Profilbild

Prof. Dr. Markus Leippold - Publications

Professor of Financial Engineering
Director Master of Advanced Studies UZH in Finance
Member of Steering Committee MSc UZH ETH in Quantitative Finance

@dloppiel.sukrambf.uzh.ch
PLM-H 310, Plattenstr. 14, 8032 Zürich
+41 44 634 50 69
CV vCard Details Team Teaching Publications Supervised theses Conferences

Journal Articles (35)

Are ratings the worst form of credit assessment apart from all the others?
Andreas Bloechlinger, Markus Leippold
In: Journal of Financial and Quantitative Analysis, forthcoming, 2017.


Maximum Diversification Strategies Along Commodity Risk Factors
Markus Leippold, Simone Bernardi, Harald Lohre
In: European Financial Management, forthcoming, 2017.


The Mixed vs the Integrated Approach to Style Investing: Much Ado About Nothing?
Roger Rüegg, Markus Leippold
In: European Financial Management, forthcoming, 2017.


Strategic technology adoption and hedging under incomplete markets
Markus Leippold, Jacob Stromberg
In: Journal of Banking and Finance, Vol. 81, p. 181-199, August 2017.


Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model
Markus Leippold, Nikola Vasiljevic
In: Journal of Banking and Finance, Vol. 77, p. 78-94, April 2017.


Discrete-time option pricing with stochastic liquidity
Markus Leippold, Steven Schärer
In: Journal of Banking and Finance, Vol. 75, p. 1-16, February 2017.


Collateral smile
Markus Leippold, Lujing Su
In: Journal of Banking and Finance, Vol. 58, p. 15 - 28, September 2015.


What is beneath the surface? Option pricing with multifrequency latent states
Laurent Calvet, Marcus Fearnley, Adlai Fisher, Markus Leippold
In: Journal of Econometrics, Vol. 187 (No. 2), p. 498-511, August 2015.


The Dispersion Effect in International Stock Returns
Markus Leippold, Harald Lohre
In: Journal of Empirical Finance, Vol. 29, p. 331-342, December 2014.


Time-changed Levy LIBOR market model: Pricing and joint estimation of the cap surface and swaption cube
Markus Leippold, Jacob Stromberg
In: Journal of Financial Economics, Vol. 111 (No. 1), p. 224-250, January 2014.


A remark on Lin's and Chang's pager 'Consistent modelling of S&P500 and VIX derivatives'
Markus Leippold, Jun Cheng, Meriton Ibraimi, Jin E Zhang
In: Journal of Economic Dynamics and Control, Vol. 36 (No. 5), p. 716-718, 2012.


International price and earnings momentum
Markus Leippold, Harald Lohre
In: European Journal of Finance, Vol. 18 (No. 6), p. 535-573, 2012.


Data snooping and the global accrual anomaly
Markus Leippold, Harald Lohre
In: Applied Financial Economics, Vol. 22 (No. 7), p. 509-535, 2012.


Equilibrium implications of delegated asset management under benchmarking
Markus Leippold, Philippe Rohner
In: Review of Finance, Vol. 16 (No. 4), p. 935-984, 2012.


A new goodness of fit test for event forecasting and its application to credit default
Markus Leippold, Andreas Bloechlinger
In: Management Science, Vol. 57 (No. 3), p. 487-505, March 2011.


Multiperiod mean-variance efficient portfolios with endogenous liabilities
Markus Leippold, Fabio Trojani, Paolo Vanini
In: Quantitative Finance, Vol. 11 (No. 10), p. 1535-1546, 2011.


Quantile Estimation with Adaptive Importance Sampling
Markus Leippold, Daniel Egloff
In: Annals of Statistics, Vol. 38 (No. 2), p. 1244-1278, 2010.


The term structure of variance swap rates and optimal variance swap investments
Daniel Egloff, Markus Leippold, Liuren Wu
In: Journal of Financial and Quantitative Analysis, Vol. 45 (No. 5), p. 1279-1310, 2010.


American Options with Stochastic Stopping Time Constraints
Markus Leippold, Daniel Egloff
In: Applied Mathematical Finance, Vol. 16 (No. 3), p. 287-305, June 2009.


Learning and Asset Pricing under Uncertainty
Markus Leippold, Paolo Vanini, Fabio Trojani
In: Review of Financial Studies, Vol. 21 (No. 6), p. 2565-2597, 2008.


A simple model of credit contagion
Paolo Vanini, Daniel Egloff, Markus Leippold
In: Journal of Banking and Finance, Vol. 31 (No. 8), p. 2475-2492, August 2007.


Trend derivatives: pricing, hedging, and application to executive stock options
Jürg Syz, Markus Leippold
In: Journal of Futures Markets, Vol. 27 (No. 2), p. 151-186, February 2007.


Design and estimation of multi-currency quadratic models
Markus Leippold, Liuren Wu
In: Review of Finance, Vol. 11 (No. 2), p. 167-207, 2007.


Multi-currency quadratic model: theory and evidence
Markus Leippold, Liuren Wu
In: Review of Finance, Vol. 9, p. 1-38, 2007.


Optimal credit limit management under different information regimes
Paolo Vanini, Silvan Ebnoether, Markus Leippold
In: Journal of Banking and Finance, Vol. 30, p. 463-487, 2006.


The economic benefit of powerful credit scoring
Andreas Blöchlinger, Markus Leippold
In: Journal of Banking and Finance, Vol. 30, p. 851-873, 2006.


Equilibrium impact of value-at-risk regulation
Paolo Vanini, Fabio Trojani, Markus Leippold
In: Journal of Economic Dynamics and Control, Vol. 30, p. 1277-1313, 2006.


The Quantification of Operational Risk
Markus Leippold, Paolo Vanini
In: Journal of Risk, Vol. 8 (No. 1), p. 59-85, 2005.


Efficient Trinomial Trees for Short Rate Models
Markus Leippold, Zvi Wiener
In: Review of Derivative Research, Vol. 7, p. 213-239, 2004.


A Geometric Approach to Multiperiod Mean-Variance Optimization of Assets and Liabilities
Fabio Trojani, Markus Leippold, Paolo Vanini
In: Journal of Economic Dynamics and Control, Vol. 28, p. 1079-1113, 2004.


Estimation and Design of Quadratic Term Structure Models
Markus Leippold, Liuren Wu
In: Review of Finance, Vol. 7 (No. 1), p. 47-73, 2003.


Asset Pricing under the Quadratic Class
Markus Leippold, L Wu
In: Journal of Financial and Quantitative Analysis, Vol. 37 (No. 2), p. 271-295, 2002.


Half as Many Cheers - The Multiplier Reviewed
Markus Leippold, Paolo Vanini
In: The Wilmott Magazine, 2002.


Alternatives within the BIS Standard Approach
Markus Leippold
In: Financial Markets and Portfolio Managment, 1999.


Numerical Methods in Finance: Monte Carlo and Quasi-Monte Carlo Methods
Markus Leippold
In: Financial Markets and Portfolio Management, 1997.


Books (2)

Zeitreihenanalyse in Finanzmärkten-Eine Einführung
Markus Leippold
Bookboon.com, Zurich, 2012.


International Term Structure Models
Markus Leippold
Paul Haupt Verlag, Zurich, 1999.


Book Chapters (13)

Alpha
Markus Leippold
Editor(s): Greg N Gregoriou
In: Encylopedia of Alternative Investments, Chapman and Hall/CRC, p. 13, 2011.


Information Ratio
Markus Leippold
Editor(s): Greg N Gregoriou
In: Encylopedia of Alternative Investments, Chapman and Hall/CRC, p. 237, 2011.


Manager Skills
Markus Leippold
Editor(s): Greg N Gregoriou
In: Encylopedia of Alternative Investments, Chapman and Hall/CRC, p. 284-285, 2008.


Value at Risk
Markus Leippold
Editor(s): Greg N Gregoriou
In: Encylopedia of Alternative Investments, Chapman and Hall/CRC, p. 499-501, 2008.


Drawdown
Markus Leippold
Editor(s): Greg N Gregoriou
In: Encylopedia of Alternative Investments, Chapman and Hall/CRC, p. 153-154, 2008.


Modeling business dependencies for credit portfolios
Markus Leippold
Editor(s): Stephen Satchell
In: Quantitative Financial Risk Management: Fundamentals, Models and Techniques, Henry Stewart Talks Ltd, London, 2007.


Quantitative Hedge Fund Selection for Fund of Funds
Markus Leippold, Stephan Jöhri
Editor(s): Greg N Gregoriou
In: Fund of Hedge Funds: Performance, Assessment, Diversication and Statistical Properties, London, 2006.


International Stock Portfolios and Optimal Currency Hedging with Regime Switching
Markus Leippold, Felix Morger
Editor(s): Greg N Gregoriou
In: Asset Allocation and International Investments, London, 2006.


Business Dependencies in Credit Risk Portfolios
Markus Leippold
Editor(s): Henri Stewart
In: Risk Management, London, 2006.


From Operational Risk to Operational Excellence
Markus Leippold, Barbara Doebeli, Paolo Vanini
Editor(s): Markus Leippold
In: Advances in Operational Risk Management, RISK Publications, -, 2003.


Market Risk: A Primer
Markus Leippold, Fabio Trojani
Editor(s): Markus Leippold
In: FINRISK Booklet on Risk Management for Executives,, -, 2003.


Optimization of Assets and Liabilities, Proceeding of International Scientific School
Markus Leippold, Fabio Trojani, Paolo Vanini
Editor(s): Markus Leippold
In: Modelling and Analysis of Safety, Risk and Quality in Complex Systems, Russian Foundation of Fundamental Research, Saint-Petersburg, p. n/a, 2002.


Term Structure Models
Markus Leippold, Thomas Heinzl
Editor(s): Hummler et al.
In: Value-at-Risk in der Vermogensverwaltung, Stämpfli Verlag, Bern, 1997.


Working Papers (15)

Option-Implied Intra-Horizon Risk and First-Passage Disentanglement
Markus Leippold, Nikola Vasiljevic
SSRN, No. 2804702, June 2016.


Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model
Markus Leippold, Nikola Vasiljevic
SFI Research Paper, No. 15-08, March 2015.


Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
Chris Bardgett, Elise Gourier, Markus Leippold
Swiss Finance Institute Research Paper, No. 13-40, 2015.


What's Beneath the Surface? Option Pricing with Multifrequency Latent States
Laurent Calvet, Adlai Fisher, Markus Leippold
HEC Paris Research Paper, No. 969/2013, 2013.


Are ratings the worst form of credit assessment apart from all the others?
Markus Leippold, Andreas Bloechlinger, Basile Maire
Swiss Finance Institute Research Paper, No. 12-09, 2013.


Collateral Smile
Markus Leippold, Lujing Su
Swiss Finance Institute Research Paper Series, No. 11-51, 2013.


Time-Changed Levy LIBOR Market Model for the Joint Estimation and Pricing of Caps and Swaptions
Jacob Stromberg, Markus Leippold
SFI Research Paper Series, No. 12-23, 2012.


Asset Pricing with Matrix Jump Diffusions
Markus Leippold, Fabio Trojani
SSRN, No. 1274482, 2008.


Optimal Investments in Variance Swap Constracts under Stochastic Volatility
Markus Leippold, L Wu, Daniel Egloff
NCCR, , 2006.


Optimal Importance Sampling for Credit Portfolios with Stochastic Approximation
Markus Leippold, Daniel Egloff, Curdin Dalbert, Stephan Jöhri
SSRN, No. 693441, 2005.


American Options with Stopping Time Constraints
Erich Walter Farkas, Daniel Egloff, Markus Leippold
SSRN, No. 798124, 2005.


Don't Rely on VaR!
Markus Leippold
SSRN, No. 981134, 2004.


Other research output (6)

Benchmark prägt Risikoprämie
Markus Leippold, Philippe Rohner
2011.


Hard Choice: Standard Approach and Internal Models
Dean Jovic, Markus Leippold
2000.


Value-at-Risk
Markus Leippold, Thomas Heinzl
1998.


Risk Management and Added-Value
Markus Leippold, Thomas Heinzl, Heinz Zimmermann
1997.


Media coverage (5)

Wildwuchs bei Smart-Beta-Investments
Concerns: Markus Leippold
Neue Zürcher Zeitung, 9 October 2017.


Clearing-Häuser sollen Risiken mindern - nun sind sie selbst eins
Concerns: Markus Leippold
SRF ECO, 20 June 2016.


Komplexe und flexible Wundertüten
Concerns: Markus Leippold
Schaffhauser Nachrichten, 27 November 2014.


Vernunft statt Emotionen
Concerns: Markus Leippold
Finanz und Wirtschaft, 11 October 2014.


UBS Global AM Mitarbeiter begeistern Studenten an Universität Zürich
Concerns: Markus Leippold
UBS Global Asset Management, 16 June 2014.