Swiss Finance Institute Expertise Guide 2018 - Swiss Finance Institute Growing Knowledge Capital
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Swiss Finance Institute
Expertise Guide 2018
Swiss Finance Institute
Growing Knowledge Capital
1
SFI Expertise Guide 2018
(April 30, 2018)
1
© 2018 Swiss Finance Institute Stiftung The information provided within this book is for general information purpose only. No part of this book may be reproduced or transmitted in any form or by any means, electronic or mechanical, including photocopying, recording or by any information storage and retrieval system, without written permission from Swiss Finance Institute Stiftung. Editing: Dr. Cyril Pasche, Swiss Finance Institute Printing and binding: Zumsteg Druck AG, CH-5070 Frick 2
Welcome to
Swiss Finance Institute
Never before has the financial industry undergone such rapid
and fundamental change. Digital disruption and abrupt
changes in regulation are challenging established business
models. In order to remain competitive, the Swiss banking and
finance industry must nurture innovation and expertise.
Swiss Finance Institute (SFI) is a public–private partnership
created in 2006 to keep the Swiss banking and finance industry
at the top of its field. With support from its founders—the Swiss
banking industry, the Swiss Confederation, and leading Swiss
universities—SFI combines academic excellence with practical
experience.
We are the only national center uniting, under one roof,
world-class researchers in six partner universities from across
Switzerland: the École Polytechnique Fédérale de Lausanne, ETH
Zurich, the Università della Svizzera italiana, the University of
Geneva, the University of Lausanne, and the University of Zurich.
Our purpose: growing knowledge capital to guarantee the long-
term prosperity of Switzerland’s financial marketplace.
This book shall give you a comprehensive overview of what we
do at SFI and the extensive expertise of our SFI faculty
members.
François Degeorge Markus P.H. Bürgi
Managing Director CFOO
3
4
Table of Contents
Our Approach....................................................................................... 6
Our Founding Members..................................................................... 9
The SFI Expertise Matrix.................................................................. 11
Our Faculty..........................................................................................13
Our Faculty's Areas of Expertise.....................................................15
Expertise Index...................................................................................17
SFI Faculty Profiles........................................................................... 29
5
Our Approach Growing Knowledge Capital The most valuable asset of any industry is the expertise of its la- bor force—its knowledge capital. For Switzerland to maintain its position as a leading financial center, such capital must continue to grow throughout the financial marketplace. SFI contributes by providing forward-thinking ideas and by connecting key players. 6
Nurture Knowledge
Fundamental research by SFI professors plants
the seeds for new financial ideas and provides
fertile ground for innovation. Since 2006,
SFI professors have published more than 100
articles on banking and finance in top-level
academic journals. And they have shared their
results with all sectors of the finance industry,
through university classes, public workshops,
and continuing education programs.
Cultivate Talent
Talent alone is not sufficient—it must be culti-
vated. By disseminating knowledge, SFI reveals
the value of fundamental research and allows
financial talent to grow. Our events, workshops,
publications, and continuing education pro-
grams boost the competency of all members of
the financial marketplace. SFI professors
expose bachelor’s, master’s, and PhD students
at SFI partner universities to the latest thinking
in banking and finance.
We foster knowledge exchange between prac-
titioners and academics, enabling researchers
to get early feedback on their projects, and
practitioners to have timely access to the exper-
tise of the SFI faculty. Along the way, SFI helps
educate the Swiss public on the workings of the
financial sector.
Create Expertise
The Swiss banking and finance industry profits
from the expertise created by SFI, embodied by
the thousands of graduates from our continuing
education activities and the Finance programs
of our partner universities, as well as the
thousands of readers of our publications and
participants at our events and workshops.
78
Our Founding Members
Swiss Finance Institute
Created in 2006 as a public–private partnership, SFI is a
common initiative of the Swiss finance industry, leading Swiss
universities, and the Swiss Confederation.
Our Partner Universities:
910
The SFI Expertise Matrix
SFI Expertise Matrix Core Activities
Relevance for Activity Areas
Supportive Activities
SFI Faculty Expertise and its Relevance
for the Swiss Financial Industry
Accounting, audit, and contolling
Insurance and reinsurance
Legal, regulation, and tax
SFI Faculty Expertise
Legend
Operations technology
Investment Banking
Asset Management
Corporate Strategy
Corporate Banking
Human Resources
Risk Management
high relevance
Private Banking
medium relevance
Level of
Treasury
Trading
minor relevance
Financial Markets
Central Banks and Monetary Policy
Financial Crises
Financial Forecasting
Information and Market Efficiency
International Financial Markets and Emerging Markets
Systemic Risk and Regulation
Portfolio Management and Asset Classes
Asset Pricing
Behavioral Finance
Commodities
Equities
Fixed Income
Foreign Exchange
Options and Other Derivatives
Personal Finance and Household Choices
Portfolio Management
Real Estate
Financial Institutions
Banks
Independent Asset Managers
Institutional Investors and Funds
Insurance Companies
Pension Funds
Rating Agencies
Venture Capital and Private Equity
Corporate Finance and Governance
Bankruptcy and Liquidation
Capital Budgeting and Investment Policy
Corporate Governance and Managerial Compensation
Financial Risk and Risk Management
Financial Valuation
Financing Policy and Capital Structure
Mergers and Acquisitions
Frontier Topics
Big Data and Fintech
Neurofinance
Operations Research and Decision Theory
Sustainable Finance
1112
Our Faculty
Hansjörg Albrecher................ 31 Semyon Malamud.................. 61
Philippe Bacchetta................. 32 Loriano Mancini......................62
Giovanni Barone-Adesi......... 33 Antonio Mele...........................63
Stefano Battiston .................. 34 Erwan Morellec........................64
Tony Berrada........................... 35 Cosimo-Andrea Munari.........65
Ines Chaieb..............................36 Artem Neklyudov....................66
Patrick Cheridito..................... 37 Boris Nikolov...........................67
Pierre Collin-Dufresne...........38 Eric Nowak...............................68
Suzanne de Treville................39 Kjell G. Nyborg........................69
François Degeorge.................40 Steven Ongena.......................70
Theodosios Dimopoulos....... 41 Per Östberg.............................. 71
Paul Embrechts....................... 42 Marc Paolella........................... 72
Rüdiger Fahlenbrach............. 43 Diane Pierret........................... 73
Walter Farkas........................... 44 Alberto Plazzi.......................... 74
Damir Filipović........................ 45 Jean-Charles Rochet.............. 75
Francesco Franzoni................46 Michael Rockinger..................76
Laurent Frésard....................... 47 Olivier Scaillet........................ 77
Patrick Gagliardini.................48 Paul Schneider........................78
Manfred Gilli............................49 Norman Schürhoff..................79
Amit Goyal...............................50 Martin Schweizer....................80
Michel Habib........................... 51 Halil Mete Soner..................... 81
Harald Hau............................... 52 Didier Sornette.......................82
Thorsten Hens......................... 53 Pascal St-Amour.....................83
Martin Hoesli........................... 54 Roberto Steri...........................84
Julien Hugonnier.................... 55 Josef Teichmann.....................85
Eric Jondeau............................56 Fabio Trojani...........................86
Pablo Koch-Medina................ 57 Alexander F. Wagner..............87
Philipp Krüger.........................58 Joël Wagner.............................88
Felix Kübler..............................59
Henri Loubergé...................... 60
1314
Our Faculty's Areas of Expertise
Financial Markets • Institutional Investors and
• Central Banks and Funds
Monetary Policy • Insurance Companies
• Financial Crises • Pension Funds
• Financial Forecasting • Rating Agencies
• Information and Market • Venture Capital and Private
Efficiency Equity
• International Financial
Markets and Emerging Corporate Finance and
Markets Governance
• Systemic Risk and • Bankruptcy and Liquidation
Regulation • Capital Budgeting and
Investment Policy
Portfolio Management and • Corporate Governance and
Asset Classes Managerial Compensation
• Asset Pricing • Financial Risk and Risk
• Behavioral Finance Management
• Commodities • Financial Valuation
• Equities • Financing Policy and
• Fixed Income Capital Structure
• Foreign Exchange • Mergers and Acquisitions
• Options and Other
Derivatives Frontier Topics
• Personal Finance and • Big Data and Fintech
Household Choices • Neurofinance
• Portfolio Management • Operations Research and
• Real Estate Decision Theory
• Sustainable Finance
Financial Institutions
• Banks
• Independent Asset
Managers
1516
Expertise Index
Looking for specific expertise and trying to get in touch with
one of our faculty members? Do not hesitate to contact us!
English, French: Dr. Cyril Pasche,
Cyril.Pasche@sfi.ch,
+41 22 379 88 25
English, German: Dr. Markus Bürgi,
Markus.Buergi@sfi.ch,
+41 44 254 30 95
Financial Markets
Central Banks and Monetary Felix Kübler.............................. 59
Policy Semyon Malamud.................. 61
Philippe Bacchetta................. 32 Loriano Mancini...................... 62
Harald Hau............................... 52 Erwan Morellec........................ 64
Julien Hugonnier.................... 55 Eric Nowak............................... 68
Eric Jondeau............................ 56 Kjell G. Nyborg........................ 69
Semyon Malamud.................. 61 Steven Ongena....................... 70
Antonio Mele........................... 63 Per Östberg...............................71
Artem Neklyudov.................... 66 Alberto Plazzi.......................... 74
Kjell G. Nyborg........................ 69 Jean-Charles Rochet.............. 75
Steven Ongena....................... 70 Olivier Scaillet........................ 77
Jean-Charles Rochet.............. 75 Paul Schneider........................ 78
Didier Sornette....................... 82 Didier Sornette....................... 82
Joël Wagner............................. 88
Financial Crises
Philippe Bacchetta................. 32 Financial Forecasting
Theodosios Dimopoulos........41 Manfred Gilli............................ 49
Paul Embrechts....................... 42 Eric Jondeau............................ 56
Harald Hau............................... 52 Antonio Mele........................... 63
Eric Jondeau............................ 56 Alberto Plazzi.......................... 74
17Olivier Scaillet........................ 77 Systemic Risk and
Paul Schneider........................ 78 Regulation
Josef Teichmann..................... 85 Hansjörg Albrecher.................31
Fabio Trojani........................... 86 Stefano Battiston................... 34
Patrick Cheridito..................... 37
Information and Market Paul Embrechts....................... 42
Efficiency Damir Filipović........................ 45
Tony Berrada........................... 35 Patrick Gagliardini................. 48
Pierre Collin-Dufresne........... 38 Harald Hau............................... 52
Francesco Franzoni................ 46 Eric Jondeau............................ 56
Amit Goyal............................... 50 Semyon Malamud.................. 61
Thorsten Hens......................... 53 Antonio Mele........................... 63
Julien Hugonnier.................... 55 Erwan Morellec........................ 64
Philipp Krüger......................... 58 Steven Ongena....................... 70
Semyon Malamud.................. 61 Jean-Charles Rochet.............. 75
Antonio Mele........................... 63 Michael Rockinger.................. 76
Artem Neklyudov.................... 66 Olivier Scaillet........................ 77
Eric Nowak............................... 68 Joël Wagner............................. 88
Alberto Plazzi.......................... 74
Olivier Scaillet........................ 77
Martin Schweizer.................... 80
Didier Sornette....................... 82
Josef Teichmann..................... 85
Alexander F. Wagner.............. 87
International Financial
Markets and Emerging
Markets
Ines Chaieb.............................. 36
Harald Hau............................... 52
Semyon Malamud.................. 61
Alberto Plazzi.......................... 74
Olivier Scaillet........................ 77
Didier Sornette....................... 82
18Portfolio Management and Asset Classes
Asset Pricing Didier Sornette....................... 82
Giovanni Barone-Adesi......... 33 Alexander F. Wagner.............. 87
Tony Berrada........................... 35
Ines Chaieb.............................. 36 Commodities
Patrick Cheridito..................... 37 Giovanni Barone-Adesi......... 33
Pierre Collin-Dufresne........... 38 Pierre Collin-Dufresne........... 38
Damir Filipović........................ 45 Damir Filipović........................ 45
Francesco Franzoni................ 46 Didier Sornette....................... 82
Patrick Gagliardini................. 48 Josef Teichmann..................... 85
Manfred Gilli............................ 49
Amit Goyal............................... 50 Equities
Julien Hugonnier.................... 55 Giovanni Barone-Adesi......... 33
Pablo Koch-Medina................ 57 Ines Chaieb.............................. 36
Philipp Krüger......................... 58 Pierre Collin-Dufresne........... 38
Felix Kübler.............................. 59 François Degeorge................. 40
Semyon Malamud.................. 61 Damir Filipović........................ 45
Loriano Mancini...................... 62 Francesco Franzoni................ 46
Antonio Mele........................... 63 Patrick Gagliardini................. 48
Artem Neklyudov.................... 66 Amit Goyal............................... 50
Alberto Plazzi.......................... 74 Harald Hau............................... 52
Michael Rockinger.................. 76 Eric Jondeau............................ 56
Olivier Scaillet........................ 77 Antonio Mele........................... 63
Paul Schneider........................ 78 Kjell G. Nyborg........................ 69
Norman Schürhoff.................. 79 Per Östberg...............................71
Martin Schweizer.................... 80 Alberto Plazzi.......................... 74
Halil Mete Soner..................... 81 Michael Rockinger.................. 76
Didier Sornette....................... 82 Olivier Scaillet........................ 77
Roberto Steri........................... 84 Paul Schneider........................ 78
Fabio Trojani........................... 86 Didier Sornette....................... 82
Roberto Steri........................... 84
Behavioral Finance Fabio Trojani........................... 86
Tony Berrada........................... 35 Alexander F. Wagner.............. 87
François Degeorge................. 40
Amit Goyal............................... 50 Fixed Income
Thorsten Hens......................... 53 Ines Chaieb.............................. 36
Philipp Krüger......................... 58 Patrick Cheridito..................... 37
Eric Nowak............................... 68 Pierre Collin-Dufresne........... 38
Olivier Scaillet........................ 77 Damir Filipović........................ 45
19Manfred Gilli............................ 49 Pierre Collin-Dufresne........... 38
Antonio Mele........................... 63 Suzanne de Treville................ 39
Artem Neklyudov.................... 66 Paul Embrechts....................... 42
Kjell G. Nyborg........................ 69 Walter Farkas........................... 44
Per Östberg...............................71 Damir Filipović........................ 45
Alberto Plazzi.......................... 74 Patrick Gagliardini................. 48
Michael Rockinger.................. 76 Manfred Gilli............................ 49
Olivier Scaillet........................ 77 Julien Hugonnier.................... 55
Paul Schneider........................ 78 Henri Loubergé.......................60
Norman Schürhoff.................. 79 Semyon Malamud.................. 61
Halil Mete Soner..................... 81 Loriano Mancini...................... 62
Josef Teichmann..................... 85 Antonio Mele........................... 63
Fabio Trojani........................... 86 Artem Neklyudov.................... 66
Michael Rockinger.................. 76
Foreign Exchange Olivier Scaillet........................ 77
Philippe Bacchetta................. 32 Paul Schneider........................ 78
Giovanni Barone-Adesi......... 33 Norman Schürhoff.................. 79
Ines Chaieb.............................. 36 Martin Schweizer.................... 80
Pierre Collin-Dufresne........... 38 Halil Mete Soner..................... 81
Manfred Gilli............................ 49 Josef Teichmann..................... 85
Harald Hau............................... 52 Fabio Trojani........................... 86
Julien Hugonnier.................... 55
Henri Loubergé.......................60 Personal Finance and House-
Semyon Malamud.................. 61 hold Choices
Loriano Mancini...................... 62 Eric Nowak............................... 68
Michael Rockinger.................. 76 Pascal St-Amour..................... 83
Paul Schneider........................ 78 Alexander F. Wagner.............. 87
Martin Schweizer.................... 80
Didier Sornette....................... 82 Portfolio Management
Josef Teichmann..................... 85 Giovanni Barone-Adesi......... 33
Fabio Trojani........................... 86 Tony Berrada........................... 35
Pierre Collin-Dufresne........... 38
Options and Other Francesco Franzoni................ 46
Derivatives Patrick Gagliardini................. 48
Giovanni Barone-Adesi......... 33 Manfred Gilli............................ 49
Stefano Battiston................... 34 Amit Goyal............................... 50
Tony Berrada........................... 35 Thorsten Hens......................... 53
Patrick Cheridito..................... 37 Julien Hugonnier.................... 55
20Eric Jondeau............................ 56
Philipp Krüger......................... 58
Semyon Malamud.................. 61
Antonio Mele........................... 63
Artem Neklyudov.................... 66
Marc Paolella........................... 72
Alberto Plazzi.......................... 74
Michael Rockinger.................. 76
Olivier Scaillet........................ 77
Paul Schneider........................ 78
Martin Schweizer.................... 80
Halil Mete Soner..................... 81
Didier Sornette....................... 82
Pascal St-Amour..................... 83
Josef Teichmann..................... 85
Fabio Trojani........................... 86
Joël Wagner............................. 88
Real Estate
Pierre Collin-Dufresne........... 38
Martin Hoesli........................... 54
Artem Neklyudov.................... 66
Alberto Plazzi.......................... 74
Michael Rockinger.................. 76
Didier Sornette....................... 82
2122
Financial Institutions
Banks Thorsten Hens......................... 53
Giovanni Barone-Adesi......... 33 Pablo Koch-Medina................ 57
Paul Embrechts....................... 42 Henri Loubergé.......................60
Rüdiger Fahlenbrach............. 43 Cosimo-Andrea Munari......... 65
Harald Hau............................... 52 Artem Neklyudov.................... 66
Thorsten Hens......................... 53 Joël Wagner............................. 88
Eric Jondeau............................ 56
Erwan Morellec........................ 64 Pension Funds
Artem Neklyudov.................... 66 Francesco Franzoni................ 46
Kjell G. Nyborg........................ 69 Amit Goyal............................... 50
Steven Ongena....................... 70 Thorsten Hens......................... 53
Diane Pierret........................... 73 Eric Jondeau............................ 56
Jean-Charles Rochet.............. 75 Semyon Malamud.................. 61
Roberto Steri........................... 84 Michael Rockinger.................. 76
Alexander F. Wagner.............. 87 Joël Wagner............................. 88
Independent Asset Managers Rating Agencies
Giovanni Barone-Adesi......... 33 Pierre Collin-Dufresne........... 38
Francesco Franzoni................ 46 Harald Hau............................... 52
Semyon Malamud.................. 61 Artem Neklyudov.................... 66
Alexander F. Wagner.............. 87 Norman Schürhoff.................. 79
Institutional Investors and Venture Capital and Private
Funds Equity
Francesco Franzoni................ 46 François Degeorge................. 40
Amit Goyal............................... 50 Theodosios Dimopoulos........41
Harald Hau............................... 52 Rüdiger Fahlenbrach............. 43
Eric Jondeau............................ 56 Francesco Franzoni................ 46
Philipp Krüger......................... 58 Michel Habib............................51
Artem Neklyudov.................... 66 Eric Nowak............................... 68
Eric Nowak............................... 68
Diane Pierret........................... 73
Alexander F. Wagner.............. 87
Insurance Companies
Hansjörg Albrecher.................31
Paul Embrechts....................... 42
Damir Filipović........................ 45
2324
Corporate Finance and Governance
Bankruptcy and Liquidation Philipp Krüger......................... 58
Hansjörg Albrecher.................31 Erwan Morellec........................ 64
Stefano Battiston................... 34 Boris Nikolov........................... 67
Laurent Frésard....................... 47 Eric Nowak............................... 68
Erwan Morellec........................ 64 Steven Ongena....................... 70
Artem Neklyudov.................... 66 Alexander F. Wagner.............. 87
Boris Nikolov........................... 67
Eric Nowak............................... 68 Financial Risk and Risk
Steven Ongena....................... 70 Management
Hansjörg Albrecher.................31
Capital Budgeting and Giovanni Barone-Adesi......... 33
Investment Policy Stefano Battiston................... 34
Hansjörg Albrecher.................31 Patrick Cheridito..................... 37
Theodosios Dimopoulos........41 Pierre Collin-Dufresne........... 38
Rüdiger Fahlenbrach............. 43 Paul Embrechts....................... 42
Laurent Frésard....................... 47 Rüdiger Fahlenbrach............. 43
Harald Hau............................... 52 Walter Farkas........................... 44
Julien Hugonnier.................... 55 Damir Filipović........................ 45
Philipp Krüger......................... 58 Laurent Frésard....................... 47
Erwan Morellec........................ 64 Eric Jondeau............................ 56
Artem Neklyudov.................... 66 Pablo Koch-Medina................ 57
Boris Nikolov........................... 67 Semyon Malamud.................. 61
Kjell G. Nyborg........................ 69 Antonio Mele........................... 63
Norman Schürhoff.................. 79 Erwan Morellec........................ 64
Martin Schweizer.................... 80 Cosimo-Andrea Munari......... 65
Roberto Steri........................... 84 Artem Neklyudov.................... 66
Alexander F. Wagner.............. 87 Boris Nikolov........................... 67
Joël Wagner............................. 88 Olivier Scaillet........................ 77
Martin Schweizer.................... 80
Corporate Governance and Didier Sornette....................... 82
Managerial Compensation Josef Teichmann..................... 85
Pierre Collin-Dufresne........... 38 Fabio Trojani........................... 86
Theodosios Dimopoulos........41 Joël Wagner............................. 88
Paul Embrechts....................... 42
Rüdiger Fahlenbrach............. 43 Financial Valuation
Laurent Frésard....................... 47 Pierre Collin-Dufresne........... 38
Michel Habib............................51 Theodosios Dimopoulos........41
Harald Hau............................... 52 Damir Filipović........................ 45
25Laurent Frésard....................... 47 Erwan Morellec........................ 64 Michel Habib............................51 Eric Nowak............................... 68 Harald Hau............................... 52 Alexander F. Wagner.............. 87 Pablo Koch-Medina................ 57 Philipp Krüger......................... 58 Erwan Morellec........................ 64 Cosimo-Andrea Munari......... 65 Artem Neklyudov.................... 66 Boris Nikolov........................... 67 Eric Nowak............................... 68 Kjell G. Nyborg........................ 69 Norman Schürhoff.................. 79 Martin Schweizer.................... 80 Alexander F. Wagner.............. 87 Financing Policy and Capital Structure Hansjörg Albrecher.................31 Theodosios Dimopoulos........41 Laurent Frésard....................... 47 Julien Hugonnier.................... 55 Pablo Koch-Medina................ 57 Philipp Krüger......................... 58 Semyon Malamud.................. 61 Erwan Morellec........................ 64 Boris Nikolov........................... 67 Kjell G. Nyborg........................ 69 Norman Schürhoff.................. 79 Roberto Steri........................... 84 Alexander F. Wagner.............. 87 Joël Wagner............................. 88 Mergers and Acquisitions François Degeorge................. 40 Theodosios Dimopoulos........41 Rüdiger Fahlenbrach............. 43 Laurent Frésard....................... 47 26
Frontier Topics
Big Data and Fintech
Stefano Battiston................... 34
Ines Chaieb.............................. 36
Paul Embrechts....................... 42
Damir Filipović........................ 45
Laurent Frésard....................... 47
Harald Hau............................... 52
Thorsten Hens......................... 53
Julien Hugonnier.................... 55
Antonio Mele........................... 63
Artem Neklyudov.................... 66
Eric Nowak............................... 68
Per Östberg...............................71
Michael Rockinger.................. 76
Olivier Scaillet........................ 77
Didier Sornette....................... 82
Josef Teichmann..................... 85
Fabio Trojani........................... 86
Joël Wagner............................. 88
Neurofinance
Tony Berrada........................... 35
Operations Research and
Decision Theory
Hansjörg Albrecher.................31
Suzanne de Treville................ 39
Thorsten Hens......................... 53
Paul Schneider........................ 78
Martin Schweizer.................... 80
Josef Teichmann..................... 85
Sustainable Finance
Stefano Battiston................... 34
Rüdiger Fahlenbrach............. 43
Philipp Krüger......................... 58
Eric Nowak............................... 68
Steven Ongena....................... 70
2728
SFI Faculty Profiles
2930
Prof. Hansjörg Albrecher
SFI Faculty Member since 2010
University of Lausanne
Hansjoerg.Albrecher@sfi.ch
+41 21 692 33 71
Hansjörg Albrecher is Professor of Actuarial Expertise
Science at the University of Lausanne and Financial Markets
has been an SFI Faculty Member since • Systemic Risk and Regulation
2010. Professor Albrecher is a regular
speaker at leading conferences on Financial Institutions
insurance. He has published extensively • Insurance Companies
and also serves on the editorial boards of
the top academic journals in his areas of Corporate Finance and Governance
research expertise. • Bankruptcy and Liquidation
• Capital Budgeting and Managerial
Recent Research Compensation
In a recent study Professor Albrecher and • Financial Risk and Risk Management
his coauthor discuss the potential of • Financing Policy and Capital Structure
randomizing reinsurance treaties for the
efficient risk management of insurance Frontier Topics
companies. Although it may, at first, seem • Operations Research and Decision Theory
counterintuitive to introduce additional
randomness to an already uncertain Language Skills
insurance issue, the researchers show that English, French, German
such randomness allows insurance compa-
nies to exploit diversification opportunities,
drop premium levels, and also mitigate
moral hazard problems that exist within
traditional forms of reinsurance.
31Prof. Philippe Bacchetta
SFI Senior Chair since 2013
SFI Faculty Member since 2006
University of Lausanne
Philippe.Bacchetta@sfi.ch
+41 21 692 34 73
Philippe Bacchetta is Professor of Econo- would be implemented. Second, regarding
mics at the University of Lausanne. He the way economic agents might react,
joined SFI in 2006 and has been an SFI as such a system has never before been
Senior Chair since 2013. He holds a PhD in implemented. Furthermore, there is little
Economics from Harvard University. He has empirical evidence that supports the central
been a visiting scholar at the International arguments that the initiators put forward
Monetary Fund on several occasions and regarding the fact that money amplifies
has provided consultancy services at nume- business cycles and that the reform could
rous central banks around the world. help us avoid financial crises.
Recent Research Expertise
One of Professor Bacchetta’s recent studies Financial Markets
reviews the arguments regarding and • Central Banks and Monetary Policy
discusses the potential impact of the • Financial Crises
Sovereign Money Initiative. If the
proposal—on which the Swiss people will Portfolio Management and Asset Classes
be called to vote in 2018—is approved, then • Foreign Exchange
only the Swiss National Bank (SNB) will
be able to issue bank notes and scriptural Language Skills
money. Such a move would be similar to English, French, Spanish
having a 100 percent reserve requirement
imposed on commercial banks’ sight depo-
sits. It would shift all sight deposits away
from commercial banks’ balance sheets to
the SNB’s balance sheet, provide the SNB
with full control over these deposits, and
strip interest away from accounts, even
in periods of high interest rates. The text
of the proposal carries with it a high level
of uncertainty. First, regarding the way it
32Prof. Giovanni Barone-Adesi
SFI Senior Chair from 2006 to 2016
SFI Faculty Member since 2006
Università della Svizzera italiana
Giovanni.Barone-Adesi@sfi.ch
+41 58 666 47 53
Giovanni Barone-Adesi is Professor of adversely affect the value of the collateral
Economics at the Università della Svizzera that defaulting members have deposited
italiana. Professor Barone-Adesi held an with the CCP to meet their initial margin
SFI Senior Chair from 2006 to 2016. He is requirements.
President of OpenCapital, an asset
management firm based in Lugano, and Expertise
a member of the Board of Credit Agricole Portfolio Management and Asset Classes
Indosuez (Suisse). His recent research has • Asset Pricing
focused on developing new tools for the • Commodities
management of market risk. • Equities
• Foreign Exchange
Recent Research • Options and Other Derivatives
In recent research, Professor Barone-Adesi • Portfolio Management
and his coauthors investigate the robust-
ness of the financial resources that central Financial Institutions
counterparties (CCPs) operating in the • Banks
European Union must allocate in order to • Independent Asset Managers
be in compliance with the European Market
Infrastructure Regulation (EMIR). EMIR, Corporate Finance and Governance
which came into force in 2013, requires a • Financial Risk and Risk Management
mandatory clearing of standardized over-
the-counter derivative transactions through Language Skills
CCPs to limit systemic and counterparty English, French, Italian
risk, and to prevent the financial system
from collapsing. The authors contribute
to the ongoing debate regarding banking
and financial regulation by estimating the
potential losses CCPs would face in the
case of multiple defaults. Their results
reveal how extreme market conditions may
33Prof. Stefano Battiston
SFI Faculty Member since 2017
University of Zurich
Stefano.Battiston@sfi.ch
+41 44 634 40 58
Stefano Battiston is SNF Professor at the capital requirements, usually alleged to
Department of Banking and Finance of be procyclical, does not increase systemic
the University of Zurich. He holds a PhD risk unless the asset market is illiquid. Yet
in Physics from Eurobios and the Ecole when the asset market is illiquid, even a
Normale Supérieure and became an SFI weak compliance with capital requirements
Faculty Member in 2017. His work applies significantly increases systemic risk. Such
the complex networks approach to both findings bear implications for policy makers
the empirical analysis of large economic seeking to mitigate systemic risk by using
networks and the modelling of their dyna- macro-prudential tools.
mics. For several years his main interests
have been financial contagion, default Expertise
cascades, and propagation of financial Financial Markets
distress, where he combines insights from • Systemic Risk and Regulation
the statistical mechanics of networks with
the analysis of economic incentives. Portfolio Management and Asset Classes
• Options and Other Derivatives
Recent Research
One of Professor Battiston’s recent co- Corporate Finance and Governance
authored research papers contributes to the • Bankruptcy and Liquidation
growing literature on market procyclicality • Financial Risk and Risk Management
and systemic risk. To do so, the researchers
model the systemic risk associated with Frontier Topics
the so-called balance-sheet amplification • Big Data and Fintech
mechanism in a system of banks with inter- • Sustainable Finance
locked balance sheets and with positions in
real-economy-related assets. Their mode- Language Skills
ling integrates price dynamics with active English, German, Italian
balance-sheet management aimed at main-
taining the value at risk at a target level.
Results show that a strong compliance with
34Prof. Tony Berrada
SFI Faculty Member since 2006
University of Geneva
Tony.Berrada@sfi.ch
+41 22 379 81 26
Tony Berrada is Professor of Finance at metrics, which provide statistically
the University of Geneva and has been an significant results only after three and
SFI Faculty Member since 2006. Professor 11 quarters, respectively.
Berrada is a regular speaker at leading
finance conferences and workshops Expertise
worldwide. He teaches executive education Financial Markets
courses on portfolio management. • Information and Market Efficiency
Recent Research Portfolio Management and Asset Classes
In a recent paper, Professor Berrada and his • Asset Pricing
coauthors contribute to the asset pricing • Behavioral Finance
literature by focusing on the general lack • Options and Other Derivatives
of ability that exists when one seeks to • Portfolio Management
predict the dynamic features of asset prices.
The researchers innovate by developing a Frontier Topics
model that includes unobservable growth • Neurofinance
regimes, beliefs-dependent risk aver-
sion, and macroeconomic information to Language Skills
predict future asset returns. Their model English, French
possesses attractive predictive properties
and is able to produce a measure of equity
volatility that tracks realized volatility and a
countercyclical equity premium that spikes
during recessions. Empirical results, based
on data from 1957 to 2014, show that the
macroeconomic metric the researchers
develop provides a significant contribution
to predicting future asset returns for all time
horizons, which is not the case for the usual
consumption–wealth and dividend yield
35Prof. Ines Chaieb
SFI Faculty Member since 2010
University of Geneva
Ines.Chaieb@sfi.ch
+41 22 379 85 68
Ines Chaieb is Associate Professor of Further estimations also reveal that factor
Finance at the University of Geneva and risk premia change over time.
has been an SFI Faculty Member since
2010. She obtained her PhD in Finance Expertise
from McGill University. Professor Chaieb is Financial Markets
a regular speaker at major academic confe- • International Financial Markets and
rences and workshops in finance worldwide. Emerging Markets
Recent Research Portfolio Management and Asset Classes
In ongoing research on international asset • Asset Pricing
pricing and market integration, Professor • Equities
Chaieb and her coauthors contribute to the • Fixed Income
asset pricing literature by using individual • Foreign Exchange
stock level data, instead of aggregated
measures such as portfolios or indices, to Frontier Topics
estimate worldwide and region- and coun- • Big Data and Fintech
try-specific factors. Results obtained using
58’674 stocks across 46 countries from 1985 Language Skills
to 2017 show that different factors, such as Arabic, English, French
market, size, value, momentum, investment,
and profitability, are at work. In developed
markets, for example, the country market
premia are smaller than world or regional
market premia, suggesting that diversifi-
cation benefits are limited. Results differ
for emerging markets and reveal that the
country factor risk premia are large relative
to the world or regional factor risk premia
and that investors can benefit from further
investment decisions in such markets.
36Prof. Patrick Cheridito
SFI Faculty Member since 2017
ETH Zurich
Patrick.Cheridito@sfi.ch
+41 44 633 87 87
Patrick Cheridito is Professor of Mathe- disproportionally as they become large in
matics at ETH Zurich. He became an SFI comparison to a country’s economy. The
Faculty Member in 2017. Since June 2016, researchers provide recommendations
he has been serving as Co-director of regarding how regulation can be improved
RiskLab Switzerland, an interdisciplinary by setting systemic risk limits and imposing
center in the Department of Mathematics systemic risk charges and a cap and trade
of ETH Zurich devoted to research and system for systemic risk.
education in financial and actuarial mathe-
matics. He is also a member of the steering Expertise
committee of ETH Zurich’s Master’s Financial Markets
program in Data Science and is involved in • Systemic Risk and Regulation
various industry collaborations.
Portfolio Management and Asset Classes
Recent Research • Asset Pricing
In a recent paper, Professor Cheridito • Fixed Income
and his coauthor develop a framework • Options and Other Derivatives
for measuring, allocating, and managing
financial systemic risk. Their measure of Corporate Finance and Governance
total systemic risk, SystRisk, incorporates • Financial Risk and Risk Management
the a priori cost to society related to the
fact that governments often do not have Language Skills
a choice but to support failing financial English, German
institutions in order to protect the economy.
Their approach views financial institutions
as parts of the financial system and relates
the financial industry to the real economy.
As a consequence, a bank that behaves as
part of a herd is allocated more systemic
risk than a bank that acts more indepen-
dently, and the costs of externalities grow
37Prof. Pierre Collin-Dufresne
SFI Senior Chair since 2011
SFI Faculty Member since 2011
Ecole Polytechnique Fédérale de Lausanne
Pierre.Collin-Dufresne@sfi.ch
+41 21 693 01 36
Pierre Collin-Dufresne is Professor of Finance clients who value immediacy could not get
at the Ecole Polytechnique Fédérale de Laus- better execution by sending their orders to
anne and has been an SFI Senior Chair since the interdealer market, suggesting that the
2011. Previously, he held a Chair in Business two-tiered market structure will remain.
at Columbia University. He currently sits on
the academic advisory board of Lombard Expertise
Odier Asset Management, provides expert Financial Markets
advice for Cornerstone Research, is a • Information and Market Efficiency
consultant for the European Central Bank,
and serves on the editorial boards of various Portfolio Management and Asset Classes
academic journals. • Asset Pricing
• Commodities
Recent Research • Equities
One of the recent topics Professor Collin-Duf- • Fixed Income
resne and his coauthors have been investiga- • Foreign Exchange
ting is the market structure and transaction • Options and Other Derivatives
costs within the index credit default swap • Portfolio Management
market. Since its inception, the index credit • Real Estate
default swap market has operated as a
two-tiered over-the-counter market with Financial Institutions
a dealer-to-client market and an interde- • Rating Agencies
aler market, with dealer-to-client trades
bearing higher transaction costs and larger Corporate Finance and Governance
price impacts than interdealer trades. The • Corporate Governance and Managerial
Dodd–Frank Act had the potential to change Compensation
this to an all-to-all trading environment. • Financial Risk and Risk Management
Data reveal that the persistent difference in • Financial Valuation
transaction costs is entirely explained by the
higher and largely permanent price impact Language Skills
of client trades. Further research reveals that English, French, German
38Prof. Suzanne de Treville
SFI Faculty Member since 2017
University of Lausanne
Suzanne.deTreville@sfi.ch
+41 21 692 34 48
Suzanne de Treville is Professor of Opera- ties. Over the past twenty years economists
tions Management at the University of generally expected that as jobs were lost
Lausanne and became an SFI Faculty in the developed world, new jobs would be
Member in 2017. Professor de Treville created based on the wealth generated by
obtained her doctorate from the Harvard the savings arising from low-cost industrial
Business School. She has played a pionee- sourcing. Recent data shows that trade
ring role in the application of quantitative shocks have negatively impacted workers
finance methods to the cash flows that in affected industries and highlights the
flow through the supply chain. She created fact that trade has not only benefits, but
OpLab (Operations Laboratory at the also significant costs. Both policy makers
University of Lausanne) to facilitate the and economists should focus on developing
implementation of these research insights effective tools for better managing and
and tools by managers and policy makers. mitigating the costs related to international
She has recently been appointed as Editor trade adjustments.
in Chief for the Journal of Operations
Management. Expertise
Portfolio Management and Asset Classes
Recent Research • Options and Other Derivatives
In a recent paper, Professor de Treville and
her coauthors contribute to the debate Frontier Topics
relating to the future of industrial manu- • Operations Research and Decision Theory
facturing in the developed world. On the
one hand, there is a consensus regarding Language Skills
the fact that manufacturing strengthens English, Finnish, French
the economy in which it is carried out by
creating follow-on production. On the other
hand, there is recognition regarding the fact
that manufacturing must pay its own way,
and that it is not up to governments and
shareholders to support unprofitable activi-
39Prof. François Degeorge
SFI Managing Director since 2016
SFI Senior Chair since 2010
SFI Faculty Member since 2006
Università della Svizzera italiana
Francois.Degeorge@sfi.ch
+41 58 666 46 34
François Degeorge is SFI Managing drifts and larger abnormal trading volumes
Director, an SFI Senior Chair, and Professor following earnings announcements. Overall,
of Finance at the Università della Svizzera findings highlight the importance of the
italiana. He is a former Dean of the Faculty format of company news when seeking to
of Economics at the Università della capture investor attention.
Svizzera italiana and a former President of
the European Finance Association. He has Expertise
taught at HEC Paris, where he also served Portfolio Management and Asset Classes
as Associate Dean for Research. He has • Behavioral Finance
been a visiting professor at the Tuck School • Equities
of Business, at Université Paris-Dauphine,
and at the Saïd Business School. Professor Financial Institutions
Degeorge holds a PhD from Harvard Univer- • Venture Capital and Private Equity
sity, where he was a Fulbright Scholar and
an Arthur Sachs Scholar. He has received Corporate Finance and Governance
numerous teaching and research awards. • Mergers and Acquisitions
Recent Research Language Skills
One of Professor Degeorge’s most recent English, French, Italian
coauthored projects looks at how investor
attention changes when firms adopt modern
news dissemination technologies. To shed
light on this topic, the researchers focus
on the consequences of the adoption of an
English-language electronic wire service
by European firms to disseminate news on
stock market behavior. Quantitative results
suggest that firms that start dissemina-
ting news through English-language wire
services experience smaller price stock
40Prof. Theodosios Dimopoulos
SFI Faculty Member since 2011
University of Lausanne
Theodosios.Dimopoulos@sfi.ch
+41 21 692 33 98
Theodosios Dimopoulos is Professor of in terms of size and frequency of bailouts,
Finance at the University of Lausanne and should vary depending on governments’
has been an SFI Faculty Member since degree of myopia.
2011. He obtained his PhD in Finance from
London Business School with a disserta- Expertise
tion on managerial incentives in corporate Financial Markets
decisions. Professor Dimopoulos has • Financial Crises
received several grants and awards during
his studies in finance. Financial Institutions
• Venture Capital and Private Equity
Recent Research
In a recent paper, Professor Dimopoulos Corporate Finance and Governance
and his coauthor study a model of sovereign • Capital Budgeting and Investment Policy
borrowing in which governments exhibit • Corporate Governance and Managerial
myopic behavior in the form of instanta- Compensation
neous gratification. Governments’ decisions • Financial Valuation
regarding investment, consumption, and • Financing Policy and Capital Structure
borrowing determine their wealth dynamics • Mergers and Acquisitions
and the frequency at which default bounda-
ries are reached. The researchers show that Language Skills
sufficiently myopic governments create English, Greek
self-inflicted crises in which wealth growth
deteriorates the poorer the government
becomes. Furthermore, they examine
whether myopia leads to a hastening or
to procrastination with regard to seeking
International Monetary Fund support aimed
at avoiding creditor loses and contagion
effects. Finally, results show how the Inter-
national Monetary Fund’s optimal response,
41Prof. Paul Embrechts
SFI Senior Chair since 2009
SFI Faculty Member since 2007
ETH Zurich
Paul.Embrechts@sfi.ch
+41 44 632 34 19
Paul Embrechts is Professor of Mathe- and empirically show that firms with higher
matics at ETH Zurich. He joined SFI in 2007 incidences of selected ICWs have higher
and has held an SFI Senior Chair since time-varying severities for operational risk.
2009. Professor Embrechts’ research has Their methodology provides risk managers
been published in top academic journals and regulators with a tool that uncovers the
worldwide and featured in the international non-obvious patterns hidden in operational
media. He is a regular speaker at leading risk data.
international conferences on risk manage-
ment aimed at both academics and industry Expertise
professionals. He also serves on the edito- Financial Markets
rial boards of several international journals • Financial Crises
and is a member of numerous international • Systemic Risk and Regulation
advisory panels.
Portfolio Management and Asset Classes
Recent Research • Options and Other Derivatives
In a recent paper, Professor Embrechts
and his coauthors address some of the Financial Institutions
underlying issues regarding operational • Banks
risks for financial institutions by applying • Insurance Companies
a non-homogeneous Poisson model and
dynamic extreme value theory (EVT) while Corporate Finance and Governance
taking the frequency, severity, and risk • Corporate Governance and Managerial
measures for operational risk into account. Compensation
Compared with a classical EVT approach, • Financial Risk and Risk Management
dynamic EVT offers better performance with
respect to statistical fit and realism, and Frontier Topics
has good flexibility with respect to different • Big Data and Fintech
empirical data sets. The researchers further
include firm-specific variables associated Language Skills
with internal control weaknesses (ICWs) Dutch, English, French, German
42Prof. Rüdiger Fahlenbrach
SFI Senior Chair since 2012
SFI Faculty Member since 2009
Ecole Polytechnique Fédérale de Lausanne
Ruediger.Fahlenbrach@sfi.ch
+41 21 693 00 98
Rüdiger Fahlenbrach is Associate Professor high-growth banks have a lower return
of Finance at the Ecole Polytechnique on assets and increase their loan loss
Fédérale de Lausanne and has held an SFI reserves. The evidence the researchers find
Senior Chair since 2012. He graduated with is consistent with the fact that fast-gro-
a PhD in Finance from the Wharton School wing banks, analysts, and investors fail to
of Business. Before joining the faculty in properly appreciate the extent to which
Lausanne in 2009, Professor Fahlenbrach fast loan growth results from making riskier
was Assistant Professor of Finance at the loans and failing to charge for these risks
Ohio State University. Professor Fahlen- correctly.
brach’s research has been published in
the top finance journals worldwide and Expertise
has featured in the international press, Financial Institutions
including The Economist and NZZ. He is • Banks
a regular speaker at leading academic • Venture Capital and Private Equity
conferences and also serves on the editorial
boards of some of the top academic jour- Corporate Finance and Governance
nals in finance. • Capital Budgeting and Investment Policy
• Corporate Governance and Managerial
Recent Research Compensation
One of Professor Fahlenbrach’s latest • Financial Risk and Risk Management
coauthored papers shows that the common • Mergers and Acquisitions
stock of US banks with loan growth in the
top quartile of banks over a three-year Frontier Topics
period significantly underperforms the • Sustainable Finance
common stock of banks with loan growth
in the bottom quartile over the next three Language Skills
years. High-growth banks also carry English, French, German
significantly higher crash risk and provi-
sion less for loan losses than other banks.
After the expansion period, these same
43Prof. Walter Farkas
SFI Faculty Member since 2013
University of Zurich
Walter.Farkas@sfi.ch
+41 44 634 39 53
Walter Farkas is Professor of Quantitative Expertise
Finance at the University of Zurich and Portfolio Management and Asset Classes
a team member of the SFI Knowledge • Options and Other Derivatives
Catalyst, an industry placement program for
SFI academic partner institutions’ Master’s Corporate Finance and Governance
students. Professor Farkas is also an asso- • Financial Risk and Risk Management
ciated Faculty Member at the Department
of Mathematics of ETH Zurich and is the Language Skills
program director of the Master of Science English, German
in Quantitative Finance, a degree jointly
offered by ETH Zurich and the University of
Zurich since 2003.
Recent Research
In a recent study, Professor Farkas and his
coauthor contribute to the asset pricing
literature by developing a methodology that
analyzes the evolution of heterogeneity over
time and studies its impact on asset prices.
In their model, market participants differ
with respect to impatience, risk aversion,
beliefs about the growth rate of output,
and to the rules for updating beliefs. This
heterogeneity is described by a single
measure and its dynamics by a random
process. The main finding of their paper
consists in obtaining a formulation for asset
prices when preferences are homogeneous
and risk aversion is given by a natural
number.
44Prof. Damir Filipović
SFI Senior Chair since 2010
SFI Faculty Member since 20110
Ecole Polytechnique Fédérale de Lausanne
Damir.Filipović@sfi.ch
+41 21 693 00 98
Damir Filipović holds the Swissquote Chair Expertise
in Quantitative Finance at the Ecole Poly- Financial Markets
technique Fédérale de Lausanne. He has • Systemic Risk and Regulation
held an SFI Senior Chair since 2010. Since
2011, Professor Filipović has been a member Portfolio Management and Asset Classes
of the board of directors of Swiss Life • Asset Pricing
Holding. He is the recipient of numerous • Commodities
research grants and is a regular speaker at • Equities
leading quantitative finance conferences • Fixed Income
and workshops worldwide. • Options and Other Derivatives
Recent Research Financial Institutions
Professor Filipović and his coauthor look • Insurance Companies
into the consequences of the fact that, over
the last decade, dividends have become a Corporate Finance and Governance
standalone asset class instead of a mere • Financial Risk and Risk Management
side product of an equity investment. The • Financial Valuation
researchers contribute to the asset pricing
literature by developing a framework Frontier Topics
that jointly prices the term structures of • Big Data and Fintech
dividends and interest rates, and the stock.
In their model, prices for dividend futures, Language Skills
bonds, and the dividend paying stock are English, German
derived in closed form. In a calibration
exercise they show that a parsimonious
model specification has a good fit with
Euribor interest rate swaps and swaptions,
Euro Stoxx 50 index dividend futures and
dividend futures options, and Euro Stoxx 50
index options.
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