boni/story/18018174
    • Birchler, U. (2015, December 6). Wahlbörsen liefern überaus präzise Prognosen ausser in der Schweiz NZZ am Sonntag, 19.
    • Birchler, U. (2015, November 8). Die neue Welt des Private Banking SonntagsZeitung, 2. https://nzz.genios.de/dosearch?explicitSearch=true&q=&dbShortcut=%3A5%3A85%3AALLEQUELLEN-1_%3A5%3A85%3AALLEQUELLEN&searchMask=5461&TI%2CUT%2CDZ%2CBT%2COT%2CSE=Die+neue+Welt+des+Private+Banking&NN%2CAU%2CMM%2CZ2=&CO%2CC2%2CTA%2CKA%2CVA%2CZ1=&CT%2CDE%2CZ4=&
    • Hens, T. (2015, August 21). Wie Medien und Informationsflut die Finanzmärkte beeinflussen WirtschaftsWoche, 41–41.
    • Hens, T. (2015, July 25). Bewusster anlegen mit Evolutionary Finance Finanz und Wirtschaft, 14–14.
    • Hens, T. (2015, May 20). Risikotoleranz muss erlernt werden Neue Zürcher Zeitung, 26–26.
    • Birchler, U. (2015, April 20). Fankurven als Schiedsrichter Neue Zürcher Zeitung, 17.
    • Bachmann, K., & Hens, T. (2015, March 14). «Swissness» im Anlegerverhalten : Schweizer Investoren in allen Sprachregionen lassen eine grössere Anlegerkompetenz erkennen als ihre Nachbarn im Ausland. Finanz und Wirtschaft, 22. https://www.fuw.ch/article/swissness-im-anlegerverhalten/
    • Hens, T. (2015, January 24). Das Schweizer Midas-Problem Finanz und Wirtschaft, 3.
    • Fasnacht, D., & Stämpfli, D. (2015, January 22). Ohne Emotionen Handelszeitung, 4–4.
    • Chesney, M. (2015, January 4). Nein zum Diktat des Englischen an Schweizer Hochschulen NZZ am Sonntag, 15.
    • Birchler, U. (2015, June). Die Banken in der Moralfalle Finanzplatz Schweiz, 33–34.

  • Scientific Publication in Electronic Form

    • Halla, M., Wagner, A., & Zweimüller, J. (2015). Immigration and far-right voting: New evidence https://voxeu.org/article/immigration-and-far-right-voting-new-evidence
    • Birchler, U. (2015). Unternehmen als Staatsgehilfen https://www.infosperber.ch/gesellschaft/migration/runde-tische-statt-endlich-taten/

  • Working Paper

    • Kübler, F. (2015). Simple ε-equilibria in stochastic economies with overlapping generations (-).
    • Brumm, J., Kübler, F., & Scheidegger, S. (2015). Computing equilibria in dynamic stochastic macromodels with heterogeneous agents (-).
    • Fringuellotti, F., & Necula, C. (2015). A Generalized Bachelier Formula for Pricing Basket and Spread Options (No. 2698307; SSRN). http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2698307
    • Wälchli, B. (2015). A Random Forests Based Performance Ratio for Regulatory Asset Portfolio Management and Optimization (No. 2550072; SSRN). http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2550072
    • Vo, T. Q. A. (2015). Liquidity Management in Banking: What is the Role of Leverage? (No. 15–51; Swiss Finance Institute Research Paper). http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2696126
    • Célérier, C. M., & Vallee, B. (2015). The motives for financial complexity: An empirical investigation (No. 2289890; SSRN). http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2289890
    • Stössel, R. (2015). Willingness to be financially informed and the benefits of nudging investors to do so (No. 2629058; SSRN). http://ssrn.com/abstract=2629058
    • Koch-Medina, P., Munari, C., & Sikic, M. (2015). Diversification, protection of liability holders and regulatory arbitrage (1502.03252; ArXiv.Org).
    • Moreno-Bromberg, S., & Vo, Q.-A. (2015). Agency problems, recapitalization costs and optimal resolution of financial distress (No. 861; NCCR FINRISK Working Paper Series).
    • Stössel, R., & Meier, A. (2015). Framing effects and risk perception: testing graphical representations of risk for the KIID (No. 2606615; SSRN). http://ssrn.com/abstract=2606615
    • Fattinger, F., & Ziegler, A. (2015). Risk and Return around the Clock (No. 2606706; SSRN).
    • Meyer, J., & Krauss, A. (2015). Measuring and aggregating social performance of microfinance investment vehicles (No. 3–2015; CMF Working Paper Series).
    • Dahlquist, M., & Hasseltoft, H. (2015). Economic Momentum and Currency Returns (n/a; N/a).
    • Nyborg, K. G. (2015). Central Bank Collateral Frameworks (No. 15–10; Swiss Finance Institute Research Paper). https://doi.org/10.2139/ssrn.2576075
    • Scheffel, M., Gersbach, H., & Rochet, J.-C. (2015). Taking Banks to Solow (No. DP10439; CEPR Discussion Papers). https://ssrn.com/abstract=2569268
    • Moreno, S., & Klimenko, N. (2015). The shadow cost of repos and bank liability structure (No. 15–04; Swiss Finance Institute Research Paper).
    • Necula, C., Drimus, G. G., & Farkas, W. (2015). A General Closed Form Option Pricing Formula (No. 2210359; SSRN). http://ssrn.com/abstract=2210359
    • Farkas, W., Necula, C., & Waelchli, B. (2015). Herding and Stochastic Volatility (No. 2685939; SSRN). http://ssrn.com/abstract=2685939
    • Farkas, W., Gourier, E., Huitema, R., & Necula, C. (2015). A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing (No. 2679218; SSRN). https://doi.org/10.2139/ssrn.2679218
    • Bardgett, C., Gourier, E., & Leippold, M. (2015). Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets (No. 13–40; Swiss Finance Institute Research Paper). http://www.elisegourier.com/uploads/3/7/9/6/37964671/bardgett_gourier_leippold_vix_paper.pdf
    • Wälchli, B. (2015). A Proximity Based Stress Testing Framework (No. 2660498; SSRN). http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2660498

• 2014

  • Dissertation

    • Kreher, D. (2014). Strict Local Martingales, Random Times and Non-Standard Changes of Probability Measure in Financial Mathematics (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-108299
    • Matthys, F. (2014). Three essays in quantitative finance (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-204390
    • Steikert, K. (2014). The Weighted Nadaraya-Watson Estimator: Strong Consistency Results, Rates of Convergence, and a Local Bootstrap Procedure to Select the Bandwidth (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-98954
    • Puhan, T.-X. (2014). Essays in Finance (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-108293
    • Caliskan, N. (2014). Essays in Asset Pricing Anomalies (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-108292
    • Burkhardt, D. (2014). Three Essays in Asset Pricing (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-108291
    • Güney, E. I. (2014). Essays in Banking and Finance (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-108294
    • Bardgett, C. (2014). Volatility and Correlation Modelling for Equity Indices (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-108295
    • Huitema, R. (2014). Essays in Quantitative Finance (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-99862

  • Edited Scientific Work

    • Christen, M., van Schaik, C. P., Fischer, J., Huppenbauer, M., & Tanner, C. (Eds.). (2014). Empirically Informed Ethics: Morality between Facts and Norms (Vol. 32). Springer. https://doi.org/10.1007/978-3-319-01369-5

  • Newspaper Article

    • Chesney, M., & Ulrich, P. (2014, July 22). Umstrittenes Universitätssponsoring NZZ, online. http://www.nzz.ch/meinung/debatte/umstrittenes-universitaetssponsoring-1.18348524
    • Chesney, M., & Ulrich, P. (2014, June 25). Le sponsoring universitaire au centre des tensions Le Temps, online. http://www.letemps.ch/economie/2014/06/24/sponsoring-universitaire-tension-entre-interets-publics-prives

  • Scientific Publication in Electronic Form

    • Wagner, A., & Peters, F. (2014). The Executive Turnover Risk Premium https://corpgov.law.harvard.edu/2014/06/12/the-executive-turnover-risk-premium/

  • Working Paper

    • Brumm, J., Kryczka, D., & Kübler, F. (2014). Recursive equilibria in dynamic economies with stochastic production (n/a; S.n.).
    • Célérier, C. M., & Vallee, B. (2014). Are Bankers Worth Their Pay? Evidence from a Talent Measure (No. 2393110; SSRN).
    • Célérier, C. M., & Matray, A. (2014). Unbanked Households: Evidence of Supply-Side Factors (No. 2392278; SSRN).
    • Kübler, F., Selden, L., & Wei, X. (2014). Expected utility preferences for contingent claims and lotteries (No. 2473611; SSRN). http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2473611
    • Nyborg, I. (2014). Liquidity creation in the nineteenth century: The role of the clearing houses (-).
    • Puhan, T.-X., & Kehrle, K. (2014). The information content of option demand (No. 12–43; Swiss Finance Institute Research Paper). http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2005763
    • Puhan, T.-X. (2014). Volatility information in index option demand (No. 2277689; SSRN). http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2277689
    • Klimenko, N. (2014). Tail risk, capital requirements and the internal agency problem in banks (s. n.; S.n.).
    • Puhan, T.-X., Arnold, M., & Hackbarth, D. (2014). Financing asset sales and business cycles (No. 14–11; Swiss Finance Institute Research Paper). http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2356377
    • Battiston, S., & Paolo, T. (2014). Diversification and financial stability (No. 10; SRC Discussion Paper). http://www.systemicrisk.ac.uk/sites/default/files/downloads/publications/dp-10.pdf
    • Chesney, M., Crameri, R., & Mancini, L. (2014). Detecting informed trading activities in the options markets (No. 560; NCCR FINRISK Working Paper).
    • Roukny, T., George, C.-P., & Battiston, S. (2014). A Network Analysis of the Evolution of the German Interbank Market (22/2014; Bundesbank Discussion Paper). http://www.econstor.eu/handle/10419/102297
    • Moreno, S., Koch-Medina, P., & Munari, C. (2014). Capital Adequacy Tests and Limited Liability of Financial Institutions (No. 14–03; Swiss Finance Institute Research Paper). http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2348590
    • Thul, M., & Zhang, A. Q. (2014). Analytical option pricing under an asymmetrically displaced double gamma jump-diffusion model (No. 2311673; SSRN). https://doi.org/10.2139/ssrn.2311673

• 2013

  • Dissertation

    • Wang, Z. (2013). Three essays on corporate cash policy and financial markets (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-93997
    • Weidenbach, L. (2013). Share-based Payment und Gewinnvolatilität - Eine empirische Untersuchung der Auswirkung von Aktienoptionen auf die Gewinnvolatilität bei US GAAP-Anwendern (Dissertation, University of Zurich)
    • Eugster, F. (2013). Essays on voluntary disclosure quality, earnings management and executive compensation (Dissertation, University of Zurich)
    • Bürgi, M. (2013). Three essays on contingent capital and information efficiency (Dissertation, University of Zurich)
    • Gourier, E. (2013). Affine and quadratic models for volatility and interest rates markets (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-94023
    • Maire, B. (2013). Essays on Banking, Ratings, and Regulation (Dissertation, University of Zurich)
    • Polak, P. (2013). Forecasting Financial Returns Under Non-Elliptical Distributions with Applications to Portfolio Allocation and Risk Management (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-108296
    • Dzielinski, M. (2013). The impact of public information on financial markets (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-93998

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