Swiss Finance Institute Activity Report 2019 Expertise Guide 2020
Growing Knowledge Capital for the Swiss Financial Marketplace : Introduction
Swiss Finance Institute Our Founding Members
The Swiss Finance Institute (SFI) gratefully acknowledges the precious support of its founding members—the Swiss banking industry, the Swiss Confederation, and leading Swiss universities. Without their support the Swiss Finance Institute would not be able to fulfill its important mandate.
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Our Partner Universities:
Università della Svizzera italiana
2 Introduction :
About Swiss Finance Institute
Nurture Knowledge – Cultivate Talent – Create Expertise
Growing Knowledge Capital for the Swiss Financial Marketplace
Never before has the Swiss financial center As a result, the Swiss banking and finance undergone such rapid and fundamental industry profits from the expertise created by change. Digital disruption and abrupt SFI, embodied both by the thousands of changes in regulation are challenging graduates from our continuing education established business models. In order to activities and the Banking and Finance remain competitive, the Swiss banking and programs of our partner universities and by finance industry must nurture innovation and the thousands of readers of our publications its most valuable asset: the expertise of its and the numerous participants at our labor force—its knowledge capital. events and workshops.
Mandated by the Swiss financial sector and Research and development leads to new the Swiss Confederation, the Swiss Finance technologies and innovations, and in turn Institute (SFI) makes an important promotes competitiveness, prosperity, contribution to each through its close and employment. SFI contributes important integration of research and practice, its economic added value that will enable up-to-date continuing education courses for future generations to build upon others' finance professionals, and the access it achievements and guarantee that provides to a unique pool of outstanding Switzerland's financial center will continue Swiss-based academics. This unique to thrive. combination is based on a systematic exchange of knowledge and expertise, nurtured by the fundamental research Find out more about the vast range of the conducted at our six partner universities activities we engaged in from January to across three language regions in Switzerland. December 2019 in this year's Activity Report.
3 : Introduction
A Word from the Board
At the end of 2018 the SFI Foundation Board decided on • SFI industry conferences feature industry speakers a major reorientation for the Institute. Since its creation of very high seniority as well as world-renowned in 2006 SFI, together with its partner universities, academics. They are attended by hundreds of has successfully grown a world-class faculty in banking participants. The SFI Annual Meeting focused on and finance. Under its new strategy, SFI builds on Debt, Growth, and Resilience, and featured the internationally recognized strength of its faculty Mr. Sergio Ermotti of UBS, Nobel Laureate Prof. Bengt to organize industry-oriented activities for the Holmström, Mr. Herbert Scheidt of Vontobel and Swiss banking and financial center. At the same time, the Swiss Bankers Association—as well as SFI Head SFI keeps supporting a faculty of the highest academic of Research Prof. Jean-Charles Rochet. caliber at its partner universities. • The Digital Pulse Check applied research special In 2019 SFI has developed a portfolio of industry- project has assessed the degree of digitization of oriented activities, based on the principle of knowledge Swiss banks relative to their European competitors. exchange between academia and practice: At the same time as SFI vastly increased the scope of • SFI Master Classes attract experienced professionals its industry-oriented activities, in 2019 the SFI faculty and address frontier topics in a short, interactive and has continued its academic successes. SFI academic flexible format. They are co-led by an SFI professor research remains at a stellar level and compares favorably and an industry expert, and they are free for with the most renowned international academic employees of Swiss banks. Master Class topics in institutions. The network of co-authors of SFI professors 2019 included Data & Technology in Finance, encompasses the best-known universities in the world. Application of Machine Learning and Artificial This activity report also includes an expertise guide Intelligence to Banking, Factor-Based Allocation, of the SFI faculty. among others. We have experienced strong participation and have received excellent feedback. The teaching activities of SFI professors also bring Master Class participants greatly appreciate the significant value to the Swiss financial center. exposure to the latest thinking in banking and Each year Swiss banks hire hundreds of banking and finance, as well as the opportunity for peer exchange. finance graduates trained by SFI professors in the first- education programs of our partner universities. • SFI Knowledge Exchange Seminars bring together SFI PhD graduates enjoy top placements in academia, industry experts and SFI professors in an exclusive banks and in policy institutions. roundtable setting. Topics in 2019 included Value Reporting, ETF Liquidity, Cybercrime and Cybersecurity, We warmly thank our industry partners, our academic Negative Interest Rates, among others. partners, our faculty and our staff for making these achievements possible.
4 Introduction :
Dr. Romeo Cerutti Prof. Dr. François Degeorge Chairman of the Foundation Board Managing Director
5 : Introduction
6 Introduction :
Table of Contents
3 About Us
4 A Word from the Board
7 Table of Contents
8 SFI Knowledge Exchange Activities
12 14th Annual Meeting of SFI—Debt, Growth, and Resilience
14 SFI Partner University Faculty Achievements 2019
18 SFI PhD Program in Finance
20 SFI PhD Graduate Placements
22 SFI Commercial Continuing Education
24 SFI Alumni Association
25 Overview of SFI Master Classes 2019
26 Overview of Knowledge Exchange Seminars 2019
27 Overview Special Projects and Publications 2019
29 Overview of SFI Events Organized in 2019
31 Overview of SFI Commercial Continuing Education 2019
34 Swiss Finance Institute Faculty
35 The SFI Expertise Matrix
36 Our Faculty's Areas of Expertise
36 Expertise Index
40 SFI Faculty Profiles Expertise Guide 2020 Expertise 69 Faculty Departures in 2019
70 SFI Adjunct Professors
72 Governing and Advisory Bodies
76 Summary of Swiss Finance Institute Financial Accounts 2019
7 : SFI Knowledge Exchange Activities
SFI Knowledge Exchange Activities
SFI Master Classes
SFI Master Classes are short learning units in which SFI Feedback professors discuss topics relevant to banking and The feedback collected from participants shows that finance. With this offering, SFI builds on its USP—that there is a very high satisfaction rate (average of 85%) is, its faculty and its proximity to the industry—which with regard to the quality of the Master Classes. enables the early identification and dissemination of The target group and seniority level aimed for has been key topics. Topics are selected by SFI in cooperation reached. The Master Classes were attractive for all bank with its interest groups. categories. Results are shown in the two graphs below.
SFI is the only Swiss education provider able to combine academic and practical expertise at such a Participant age groups (in %) high level. Master Classes are aimed at experienced 25% professionals with at least 10 years of professional 22% 21% 19% experience in the banking and finance sector. Access to 20% 17% Master Classes is free for employees of SFI stakeholders, 16%
but a formal application is required in order to ensure 15% the quality of the offering. Corresponding admission criteria apply. 10%
5% Facts and Figures 2019 5% SFI held its first Master Class in June 2019. During the 0% year, a total of 14 Master Classes across eight different 30–35 years 36–40 years 41–45 years 46–50 years 51–55 years 56–60 years topics were conducted at locations in Zurich, Geneva, and Pfäffikon (SZ). The Master Classes were held in English, French, and German. Associations and Companies
50% 48.7% A Master Class lasts half a day, begins in the early 45% afternoon, and is rounded off by a networking aperitif. 40% Classes are conducted with up to 50 participants. 35% In 2019, 455 individuals participated. 30%
All Master Classes are acknowledged SAQ re-certification 25% measures. Over 40 participants not only benefited 20% 15% 13.5% from an exchange of knowledge and expertise but also 11.1% 10.4% collected SAQ re-certification credits. 10% 7.5% 4.0% 5% 1.3% 1.5% 1.1% 0.7% 0.2% 0% Partnerships ASPB AM BB OTH FB IN KB DB SBA SIX VAV A partnership with finews.ch, the industry's leading Swiss portal for financial news, is based on the idea ASPB Members of the Association of Swiss Private Banks BB UBS, CS that knowledge imparted through SFI should be made FB Members of the Association of Foreign Banks in Switzerland available in a condensed form to the entire financial KB Members of the Association of Swiss Cantonal Banks community. SFI also offers a special Master Classes DB Other domestic banks VAV Members of the Association of Swiss Asset and Wealth Management Banks series in close cooperation with the Office for Economy SBA Swiss Bankers Association Canton Schwyz, focusing on the local financial industry which is an important sector in Canton Schwyz, IN Insurance SIX SIX Group and its companies have come to play a significant role AM Asset managers in Zurich's financial center. OTH Other
8 SFI Knowledge Exchange Activities :
SFI Knowledge Exchange Seminars
SFI Knowledge Exchange seminars are invitation-only Attendee Feedback roundtables that bring together SFI professors and Seminar Structure Swiss banking and finance practitioners. "Bringing academia together with practitioners is beneficial for both parties. The format—a forum with a The overall goal is to foster intellectual interaction and limited number of participants—is probably the best dialogue between academics and practitioners on topics platform to make this happen." of mutual interest. Specifically, the aim is to: Chosen Topics and Respective Focus • make such interactions a real exchange as opposed to "The exchange was appreciated, the opportunity to a one-way transfer of knowledge—practitioners learn question one's own viewpoint was valuable, and the not only from the professors' own research, but also presentations were good and focused. Clear desire to from the professors' knowledge of others' research in continue the vessel." the area in question; • provide professors with timely feedback on their Intensity and Quality of Exchanges research ideas and results, and with input from "The participants were a good mix of practitioners and practitioners; academics with different approaches and opinions, • create an intimate environment conducive to informal so that the discussion allowed a certain diversity of exchange for both academics and practitioners, with opinion without losing focus on the actual topic." the long-term goal of further increasing Switzerland's competitiveness in the fields of banking and finance; • have academic–practitioner interaction occur early in the research process.
Format In each area, Knowledge Exchange Seminars are guided by a team of professors and practitioners. The team refines an initial list of seminar topics in their area and identifies potential practitioner invitees. Each Knowledge Exchange Seminar consists of several presentations followed by a moderated discussion. Each presentation is planned to be approximately 10–15 minutes long. There is also an opportunity for participants to socialize, either before or after the seminar.
Facts and Figures 2019 In 2019, nine Knowledge Exchange Seminars were conducted on various topics, including value reporting to shareholders, ETFs and their liquidity aspects, the replacement of LIBOR as a benchmark rate, central bank policies and their effects on financial markets, the negative interest rate environment, and cybersecurity and cybercrime, as well as intergenerational perspectives on responsible investing. In total, 160 individuals participated.
9 : SFI Knowledge Exchange Activities
SFI Practitioner Roundups—A Topical Overview
In 2019, SFI again attracted significant interest with its Later in the year, two newly created SFI Special Issue industry-oriented publications. These summarize the Practitioner Roundups were published. This new format latest expertise from SFI professors, on a relevant theme includes contributions from several SFI professors and and in a concise format, and also provide practical industry experts within one issue. The special issue insights from experienced practitioners. Each issue is "Can Finance Make the Planet Greener?" garnered available in English, French, German, and Italian. significant attention from the financial market as well as In early 2019, two Practitioner Roundups were published from the media, as did the special issue on "Debt, in the "traditional style", involving one SFI professor and Growth, and Resilience", which was published to coincide one expert from the industry—the first on the topic of with the SFI Annual Meeting 2019. These four issues factor investing and the second on financial forecasting. have already been downloaded more than 17'000 times.
N° 1 | January 2019 November 2019 N° 1 | January 2019 Swiss Finance Institute Swiss Finance Institute Practitioner Roundups Practitioner Roundups
Christophe Donay
Christophe Donay joined Banque Pictet & Cie SA in 2008 as chief strategist of the Wealth Management branch. Prior to that,
Prof. Fabio Trojani he worked at INSEAD, BNP Paribas, and Kepler Chevreux (formerly Julius Baer Brokerage). Donay holds Master’s degrees in Swiss Finance Institute Fabio Trojani is Professor of Statistics and Finance at the University of Geneva and holds an Economics and in Econometrics from the Universities of Paris X and Paris II. Equity Partner, Head of Asset Allocation and SFI Senior Chair. He obtained his PhD in Economics and Finance from the University of Zurich. Macroeconomic Research, Executive member of the Wealth Management Investment Committee, Member of the Investment His research interests are in asset pricing, and in the application of econometric and data Board, Chairman of the Investment Strategy Committee of the Pictet Pension Fund. science methods to finance. Practitioner Roundups Regime-Based and Risk Factor-Based Factor Investing Asset Allocation : SFI Practitioner Roundups | November 2019 SFI Practitioner Roundups | November 2019 : Results based on the returns of tens of thousands of US stocks during 45 years show that risk premia are both Predictinglarge and volatile the returns during for crisis different asset classes is the Holy Grail of Today’s global investment landscape is made up of millions of securities, periods. Moreover, time-varying risk premiaasset follow allocation. macroeconomic The problem is that risk premiums and returns are traded in hundreds of trading exchanges, and appearing in dozens of asset An illustration of varying risk premiums as a function of macro- cycles in a way that is consistent with economicinstable over intuition—with, time. According for to our analysis, over the long term Special Issue classes. Knowing what investors want to see in their portfolios and what economic regimes can be identified through asset return analysis. instance, smaller stocks having larger risk(our premia data stretchesin phases backof recession. 115 years) there is a 90 percent probability will drive those portfolios’ value up or down is by no means trivial. Such For example, since 1950, the S&P500 returned on average 5.6% of achieving an annual average return of 8 percent with a 60/40 drivers, which can actually be captured by so-called factors, are at the very annually in a low growth and low inflation regime, but 12.1% in a Debt—Growth—Resilience How does factor investing performportfolio. with respect But that to naive probability 1/N declines sharply as the time span heart of today’s investment models for factor investing. The financial high growth and high inflation regime, with these regimes occurring investment strategies? shortens. Once the standard deviation reaches a certain point, one industry separates factors into two broad categories: macro factors, such 4% and 10% of the time. In the regime that prevailed the most Although it is true that naive 1/N investmentcould argue strategies that to havespeak been of an "average" is meaningless and that as economic growth, liquidity, or inflation, and style factors, such as value, often—that is to say, the moderate growth and moderate inflation A Banker’s Perspective on Debt, Growth, shown to be surprisingly difficult toinvestment outperform, success modern over research a reasonable time horizon becomes a momentum, or size. Being able to identify factors allows investors to build regime, which occurred 39% of the time—the S&P500 returned shows that optimal factor portfoliosmatter estimated of luck. using By the informationsame token, one could argue that any bid to portfolios in a more transparent way, which helps them pursue their needs 15.6% on average annually. from the whole universe of individualmeasure stocks a do "standard" significantly risk premium for the purposes of long-term and objectives. Factors are usually only lowly correlated to one another and Resilience outperform them, producing higherinvesting Sharpe ratiosis just and as meaningless. certainty and each may be related to the economic cycle in a different way. Inflation and growth vary over time, so ability to spot shifts in trends equivalents. Importantly, the turnover of modern factor strategies is Therefore, factor investing may also need adjustments from time to time. is fundamental in strategic asset allocation. The next step is to take Prof. Axel P. Lehmann, President UBS Switzerland and Member of the lower and produces less transactionBut costs. starting from the fact that the investment environment alters account of a large range of factors in order to develop a view of a Editorial over time, we believe that reasoning in terms of macroeconomic Group Executive Board. Is factor investing a new form of investment? potential change in macroeconomic regime. What factors perform well in an"regime" international can help setting? determine an appropriate strategic asset allocation. The first model developed to describe the relationship between risk and An analysis of a total of 58’674 stocksThis regime traded approach in one or posits more ofthat a strategic asset allocation requires How has the corporate debt market evolved since the Great resulted in expanding lending volume and increasing risk. We see goals. Green Bond volumes have surged over the past years, both in of government debt, which is reflected in its favorable international financial returns was the capital asset pricing model, the CAPM. Using growth and inflation data stretching back to the end of World 46 countries and over a 30-yeardeep period analysis identifies of the the macroeconomic different risk issues driving market returns Credit is the engineFinancial of growth, Crisis—worldwide but can excessive and debt specifically reduce the in economy’s Switzerland? this in the increase in appetite for loans with higher risk profiles and Switzerland and abroad. Given the increasing focus on sustainability, borrowing rates. However, private household debt per capita is According to the CAPM, investors are compensated for the riskiness of War II, we at Pictet Wealth Management have developed a methodology factors that are at work in an internationalthat goes beyond context. one In centered developed on traditional risk premium factors. resilience to shocks?It is fair This to saySpecial that Issuethe Great of SFI’s Financial Practitioner Crisis markedRoundups a watershed examines in reduced protection of so-called covenants. Also, financing this once peripheral part of the debt market will slowly, but rather high in international comparison. This is mainly due to high their investments because of their exposures to a single risk factor, the that identifies nine main economic regimes resulting from the interaction markets, data show that countryThe market probability premia of are achieving smaller higherthan returns is reduced if one adopts recent trends inmoment the demand in global and supplyfinance of anddebt specifically and their consequences in the credit formarkets—yet the multiples have increased to match the current market environment. inexorably, move to center stage—with all the benefits green bonds mortgage levels, driven by increasing real estate prices. While we whole market. All models have drawbacks and the CAPM has displayed a of three different phases of inflation and three types of growth. world or regional market premiaa stable and that view diversification of risk premiums: benefits these are higher returns, we believe, are overall economy.that Drawing watershed on finance may have research turned and out practice,somewhat it differentlyoffers a nuanced, than More diversified financial services providers, on the other hand, may bring to society. Second, disintermediation will continue, helped by need to remain cautious, also with regard to income-producing real number of empirical weaknesses. Several models based on multiple risk Regime shifts occur when the interaction between inflation and growth therefore limited. Results differmore for likelyemerging if one markets,accepts wherethat risk country premiums vary across regimes. evidence-based anticipated.perspective Beforeon several the topicscrisis, corporatethat figure credit prominently was relatively in public easy to think about client risk and revenue management in a much more technology. Platforms such as UBS’s Atrium may focus on one estate, strict lending and affordability criteria have kept undue factors were, therefore, subsequently developed. These models explain changes—with varying degrees of probability. We keep in mind that factor risk premia are large relative to world or regional factor risk discussion, suchobtain, as the sustainabilityboth from direct of governmentand securitized debt sources. levels, theAfter effect the Crisis, of debt holistic way. particular type of credit first—for example, institutional real estate risk at bay. On the corporate side, we have seen the search for yield differences in returns across assets by their different exposures to abrupt changes from one regime to another (say, from a regime of premia and in which investorsAccepting can further that benefit changes from in thediversification. macroeconomic environment are the on entrepreneurialanalysts activity, and and academics the unintended expected consequences a significant of deleveragingcertain banking of financing—but then may expand into adjacent parts of the financial resulting in an increase in the demand for the financing of multiple risk factors. Moreover, the recent literature has also incorporated sluggish growth and disinflation to an innovation shock that produces Furthermore, the estimated truefactor drivers risk premia of variations of international in risk premium stocks has been part of the regulations. A numberpublic, of corporate, fresh insights and privateemerge, balance which sometimes sheets—in run particular counter given to … but surely technology also plays its part, as it does in most value chain, e.g. mortgages for private clients, office leasing, etc. long-term and unrated projects. settings where both factor risk premia and factor exposures are time high inflation) are highly improbable. But we believe our methodology that the Crisis had its origins in an arcane corner of the debt other parts of our society? This will—please pardon the pun—give lending a new lease of life. change over time. For example,resurgence value and in amomentum risk factor-based premia approachshow to asset pricing and is debt-to-GDP is not the main determinantconventional of wisdom. the sustainability For example, of governmentresearch suggests debt, that that debt the ratio financing of government varying. But because of computational limitations and missing is pertinent over typical strategic asset allocation horizons. market. However, the past couple of years have seen a noticeable Yes, indeed, technology is the third factor I would like to mention, To sum up, similar to other markets, the debt market is prone to more variability than profitabilitynow an intrinsicand investment. part of strategic asset allocation. Understanding can stimulate innovation by fostering the creation of entrepreneurial firms, and that increases in liquidity and theoretical foundations it was, until recently, not possible to estimate what economic regime we are in and for how long before we capital ratio requirements may adversely affectre-leveraging the financial on exposure all levels of and banks, markets, and their doubtless ability alsoto finance driven by the because it has given rise to completely new forms of debt, both on Finally, with many markets in bubble territory, does one need "irrational exuberance", so a word of caution is warranted. However, factor risk premia and factor exposures precisely. Recent advances in We do admit that more in-depth research is needed in this area. Where does the future oftransition factor investment to a different research one is stand? vital for any strategic asset allocator. the corporate sector. accommodative stance of central banks around the world. and off exchanges: from crowd lending to ICOs to blockchain-based to be cautious? debt and equity markets are the left and the right heart chambers of computational power and academic research have made it possible to Using the Markov-switching model, for example, we can identify nine The abundance of empirical research carried out has brought with it a solutions, technology has become an additional important driver There is no doubt about it, low interest rates have buoyed markets, the economy, supporting innovation, economic growth, and exploit the information in large datasets of individual stock returns to overarching changes in the economic environment in the US since new and important challenge,We believeas now hundredsthat the essential of risk factors macro have risk been factors are real economic We wish you an enjoyable read. Switzerland may be a bit of an exception here in that it has always of disintermediation, with its own champions emerging. But including credit, both commercial and private. For various institutional ultimately welfare. So let us look after our heart so it remains in produce precise estimates of time-varying risk premia and risk exposures. 1950—but the importance the Markov model assigns to some highly found to impact asset pricesgrowth and returns.and inflation. These factorsThe 10 are years typically between 2007 and 2016, in the had rather low levels of corporate debt compared to other countries, technology is important for another reason: it also allows a much reasons (e.g. debt brake), Switzerland has maintained a very low level sync with the market pulse. improbable scenarios limits its usefulness in mapping out constructed as long–shortUS, portfolios can be ofcharacterized stock ranked as with a "low respect growth to a and low inflation" regime, in particular among small and medium-sized enterprises. In fact, more controlled distribution of risk and a more efficient servicing of How has the increase in computational capacity changed the "shifts" according to our criteria. Nonetheless, our research indicates particular characteristic, forsuch example, as size, volatility,with both liquidity, measures etc. struggling New to exceed 2 percent. regime recent academic research distilled in a paper by the State debt. When a company sold a bond a century ago, the number of way investment decisions are made? that the rebalancing of equity weightings within a methods based on machineOur learningpresent strategictechniques asset are able allocation to efficiently is including the possibility Secretariat for Economic Affairs finds that close to two-thirds of all debtors and their share equaled the number of bonds issued and Earlier limitations in computational power made it necessary to compress portfolio to take account of shifts in the inflation andregime-based growth regime extract the optimal combinationthat we are of stockcurrently characteristics moving into for apredicting new regime. small and medium-sized Swiss companies have no leverage at all remained the same until maturity. Today, crowd lending allows debt the information existing in the whole universe of stock returns into a could help boost returns over a typical long-term investment horizon. the individual stock returns. In this context, approaches allowing for Prof. François Degeorge and are thus fully financed by equity. On the market side, we have to be broken up into infinitely small fractions, and innovative debt small set of factor replicating portfolios. This approach, however, tends nonlinearities and complex interactions between stocks provide Sharpe Managing Director and SFI Senior Chair seen a gradual decline in the Swiss-franc denominated bond market platforms directly connect lenders with borrowers, thereby reducing to strongly reduce the precision of estimated factor exposures and ratios that are three times larger than those based on linear models. for foreignProf. Jean-Charles issuers while Rochet the domestic corporate bond market has intermediaries’ risks. Overall, this has had beneficial effects on factor risk premia. In contrast, recent advances have made it possible postedHead solid of Research growth over and theSFI past Senior few Chair years—also supported by corporate lending volumes—and consequently on economic growth. to exploit the information in large datasets of individual stock returns. stable domestic growth. So, to everyone’s relief, the tales of the Corporate debt is the blood of the economy as it helps companies Read all SFI Practitioner Roundups Contact: Dr. Cyril Pasche, Director Knowledge at www.sfi.ch/roundups Exchange and Continuing Education, Editor of the Academic Part Great Financial Crisis killing the debt market—and thus economic expand at home and abroad and facilitates investments in
+41 22 379 88 25, [email protected] growth—were much exaggerated. innovation and people. Any ways of deblocking or even extending These insights draw on an interview with Prof. Fabio Trojani and the following academic papers: those arteries of capital should be welcomed. https://bit.ly/2p99E6a, https://bit.ly/2Reg0hf, https://bit.ly/2P2FxZ2 https://bit.ly/2PZ0pFJ, Which factors are shaping the current competitive landscape in the debt market? Against the backdrop of all these changes, how do you see the The past couple of years have seen a gradual disintermediation of future of corporate lending? the debt market and the emergence of new market participants. We If we want economic growth, we need corporate debt. From our see three major factors driving this ongoing trend. perspective as the world’s biggest wealth manager and the leading Swiss universal bank, balance sheet lending will remain important. First, regulation: Balance sheet restrictions for banks have resulted While regulatory restrictions and negative interest rates are likely to in a gradual rise of private debt markets and alternative lenders put pressure on margins and bank lending volume, such lending will such as private debt and insurance companies, to mention but a remain the bread and butter of the business model, especially for few. They are able to operate with fewer regulatory and operational complex corporate and wealth management-linked lending restrictions than those imposed upon bank lenders. arrangements. We also see the Swiss capital market remaining attractive for both domestic and foreign issuers, mainly due to the Second, negative interest rates and the resulting "search for yield" stable Swiss-franc and low interest rates. have put pressure on business models and in particular on margins. With rates expected to be "lower for longer", pressure on pure bank Yet there are two trends that we think will considerably shape future lenders and investors is mounting, requiring them to invest in order debt markets. First, we will see more ESG-focused lending, where credit to avoid negative interest charges from central banks. This has is linked to achieving certain environmental, social, or governance
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N°3 | July 2019
Swiss Finance Institute: SFI Practitioner Roundups N°3 | July 2019 SFI Practitioner Roundups N°3 | July 2019 : Practitioner Roundups
Green Governments Bonds and
Special Issue Green Investments Can Finance Make
lose a similar 50 percent of their market value, the index would— How can governments mitigate the risk of a global economic How active have governments been on the green bond market? issued at a premium in comparison to other municipal bonds, the Planet Greener?based on 2018 figures—drop by 2 percent and USD 560 billion of meltdown caused by a global environmental meltdown? N. Schürhoff: Green finance is still relatively new for local suggesting that investors are willing to sacrifice returns to hold equity would evaporate. This reduction in market value would S. Ongena: Deflating the likely carbon bubble relies on several governments, sovereign governments, and government backed such financial instruments and that municipalities can benefit from impact the financial players who have loaned funds to energy firms factors. First, the transition needs to be targeted and market entities. Yet surprisingly, local governments and government lower costs of capital when making responsible investments. The and contagion would likely spread throughout the market and compatible—reducing carbon emissions whilst maintaining backed entities are issuing more green bonds than sovereign financial benefit of issuing green municipal bonds is larger in the the international economy. sufficient quantities of alternative energies at a reasonable price. governments, suggesting that green finance operates easily in mildly case of externally certified bonds, which shows that the concept of Second, the action needs to be gradual—energy firms are large and regulated environments. According to the Climate Bonds Initiative, what is green needs to be adequately defined and protected. Also, B. Gacon: There is no doubt that a significant portion of the oil, hold significant portions of illiquid and long-term investment. Third, the issuance of green government bonds began in Norway in 2010. Fintech developments are likely to improve the functioning of the Editorial gas, and coal which have already been discovered will not be the shift needs to be quick as time is running out. The main issue in Since then a dozen more countries have issued such bonds and municipal bond market in terms of liquidity and transparency by combusted. Despite their imposing size, energy firms operate in a implementing such a soft-landing transition is political. Indeed, several more are on the radar for 2019. In terms of market shares, allowing small private investors gain access to better information highly regulated environment and a stout limitation on carbon carbon energy firms contribute substantially to GDP, employment, development banks, government backed entities, local governments, and investment opportunities. The overall combined contributions In the Paris Agreement of 2015, the international community setdioxide itself theemissions goal of consequentlylimiting the rise makes in global them quite fragile. Because and government income in many countries. and sovereign governments represented more than 25 percent of of green finance and Fintech will be beneficial for both the warming to 2°C by 2100. To reach this target, societies must rethinkof this, and investors transform may the be way prone they to operate,a panic move away from energy the overall green bond market in 2018—a significant portion. municipal bond market and the environment. especially with regard to carbon dioxide emissions. The energystocks. industry, Such in particulara correction oil, would, gas, and on thecoal one hand, strongly impact The US Congress will soon vote on the Green New Deal. What companies, need to adapt quickly. Can finance help the worldthe rise financial to the challenge? markets, as well as the real economy, and on the other are the specifics of this resolution and how is it different from How does the bond market function at the local government How far have Swiss governments been successful at issuing hand, help accelerate the energy transition away from fossil fuels. what has been done? level? green bonds? This Special Issue of the SFI Practitioner Roundups highlights exciting recent developments in Green Finance. S. Ongena: The Green New Deal stimulus package proposed by N. Schürhoff: The US municipal bond market is the most N. Schürhoff: Several green bond issuances have taken place in Drawing on the expertise of SFI researchers and industry experts, it addresses key questions such as: can price the Democrats in the US addresses both environmental and representative local government bond market that exists. It has Switzerland recently and investor demand has been very strong; signals from financial markets create incentives for sustainability? How do government policies and green economic inequality issues. It is vastly different from what has been been in existence for more than 200 years and is the largest capital the SIX Swiss Exchange currently lists a little over 20 green bonds, finance complement each other? What pitfalls lie ahead in the transition to a decarbonized economy, and how done in the past, in the way that it focuses on economic stimulus market for both state and municipal issuers. It plays an essential with 10 denominated in Swiss Francs. For example, Helvetia to manage the pace of this transition? Is the transition already priced in, or are we in a carbon bubble? and incentives instead of constraints such as carbon taxation role in providing capital for local public service and infrastructure Environnement—a leader in waste collection—was the first firm in and emission trading. initiatives, making it a prime market in which to study the financing Switzerland to issue a corporate green bond back in 2017. We wish you an enjoyable read. of renewable energy projects and water and land conservation Government-backed Emissionszentrale EGW—a foundation that initiatives. The primary municipal market in the US is larger than provides funding for public utility buildings—is a natural candidate the primary markets of asset-backed securities, private equity, and in the context of financing energy-efficient buildings. As of today, high-yield corporate bonds, and is more than ten times larger than the Cantons of Basel-City and Geneva, as well as the Zurich Cantonal venture capital and equity IPOs. Despite its extraordinary size, Bank, have issued six green bonds, which are traded on the SIX municipal bond trading is still largely arcane, with a decentralized Swiss Exchange. Aside from the Cantons of Basel-City and Geneva, broker-dealer market, low liquidity, and limited pre-trade and the Cantons of Basel-Land, Bern, Solothurn, Ticino, and Zurich also Prof. François Degeorge post-trade transparency. In short, it is a buyer’s market in which raise bonds, so there is scope for more green bond financing and Managing Director trading costs are substantial. government climate aligned investments in Switzerland.
How is the municipal bond market in the US going to evolve S. Döbeli: Green bonds are of minor importance in Switzerland. within the next few years? The reason for this is not that Swiss governments wouldn’t be N. Schürhoff: Although responsible investing is relatively recent successful in issuing green bonds, but simply that they typically it does have the potential to reshape the municipal bond market. don’t require such instruments to finance their infrastructures as Indeed, more than USD 450 billion worth of municipal bonds were debt levels are low. issued in 2016 in the US, of which less than USD 10 billion were labeled as green bonds. This low figure shows there is room for How can small investors influence the size and relevance of substantial growth in the issuance of green municipal bonds. Data sustainable investments? shows that green municipal bonds are, all things being equal, N. Schürhoff: The number of investors who are environmentally aware and prefer green and sustainable forms of investment is growing rapidly. The demand for sustainable investments is driven, For more on this topic, please read "Municipal Bond Markets", by Dario Cestau, in part, by millennials who prefer to invest in alignment with their Burton Hollifield, Dan Li, and Norman Schürhoff. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3275950 personal values. There are several ways investors can decide to
6 7
10 SFI Knowledge Exchange Activities :
SFI Events SFI Special Projects
Facts and Figures 2019 Facts and Figures 2019 In 2019, a total of six high-quality, publicly available In the spirit of applied research and in close cooperation events attracted a combined audience of over 1'670 with its industry partners, SFI shares its expertise by registered participants— which is almost 20 percent conducting special projects such as elaborating practice- higher than last year and confirms the wisdom of SFI's oriented studies and articles targeting practitioners, strategy of focusing on events of the highest quality. journalists, and politicians. Two particular highlights Topical themes addressed in 2019 included the ongoing were the "Digital Pulse Check" published by SFI together digitization of the banking industry, passive asset with zeb Switzerland, which examined the degree of management, corporate governance, banks' response to digitization of Swiss banks in a European comparison, higher capital requirements, and the relation between debt, and the survey carried out for the second time in growth, and resilience, as well as private debt markets. cooperation with finews.ch and Communicators on career opportunities in the Swiss banking sector. These and Highlights various other activities generated great interest among One of the many highlights was the very successful bank employees and in particular in the Swiss media. first SFI Public Discussion Event, with UBS CEO Sergio P. Ermotti, which took place in June. More than • Digital Pulse Check 3.0 300 participants followed the speech of Mr. Ermotti, • Survey on Job Prospects in Finance 2019 who presented his and UBS's view of the decade following the great financial crisis and the future of : Digital Pulse Check 3.0—Switzerland vs. Europe the Swiss banking industry in the context of ongoing Overview regulation. The event offered a valuable platform for Digital performance of Swiss banks compared to their European competitors active exchange between the audience and the speaker, both in the course of the presentation and at the “We think about digitalization from the standpoint of market environment and are thus under higher competitive The Swiss banking world is characterized by high places higher value on personal and customized client our customers” pressure compared to their Swiss counterparts. The same heterogeneity advice, and less value on a fully digital service offer. Interview quote applies in terms of frictionless channel switches, i.e. the As could be expected, within the different types of Swiss In the “Business model” dimension, cantonal and regional ability to access online-compatible offers through various banks, larger banks – as well as cantonal banks – have an banks are extremely customer-friendly. They have perfectly In comparison with their European competitors, Swiss mobile devices such as smart phones, tablets or laptops. At advantage over regional banks at the strategic level, adapted their offering to mobile usage, while large banks financial institutions are clearly ahead across all bank the process level, according to the findings of the interviews especially in terms of trend identification. There are also consistently integrate their clients’ needs in the subsequent aperitif. types in terms of strategy. The majority of Swiss banks we have conducted, Swiss banks have only automated a significant differences in terms of willingness to cooperate development of new products and services. As far as the surveyed follow a clearly defined digital agenda, backed by small percentage of their processes, which interestingly or in the planning of digital ecosystems. “Organization” dimension is concerned, large banks rely concrete measures. Compared to the rest of Europe, stands in contrast with the largely successful implementation significantly more frequently on agile working methods. cross-industry market trends are more regularly and more of a central IT strategy and architecture. Swiss and “We don’t follow any overarching digital strategy, we It is also interesting to note that cantonal and regional systematically analyzed by Swiss banks, which suggests European financial institutions encounter difficulties in the focus instead on channel strategies” banks tend to give less priority to digital competencies in that they have recognized the emerging trends and field of management and organization. There are few Interview quote the context of staff development. accepted the imperative for digital transformation. digital pioneers in senior management ranks. Up-to-date, As far as the “Processes, Data and IT Services” dimension agile working methods are still at an early stage. One can is concerned, large banks lead the way in the fields of IT “We are already well-positioned in terms of see that the digital transformation of business models has strategy and architecture management, while the cantonal end-to-end digitalization” to start in people’s minds. and private banks have some catching up to do, especially Another highlight was the very insightful SFI–Capco Interview quote relating to programming interfaces for external solutions. Contrary to the quote above, with regard to business models, Compared with all other bank types, private banks lag it appears that most Swiss banks offer less than half of behind in terms of end-to-end process automation. This their product portfolio online or more specifically, do not could however be primarily due to the fact that they do not allow customers to conclude contracts online. On that operate in a mass market, which would have to be Institute Banking & Finance Forum with SFI Professors front, European banks are significantly more agile, since automated for profitability reasons. Compared with other they need to assert themselves in a slightly less protected customer categories, the current clientele of private banks Digital Pulse Check 3.0 Laurent Frésard, Ruediger Fahlenbrach, and Steven DPI of Swiss vs. European banks DPI of Swiss banks DIGITALIZATION STRATEGY BUSINESS MODEL1) DIGITALIZATION STRATEGY BUSINESS MODEL A COMPARISON + The digital agenda is much more frequently defined as part + Client needs are better taken into account and • Large and cantonal banks are significantly ahead of MATURITY LEVEL • Large banks integrate client needs much better in the of the strategic portfolio and more often backed up with OF SWISS incorporated more often into the innovation process regional banks in terms of trend identification OF SWISS BANKS development of products and services concrete measures Switzerland vs. Europe VS EU • Major differences in terms of willingness to cooperate and • Cantonal and regional banks are the most advanced The proportion of products available online is lower BANKS – of the planning of a digital ecosystem regarding the optimization of products for mobile use + Swiss banks more consistently conduct regular and 3.8 3.4 3.3 2.7 Ongena, as well as an impressive number of highest systematic market trend analyses and integrate these – Frictionless channel switches are less often possible than • All private banks have defined a digital agenda, • Private banks offer relatively few products online compared insights into the strategic planning process 2.9 3.2 2.8 2.6 in other European banks but only few of them set clear goals or KPIs to all other bank types 2.9 2.9 2.6 2.5 + The average share of digitalization expenditures 3.2 2.6 • Cantonal banks offer less personalized marketing in the innovation budgets is higher DPI 2.7 2.8 DPI • Large banks are the strong leaders when it comes to broad • Large and cantonal banks use agile work methods IT strategy and architecture management 2.7 2.4 significantly more frequently than regional and private A central IT strategy and architecture management is New agile work methods are more often used + + 3.4 2.7 3.1 2.4 banks seniority industry representatives having joined the often established • Private and cantonal banks have some catching up to 2.8 2.7 2.3 2.4 + Digital leaders more frequently take on leadership do on APIs • Across all bank types the first signs of an innovation culture Data management is more transparent and integrated positions are visible + • Private banks lag behind in terms of the automation of 2.7 2.6 2.1 2.3 – The proportion of automated processes is significantly end-to-end processes • Regional banks tend to give less priority to digital skills in lower and the time needed to open an account the context of staff development • Except for large banks, few banks consider data as an asset somewhat longer or make use of data analytics panel discussions. Alongside Dr. Romeo Lacher, PROCESSES, DATA & IT MANAGEMENT & ORGANIZATION PROCESSES, DATA & IT MANAGEMENT & ORGANIZATION
1) Product access management, customer experience and marketing Large bank Cantonal bank Maturity level low 1 2 3 4 5 high European Union Switzerland Maturity level low 1 2 3 4 5 high Regional bank Private bank
Vice-Chairman of the SFI Foundation Board, the 16 17 participants discussed latest research findings and up-to-date questions from practice in the fields of
How high is the financial sector’s
IPOs and acquisition activities, corporate governance, What is the status of digital transformationdigital pulse? and regulation. Over 200 participants engaged in in Swiss banks? this lively dialogue between academia and practice.
11 : SFI Annual Meeting
14th Annual Meeting of SFI— Debt, Growth, and Resilience
Growth is one of the main objectives of economic policy around the world and is characterized by a strong economy, which in turn is fed by a prosperous financial sector. The most recent financial crisis, however, has dampened confidence in a crisis-resistant financial industry. At our Annual Meeting at the Kunsthaus Zurich in November, top-class speakers from the industry and academia discussed the framework conditions for healthy economic growth.
For once, the Kunsthaus Zurich's role as a home for fine arts took a back seat. On 13 November 2019, it hosted a platform for knowledge exchange among practitioners and academics from the financial industry. In the presence of over 300 participants, renowned academics Sergio P. Ermotti, UBS Group AG and finance practitioners shared their views on debt, growth, and resilience, at our Annual Meeting.
The conference kicked off with a speech by Sergio P. Ermotti, Group Chief Executive Officer, UBS Group AG. He addressed the numerous factors influencing the business and thus ultimately the growth potential of Swiss banks. While the current negative interest rate environment and regulatory hurdles are exerting rather a negative impact, he pointed out that technological development as well as human knowledge can be viewed as drivers of future growth in the banking world.
Next, Nobel Laureate Prof. Bengt Holmström from the Massachusetts Institute of Technology (MIT) identified the global shortage of safe assets as a key factor in central banks' continued negative interest rate policies and attributed this situation, among other causes, Nobel Laureate Professor Bengt Holmström, Massachusetts Institute of Technology (MIT) to a systemic asymmetry of information among the investor community.
12 SFI Annual Meeting :
SFI Professor Jean-Charles Rochet from the University of Geneva in his presentation mentioned the fact that global debt is at an all-time high, which itself raises new questions. Based on new research insights from SFI faculty, he proposed answers to those questions. SFI researchers have, for example, examined the impact of corporate debt on innovation and growth and the impact of Basel III on GDP growth in general and on bank resilience in particular, and addressed the maximum sustainable debt-to-GDP ratio for a country and whether the US dollar is going to continue its domination of debt markets.
The Chairman of the Swiss Bankers Association, Prof. Dr. Jean-Charles Rochet, University of Geneva Herbert J. Scheidt, highlighted the importance of the banking sector, which he considers to be highly competitive. Switzerland's banks are an important pillar of the country's economy—not only due to their role as employers, taxpayers, and an economic driving force. He also stressed the need to talk about the perils of soaring public debt. Countries must find ways out of the debt trap. At the same time, central banks must preserve their independence.
In his closing remarks, our Chairman, Dr. Romeo Cerutti from Credit Suisse Group AG, emphasized the important role of SFI as a connector between academia and practice and reaffirmed the added value that results from this close integration. On behalf of the Institute, Herbert J. Scheidt, Swiss Bankers Association he warmly thanked Prof. René Stulz (Ohio State University) for his distinguished contribution as Chair of our Scientific Council 2006–2019 and had the pleasure of announcing the winners of the 2019 SFI Outstanding Paper Award.
Prof. Dr. René Stulz, Dr. Romeo Cerutti, Prof. Dr. François Degeorge, Prof. Dr. Jean-Charles Rochet (f.l.t.r.)
13 : SFI Partner University Faculty Achievements 2019
SFI Partner University Faculty Achievements 2019
The Swiss Finance Institute (SFI) strives for excellence Journal of Political Economy, the Quarterly Journal of in research in order to build academic expertise with Economics, the Review of Economic Studies, the Review staying power. SFI is the only national center uniting, of Finance, and The Review of Financial Studies. under one roof, world-class researchers in six partner SFI had a record eighteen articles by its researchers universities from across Switzerland: published in these journals in 2019: École Polytechnique Fédérale de Lausanne (EPFL), Eidgenössische Technische Hochschule Zürich (ETHZ), Andreou, E., Gagliardini, P., Ghysels, E., & Rubin, M. the University of Geneva (UNIGE), the University of (2019). Inference in group factor models with an Lausanne (UNIL), Università della Svizzera italiana application to mixed-frequency data. Econometrica, (USI), and the University of Zurich (UZH). 87(4), 1267–1305. https://doi.org/10.3982/ECTA14690 Fundamental research by SFI professors plants the seeds for new financial ideas and provides fertile Barbon, A., Di Maggio, M. D., Franzoni, F., & Landier, A. ground for innovation. Since 2006, SFI professors (2019). Brokers and order flow leakage: Evidence from have published more than 140 articles on banking fire sales.The Journal of Finance, 74(6), 2707–2749. and finance in top-level academic journals. https://doi.org/10.1111/jofi.12840
Academic excellence is guaranteed by the SFI Scientific Bouchaud, J.-P., Krüger, P., Landier, A., & Thesmar, D. Council, an independent committee composed of (2019). Sticky expectations and the profitability internationally renowned professors of Banking and anomaly. The Journal of Finance, 74(2), 639–674. Finance from around the world. The Council places extra https://doi.org/10.1111/jofi.12734 weight on publications appearing in journals that historically have been the first to promote those ideas Dessaint, O., Foucault, T., Frésard, L., & Matray, A. that have changed financial practice: theAmerican (2019). Noisy stock prices and corporate investment. Economic Review, Econometrica, The Journal of The Review of Financial Studies, 32(7), 2625–2672. Finance, the Journal of Financial Economics, the https://doi.org/10.1093/rfs/hhy115
The SFI faculty has a top-notch network of research collaborations worldwide Selected affiliations of co-authors of SFI faculty (2010–present)
Stockholm
Oxford Toronto McGill Imperial College/LSE Princeton HEC Dartmouth Vienna Chicago Booth Harvard/MIT Berkeley/Stanford Ohio State Columbia TSE Wharton Carnegie Mellon UCLA Duke Texas at Austin Shanghai
Hong Kong
Melbourne
14 SFI Partner University Faculty Achievements 2019 :
Di Maggio, M., Franzoni, F., Kermani, A., & Sommavilla, Malamud, S., & Zucchi, F. (2019). Liquidity, innovation, C. (2019). The relevance of broker networks for and endogenous growth. Journal of Financial information diffusion in the stock market.Journal of Economics, 132(2), 519–541. Financial Economics, 134(2), 419–446. https://doi.org/10.1016/j.jfineco.2018.11.002 https://doi.org/10.1016/j.jfineco.2019.04.002 Morellec, E., & Zhdanov, A. (2019). Product market Eisdorfer, A., Goyal, A., & Zhdanov, A. (2019). Equity competition and option prices. The Review of Financial misvaluation and default options. The Journal of Studies, 32(11), 4343–4386. Finance, 74(2), 845–898. https://doi.org/10.1093/rfs/hhz027 https://doi.org/10.1111/jofi.12748 Nikolov, B., Schmid, L., & Steri, R. (2019). Dynamic Foucault, T., & Frésard, L. (2019). Corporate strategy, corporate liquidity. Journal of Financial Economics, conformism, and the stock market. The Review of 132(1), 76–102. Financial Studies, 32(3), 905–950. https://doi.org/10.1016/j.jfineco.2017.06.018 https://doi.org/10.1093/rfs/hhy077 Schneider, P. (2019). An anatomy of the market return. Franzoni, F., & Giannetti, M. (2019). Costs and benefits Journal of Financial Economics, 132(2), 325–350. of financial conglomerate affiliation: Evidence from https://doi.org/10.1016/j.jfineco.2018.10.015 hedge funds. Journal of Financial Economics, 134(2), 355–380. https://doi.org/10.1016/j.jfineco.2019.04.008 Schneider, P., & Trojani, F. (2019). (Almost) model-free recovery. The Journal of Finance, 74(1), 323–370. Gropp, R., Mosk, T., Ongena, S., & Wix, C. (2019). Banks https://doi.org/10.1111/jofi.12737 response to higher capital requirements: Evidence from a quasi-natural experiment. The Review of Financial Other Publications Studies, 32(1), 266–299. Research Paper Series https://doi.org/10.1093/rfs/hhy052 A total of 80 papers were published in the 2019 SFI Research Paper Series, hosted on the Social Science Jacob, M., Michaely, R., & Müller, M. A. (2019). Research Network (SSRN). Consumption taxes and corporate investment. The Review of Financial Studies, 32(8), 3144–3182. SFI Research Days https://doi.org/10.1093/rfs/hhy132 Over 65 academics and PhD students from across Switzerland came together at the 2019 SFI Research Jondeau, E., Zhang, Q., & Zhu, X. (2019). Average Days to present and discuss their current research. skewness matters. Journal of Financial Economics, The SFI Research Days, held at the Study Center 134(1), 29–47. Gerzensee, are structured into academic research https://doi.org/10.1016/j.jfineco.2019.03.003 sessions, a keynote speech, and doctoral workshops and sessions. This year, the keynote speech was given by Li, D., & Schürhoff, N. (2019). Dealer networks. Prof. Dacheng Xiu (University of Chicago) and was The Journal of Finance, 74(1), 91–144. entitled "Empirical Asset Pricing via Machine Learning". https://doi.org/10.1111/jofi.12728 The winners of the SFI Doctoral Award for the Best Paper and the Best Discussant are also nominated Lyandres, E., Marchica, M.-T., Michaely, R., & Mura, R. during the SFI Research Days. (2019). Owners' portfolio diversification and firm investment. The Review of Financial Studies, 32(12), 4855–4904. https://doi.org/10.1093/rfs/hhz050
15 : SFI Partner University Faculty Achievements 2019
Awards, Grants, and Honors for SFI Faculty Steven Ongena in 2019 Best Policy Relevant Paper Award at the 2nd Annual Hansjörg Albrecher Conference of the European Commission's Joint Best Teacher Award in the Master of Actuarial Science, Research Center Community of Practice in Financial HEC Lausanne, Switzerland. Research, Belgium.
Philippe Bacchetta Jean-Charles Rochet Keynote speaker, International Conference of TRC, Turkey. Maurice Allais Prize in Economic Science, France.
Pierre Collin-Dufresne Olivier Scaillet European Central Bank grant, European Market International Francqui Professor Chair for Human Infrastructure Regulation Bridge Programme Sciences, Belgium. for Data Science. Didier Sornette François Degeorge Chair Professor, Southern University of Science and Keynote speaker, Danish Finance Institute Annual Technology, China. Conference, Denmark. Fabio Trojani Damir Filipović Best Paper award, Northern Finance Association David Sprott Distinguished Lecture, University of Meeting, Canada. Waterloo, Canada. Outstanding Paper Award Laurent Frésard The Outstanding Paper Award winners for 2019 are Prof. Credit Suisse award for Best Teacher, Università della Robin Greenwood (Harvard Business School) and Prof. Svizzera italiana, Switzerland. Annette Vissing-Jorgensen (University of California, Berkeley) for their paper entitled "The Impact of Michel Habib Pensions and Insurance on Global Yield Curves". Maurice Allais Prize in Economic Science, France. The Outstanding Paper Award is given annually in recognition of an unpublished research paper that makes Martin Hoesli an outstanding contribution to the field of finance. David C. Lincoln Fellowship Award, Lincoln Institute of Land Policy, USA.
Philipp Krüger Co-chair, European Finance Association Doctoral Workshop, Portugal.
Roni Michaely Keynote speaker, Multinational Finance Society Association Meeting, Israel.
Erwan Morellec Best Teacher award, EPFL College of Management, Switzerland. OPA 2018 winner Prof. Dacheng Xiu, University of Chicago with Prof. Dr. Jean-Charles Rochet (left)
16 SFI Partner University Faculty Achievements 2019 :
Swiss Finance Institute First Education Activities
The Swiss Finance Institute has analyzed its impact on Employer branch % of SFI university first education and graduates specialized in graduates banking and finance in Switzerland as well as Banking 35% consequences for the Swiss financial industry, and in particular for Swiss banks. Asset / Fund / Investment Mgt. 15% Financial Fintech & other financial services 6% industry: 59% Since the launch of SFI, all our partner universities have benefitted from our support and the increasing availability Insurance 3% of highly qualified professors, our SFI Faculty members. Consulting, audit & other services 15% The engagement of these dedicated individuals has led to a steadily growing number of new banking and Foreign authorities 2% finance programs at all our partner universities: Swiss authorities 1%
Other industries 11% USI: Master in Finance USI: Master in Financial Communication Further studies 7% Academia: UZH: PhD in Finance Academia 5% 12% SFI: PhD in Finance
UNIL: Master in Finance UZH: Bachelor in Banking & Finance SFI's first education activities not only attract talent to UZH: Master in Banking & Finance Switzerland (with only one quarter of banking and EPFL: Master in Financial Engineering finance graduates being of Swiss origin), we also see ETHZ/UZH: Master in Quantitative Finance
UNIGE: Master in Wealth Management them stay in Switzerland and pursue their professional
USI: Master in FinTech & Comp. career in the Swiss financial industry (more than
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 three-quarters do so). SFI graduates join all types of Swiss banks: The two big Swiss banks have hired more than 40% of SFI graduates, and Swiss private banks approximately another 30%. Foreign banks in Switzerland have recruited around 15% of SFI graduates entering the industry. The remaining approximately 15% have joined cantonal, Raiffeisen, regional, or other Swiss banks.
17 : SFI PhD Program in Finance
SFI PhD Program in Finance
The Swiss Finance Institute PhD Program in Finance promotes the pursuit of academic excellence, providing an intellectual environment and a curriculum comparable with other top PhD programs in Europe and North America. The PhD program operates in collaboration with SFI's partner universities: École Polytechnique Fédérale de Lausanne (EPFL), the University of Geneva (UNIGE), the University of Lausanne (UNIL), Università della Svizzera italiana (USI), and the University of Zurich (UZH). SFI students benefit from regular contact with outstanding local and international academics. The program seeks to offer the best training possible to both future academics and future practitioners. Left to right: Best Paper Award winner Gazi Kabas, Prof. Dr. Steven Ongena, Best Discussant Award winner Yushi Peng, and Best Discussant Award winner In January 2019, there were 102 active students enrolled: Marlon Azinovic EPFL, 19; UNIGE, 12; UNIL, 19; USI, 20; and UZH, 32. The 2019/2020 academic year had an intake of 12 students, mostly from Europe, but also from farther Swiss Finance Institute Doctoral Award for afield. The first year of the program is dedicated to the Best Discussant foundation courses. In subsequent years, students often The annual SFI Doctoral Award for the Best Discussant work as teaching or research assistants in local recognizes Swiss doctoral students in Finance for institutions while writing their theses, following an outstanding discussion of a paper presented at the advanced courses, and pursuing their research interests. SFI Research Days. Recipients are nominated by the SFI provides support that enables program participants chairpersons of the respective workshop sessions. In 2019, to travel to international conferences and helps them the award was won by Marlon Azinovic, SFI@UZH, prepare for the job market. Alexander Bechtel, UNISG, and Yushi Peng, SFI@UZH.
PhD Awards & Support: Swiss Finance Institute Doctoral Award for the Best Paper The annual SFI Doctoral Award for the Best Paper recognizes a PhD student for an outstanding research paper presented at the SFI Research Days. The winning paper is nominated by a committee formed of external experts and SFI faculty participating in the SFI Research Days. In 2019, the award was won by Gazi Kabas, SFI@UZH, for his paper entitled "Unemployment Insurance Benefits: The Role of Banks".
Best Paper Award 2019 winner Gazi Kabas with Prof. Dr. Steven Ongena (left)
18 SFI PhD Program in Finance :
PhD Study Abroad • Jakub Hajda, SFI@UNIL, visited Ross School of SFI PhD students visit other institutions in the advanced Business, University of Michigan (USA) from January stages of their education in order to gain exposure to top 2019 to March 2019 (faculty sponsor: Prof. Toni scholars and other internationally renowned institutions, Whited). providing them with a well-balanced foundation upon • Luca Mazzone, SFI@UZH, has been visiting the which they can base their move into the job market. University of Pennsylvania (USA) since August 2018 (faculty sponsor: Prof. Dirk Krueger). • Maxime Auberson, SFI@UNIGE, visited Questrom • Tina Oreski, SFI@USI, is visiting Boston College School of Business, Boston University (USA) from (USA) from September 2019 to August 2020 (faculty September 2019 to December 2019 (faculty sponsor: sponsor: Prof. Francesco D'Acunto). Prof. Jérôme Detemple). • Paula Mirela Sandulescu, SFI@USI, visited Questrom • Andrea Barbon, SFI@USI, visited Harvard Business School of Business, Boston University (USA) from School, Harvard University (USA) from September 2018 to August 2019 (faculty sponsor: September 2018 to May 2019 (faculty sponsor: Prof. Andrea Vedolin). Prof. Marco Di Maggio). • Hongzhe Shan, SFI@UNIGE, visited London Business • Maxime Couvert, SFI@EPFL, visited Columbia School (UK) from September 2018 to January 2019 Business School, Columbia University (USA) from (faculty sponsor: Prof. Vikrant Vig). September 2019 to January 2020 (faculty sponsor: Prof. Wei Jiang). • Efe Cötelioglu, SFI@USI, is visiting McDonough School of Business, Georgetown University (USA) from September 2019 to May 2020 (faculty sponsor: "The SFI PhD Program was a life- Prof. Alberto G. Rossi). • Kornelia Fabisik, SFI@EPFL, visited London School of changing experience. Interacting Economics (UK) from May 2019 to July 2019 (faculty with SFI professors and PhD sponsor: Prof. Dirk Jenter). • Virginia Gianinazzi, SFI@USI, visited NYU Stern students during the SFI Research School of Business, New York University (USA) from September 2018 to August 2019 (faculty sponsor: Days has been insightful and Prof. Marti G. Subrahmanyam). rewarding. Moreover, SFI gave me • Erik Hapnes, SFI@EPFL, visited the University of California, Berkeley (USA) from March 2019 to April the opportunity to attend the world's 2019 (faculty sponsor: Prof. Brett Green). top conferences and connect with the world's best researchers in financial economics. I feel privileged and proud to be part of such an extraordinary community."
Andrea Barbon, SFI PhD Graduate '20 and Assistant Professor of Finance, University of St. Gallen, Switzerland
19 : SFI PhD Graduate Placements
SFI PhD Graduate Placements
Academia
29 17 43 27 40 34 20 26 28 16 10 24 7 9 23 25 33 39 21 19 1 2 30 4 3 22 32 13 8 18 11 5 14 6 12
America 1. Boston College 2. Boston University 38 3. Columbia University 41 15
4. DePaul University 35 5. Duke University 37 6. Emory University 7. HEC Montréal 31 8. Johns Hopkins Carey Business School 9. McGill University 10. Simon Fraser University 11. University of California, Los Angeles 36 12. University of Houston 13. University of Maryland 14. University of Texas at Dallas
Europe/Africa 28. London School of Economics 15. African School of Economics 29. Norwegian School of Economics 16. Amsterdam School of Economics 30. Università Cattolica del Sacro Cuore 17. BI Norwegian Business School 31. Università della Svizzera Italiana 18. Burdur Mehmet Akif Ersoy University 32. Università degli Studi di Napoli Federico II 19. Collegio Carlo Alberto 33. Université Paris-Dauphine 20. Copenhagen Business School 34. University of Amsterdam 21. EDHEC Business School 35. University of Bern 22. ESADE Business School 36. University of Cape Town 23. ESSEC Business School 37. University of Lausanne 24. Goethe University Frankfurt 38. University of St. Gallen 25. HEC Paris 39. University of Vienna 26. Humboldt-Universität zu Berlin 40. Vrije Universiteit Amsterdam 27. Lancaster University 41. ZHAW Zürcher Hochschule für Angewandte Wissenschaften
20 SFI PhD Graduate Placements :
SFI has one of the world's largest and most competi- SFI PhD Graduates 2019 tive PhD programs in Finance. SFI PhD graduates go The following students graduated from the SFI PhD on to work in top industry organizations or take up Program during 2019: posts at outstanding academic institutions. • Ina Bialova, SFI@UNIL, Senior Consultant, Finyon Consulting AG, Switzerland. • Julien Blatt, SFI@EPFL, Risk Modeling and Analytics Specialist, UBS, Switzerland. • Eugenio Carnemolla, SFI@UNIL, Quantitative Analyst, Vontobel Asset Management, Switzerland. • Sylvain Carre, SFI@EPFL, Assistant Professor, International College of Economics and Finance, Russia. • Kathrin DeGreiff, SFI@UZH, Credit Suisse, Switzerland. • Fulvia Fringuellotti, SFI@UZH, Financial Economist, Federal Reserve Bank of New York, USA. • Runjie Geng, SFI@UZH, is on the 2020 job market. • Regina Hammerschmid, SFI@UZH, Quant Risk Specialist, UBS, Switzerland. 44 • Gabriela Hrasko, SFI@UNIGE, Associate,
45 46 McKinsey & Company, Switzerland. • Daria Kalyaeva, SFI@UNIL, Investment Analyst, Swiss Re, 42 Switzerland. • Damien Klossner, SFI@EPFL, Swiss National Bank, Switzerland. • Adriano Tosi, SFI@UZH, Quantitative Researcher, Morgan Stanley, UK. • Sander Willems, SFI@EPFL, Quantitative Analyst, NatWest Markets, UK. • Wojciech Zurowski, SFI@USI, Model Expert for Interest Rate Risk, Credit Suisse, Switzerland.
Industry Placements PhD Graduates—Industry Placements: 48 SFI PhD students have been placed in a broad range of 47 institutions including Accenture, Amazon, Bank of Canada, Banque Centrale du Luxembourg, Credit Suisse, Deloitte, Deutsche Bank, Ernst and Young, the European Commission, the Federal Reserve Bank of New York, Goldman Sachs, McKinsey & Company, Morgan Stanley, Asia PricewaterhouseCoopers, Royal Bank of Scotland, the Swiss 42. HKUST Business School National Bank, Swissquote, Swiss Re, UBS, the US Securities 43. International College of Economics and Finance, Moscow and Exchange Commission, and Zürcher Kantonalbank. 44. Shandong University 45. Shanghai Jiao Tong University 46. Shanghai University of Finance and Economics
Oceania 47. University of Melbourne 48. University of New South Wales
21 : SFI Commercial Continuing Education
SFI Commercial Continuing Education
Facts and Figures 2019 2019 Highlights The focus of the SFI Continuing Education offering is to Swiss Degree provide insight into key knowledge and trends in the The number of course participants completing one of financial industry, on both a strategic and an operational these programs (CAS in Real Estate Finance, DAS in level. The concepts underlying these trends are presented Banking, and MAS in Banking) and being awarded a by academics and practitioners selected for their extensive university diploma increased in 2019. The SFI flagship industry involvement and their understanding of the program, "DAS in Banking" (its predecessor being the implications of these concepts for the finance industry. "Executive Program"), was held for the 32nd time. Senior executives are invited to give presentations on their institutions' experience of these developments. Certification In 2019 the Continuing Education team successfully A systematic and regular update of the topics and of the continued to broaden the scale of its offering to course structure ensures that the needs of the market are incorporate specialist certification training. SFI has constantly met. Finally, the carefully selected participants been mandated by the Swiss Association for Quality (SAQ) are of the highest caliber, ensuring a critical peer as an examination institute for the certification of client discussion of the ideas presented and offering the benefits advisors in wealth management (ISO 17024). SFI, with of outstanding networking and interaction platforms. its significant expertise in wealth management, joined forces with two strong partners—namely, the University In 2019 SFI Continuing Education offered 15 courses and of Zurich and the CYP Association. These partners over 30 training courses related to certification. complement SFI's expertise and education setup ideally, which allows the three bodies to jointly offer certifications • 3 degree offerings not only in Wealth Management but also in other client • 1 executive offering advisor bank profiles of SAQ. The certification offering • 3 spotlight courses comprises a self-assessment test for all candidates and • 2 in-house training courses selected e-learning and/or on-site training elements, • 6 SAQ re-certification training measures as well as an examination. • 33 training courses related to SAQ certification All elements of the certification are offered in four More than 200 participants took part in one or more of languages—English, French, German, and, Italian— the Institute's courses in 2019. and can be customized upon request. In 2019, the Swiss Finance Institute was commissioned to execute the certification program (e-learning, webinars, physical training sessions, and exams) for several new and existing clients. Quality reviews show that SFI ranks among the top providers in the field of certification courses.
22 SFI Commercial Continuing Education :
Keynote Speaker Prof. Dr. Donato Scognamiglio, IAZI AG
DAS in Banking 2019
23 : SFI Alumni Association
SFI Alumni Association
The Swiss Finance Institute Alumni Association The SFIAA Promotes: (SFIAA) replaced the former Swiss Banking School • Networking among its members Alumni Association on April 28, 2006. Graduates of • The continuing education of its members by means of any of the Swiss Finance Institute training programs seminars and lectures (in collaboration with SFI) or continuing education offerings—in particular • Contributions to the ongoing development of SFI the Executive Program, the Diploma of Advanced Studies (DAS) in Banking, the Certificate of Advanced In addition to an annual meeting of members, SFIAA Studies (CAS), the Advanced Executive Program, and SFI jointly organize the Alumni Luncheons, the Financial Asset Management and Engineering with prominent guest speakers; after-work aperitifs in Program, and the International Bank Management Zurich and Basel; luncheons in Bern; and networking Program—are eligible to join. The SFIAA currently dinners in Geneva, as well as the SFIAA Golf Trophy. has 1'255 members. Furthermore, in 2015, for the first time, social events were organized, starting with a one-day excursion to Mercedes-AMG in Affalterbach.
2019 Alumni Luncheons & Events January 24, 2019 August 28, 2019 December 3, 2019 SFIAA "Fondue Enjoyment" SFIAA BBQ Networking Luncheon, Bern
March 20, 2019 September 3, 2019 Women's Luncheons Networking Dinner, Romandie Networking Luncheon, Bern This series of events was launched in 2008 to promote networking March 27, 2019 September 11, 2019 among female members of the SFIAA. General Assembly & Luncheon, SFIAA Luncheon, Zurich. Speaker: Zurich. Marc Walder, CEO Ringier May 23, 2019 Speaker: Dr Markus P.H. Bürgi, Speaker: Sona Blessing, author of CFOO, the Swiss Finance Institute September 13, 2019 Alternative Alternatives SFIAA Golf Trophy April 9, 2019 September 17, 2019 Networking Luncheon, Bern September 18/19, 2019 Speaker: Anna Maria d'Hulster, SFIAA Social Event: Visit to ex-General Secretary of the May 22, 2019 Mercedes AMG, Affalterbach Geneva Association SFIAA Luncheon, Zurich. Speaker: Jos Dijsselhof, CEO SIX October 30, 2019 November 12, 2019 SFIAA Luncheon, Zurich. Speaker: Speaker: Karin Oertli, COO of June 5, 2019 Roger Semprini, CEO Equinix UBS Switzerland Networking Dinner, Romandie November 6, 2019 June 25, 2019 Networking Dinner, Romandie Networking Luncheon, Bern November 19, 2019 August 20, 2019 After-work Aperitif, Basel After-work Aperitif, Basel
24 Overview of SFI Master Classes 2019 :
Overview of SFI Master Classes 2019
Successful launch of SFI Master Classes in 2019 Machine Learning and AI: Applications in The first Master Classes conducted in summer 2019— Banking and Finance a new form of continuing education—were challenging Geneva, September 27, 2019 for both the SFI professors involved and the industry Prof. Dr. Norman Schürhoff, SFI Senior Chair, University experts. The 14 Master Classes in 2019 were conducted of Lausanne by eight renowned SFI professors. They teamed up with very senior and highly experienced experts from the Wertorientierte Führung banking and finance industry. The collaboration with Zurich, September 27, 2019 these experts proved excellent. This team aspect with Prof. Dr. Alexander F. Wagner, SFI Senior Chair, regard to the co-leaders of the Master Classes Universität Zürich also helped elicit a high level of interactivity from, and between, participants. Opportunities in Active Asset Management Zurich, October 28, 2019 Data and Technology in Finance Prof. Dr. Francesco Franzoni, SFI Senior Chair, Zurich, June 5, 2019 Università della Svizzera italiana Prof. Dr. Laurent Frésard, SFI Senior Chair, Università della Svizzera italiana Risk and Quality in Residential Mortgage Markets Risk and Return in Corporate Debt Zurich, November 7, 2019 Geneva, June 17, 2019 Prof. Dr. Johan Walden, SFI Senior Chair, University of Prof. Dr. Erwan Morellec, SFI Senior Chair, Ecole Lausanne Polytechnique Fédérale de Lausanne Wertorientierte Führung Maschinelles Lernen und KI: Anwendungen im Pfaeffikon SZ, November 18, 2019 Bank- und Finanzbereich Prof. Dr. Alexander F. Wagner, SFI Senior Chair, Zurich, June 21, 2019 Universität Zürich Prof. Dr. Norman Schürhoff, SFI Senior Chair, University of Lausanne Value-based Management Geneva, November 25, 2019 Risk and Return in Corporate Debt Prof. Dr. Alexander F. Wagner, SFI Senior Chair, Zurich, July 2, 2019 Universität Zürich Prof. Dr. Erwan Morellec, SFI Senior Chair, Ecole Polytechnique Fédérale de Lausanne Best Practices in Valuation Zurich, November 29, 2019 Data and Technology in Finance Prof. Dr. Kjell Nyborg, SFI Senior Chair, University of Pfaeffikon SZ, September 4, 2019 Zurich Prof. Dr. Laurent Frésard, SFI Senior Chair, Università della Svizzera italiana Factor Based Asset Allocation Zurich, December 3, 2019 Data and Technology in Finance Prof. Dr. Pierre Collin-Dufresne, SFI Senior Chair, Ecole Geneva, September 12, 2019 Polytechnique Fédérale de Lausanne Prof. Dr. Laurent Frésard, SFI Senior Chair, Università della Svizzera italiana
25 : Overview of Knowledge Exchange Seminars 2019
Overview of Knowledge Exchange Seminars 2019
Knowledge Exchange Seminars are roundtable Central Banks and Financial Markets discussions on various themes including both trends Zurich, September 26, 2019 and uncertainties in the market. The Seminars are Prof. Dr. Kjell Nyborg, SFI Senior Chair, Professor of guided by the same principle that applies to all SFI's Finance, University of Zurich knowledge exchange activities—the combination of the Andreas Koester, UBS expertise of an SFI professor and a senior industry expert. The Replacement of LIBOR Attendance is invitation only and such invitations are Zurich, November 21, 2019 sent solely to senior experts in the field. The discussants Prof. Dr. Damir Filipović, SFI Senior Chair, Swissquote are expected to express as many different points of view Chair in Quantitative Finance, EPFL as reasonably possible in order to allow for the most Dr. Jochen Dorn, Vontobel varied and animated discussion possible. The richness Stefan Pomberger, Vontobel of topics listed below illustrates the broad appeal of this activity. Best Practices in Valuation Zurich, November 28, 2019 Value Reporting – Shareholders Prof. Dr. Philippe Bacchetta, SFI Senior Chair, Professor Zurich, March 12, 2019 of Economics, University of Lausanne Prof. Dr. Alexander F. Wagner, SFI Senior Chair, Dr. Stefan Gerlach, EFG Associate Professor of Finance, University of Zurich Prof. Dr. Rolf Watter, Bär und Karrer Cybercrime and Cybersecurity Geneva, December 3, 2019 ETF Liquidity Prof. Dr. Olivier Scaillet, SFI Senior Chair, Professor of Zurich, May 6, 2019 Probability and Statistics, University of Geneva Prof. Dr. Francesco Franzoni, SFI Senior Chair, Professor Dr. Adrien Treccani, Metaco of Finance, Università della Svizzera italiana Umberto Orso, Flow Traders Intergenerational Perspectives on Sustainable Investing Private Equity Geneva, December 10, 2019 Zurich, September 3, 2019 Prof. Dr. Philipp Krueger, SFI Senior Chair, Associate Prof. Dr. Rüdiger Fahlenbrach, SFI Senior Chair, Professor of Responsible Finance, University of Geneva Associate Professor of Finance, EPFL Tullio Musso, Pictet Dr. Christian Waldvogel, Renaissance
Corporate Governance Zurich, September 11, 2019 Prof. Dr. Alexander F. Wagner, SFI Senior Chair, Associate Professor of Finance, University of Zürich Prof. Dr. Rolf Watter, Bär und Karrer
26 Overview Special Projects and Publications 2019 :
Overview Special Projects and Publications 2019
SFI's mission is to offer opportunities for academics and Special Issue: Can Finance Make the Planet practitioners to move beyond current practice, Greener? exchanging the knowledge and expertise that will keep June 2019 Switzerland at the top in banking and finance. This Special Issue of the SFI Practitioner Roundups Two major pillars of this mission are our events and highlights exciting recent developments in Green conferences, which bring together the finest minds in Finance. Drawing on the expertise of SFI researchers academia and the Swiss financial community, and industry experts, it addresses key questions such as: and our special projects, which allow SFI professors can price signals from financial markets create incentives to share their expertise with practitioners, journalists, for sustainability? How do government policies and and politicians in a very practice-oriented way. green finance complement each other? What pitfalls lie ahead in the transition to a decarbonized economy, and SFI Practitioner Roundups 2019 how to manage the pace of this transition? Is the Factor Investing transition already priced in, or are we in a carbon bubble? January 2019 Drivers, which can actually be captured by so-called Prof. Dr. Philipp Krueger, SFI Senior Chair, Associate factors, are at the very heart of today's investment Professor of Responsible Finance, University of Geneva models for factor investing. Being able to identify Prof. Dr. Steven Ongena, SFI Senior Chair, Professor of factors allows investors to build portfolios in a more Banking, University of Zurich transparent way, which helps them pursue their needs Prof. Dr. Jean-Charles Rochet, SFI Senior Chair, and objectives. SFI Head of Research, Professor of Banking, University of Geneva Prof. Dr. Fabio Trojani, SFI Senior Chair, Professor of Prof. Dr. Norman Schürhoff, SFI Senior Chair, Professor Statistics, University of Geneva of Finance, University of Lausanne Christophe Donay, Head of Strategy and Asset Sabine Döbeli, Chief Executive Officer, Allocation, Banque Pictet & Cie SA Swiss Sustainable Finance Bertrand Gacon, Co-Founder & Chief Executive Officer, Impaakt Financial Forecasting February 2019 The quality of a forecast should be based on its ability to both be accurate and to explain the outcome. But as long as financial decisions are made by humans, who can be seen as atoms and molecules bouncing against one another, one should be content with predictions that are accurate only on average. Predictions of financial returns are generally carried out using regression models and past data on asset characteristics, such as size or book-to-market ratios.
Prof. Dr. Amit Goyal, SFI Senior Chair, Professor of Finance, University of Lausanne Umberto Boccato, Head of Investments, Mirabaud Asset Management Mark Temnikov, Strategist-Economist, Mirabaud Asset Management
27 : Overview Special Projects and Publications 2019
Special Issue: Debt, Growth and Resilience Special Projects 2019 November 2019 Digitalization Study: Digital Pulse Check 3.0 This study examines recent trends in the demand and Comprehensive study based on a written survey among supply of debt and their consequences for the overall Fintech executives, interviews with approx. 20 members economy. Drawing on finance research and practice, it of management and boards of directors of Swiss banks, offers a nuanced, evidence-based perspective on several as well as zeb's existing results from the rest of Europe. topics that figure prominently in public discussion, such Publication of a dedicated study booklet and as the sustainability of government debt levels, the effect presentation of the study at two dedicated events and of debt on entrepreneurial activity, and the unintended various other occasions. consequences of certain banking regulations. Prof. Dr. Rüdiger Fahlenbrach, SFI Senior Chair, Erwan Morellec, SFI Senior Chair, Head of SFI PhD Ecole Polytechnique Fédérale de Lausanne Program, Professor of Finance, Ecole Polytechnique Prof. Dr. Damir Filipović, SFI Senior Chair, Fédérale de Lausanne Ecole Polytechnique Fédérale de Lausanne Prof. Dr. Steven Ongena, SFI Senior Chair, Professor of Dr. Markus P.H. Bürgi, Swiss Finance Institute Banking, University of Zurich Andreas Borg, Senior Manager, zeb Prof. Dr. Jean-Charles Rochet, SFI Senior Chair, Norman Karrer, Partner zeb SFI Head of Research, Professor of Banking, Wieland Weinrich, Senior Partner, zeb University of Geneva Prof. Dr. Axel P. Lehmann, President UBS Switzerland and Member of the Group Executive Board, UBS Survey on Career Prospects—Profound Banking Expertise Remains a Crucial Success Factor In spring 2019, SFI together with finews.ch and Communicators carried out the eighth annual online survey on "Career Prospects in the Financial Industry". The results confirmed the path taken by SFI to focus on industry-oriented Knowledge Exchange activities. Bankers know about the importance of first-class knowledge and they appreciate the opportunity to keep their knowledge up-to-date in focused and time-efficient manner by attending SFI Master Classes.
28 Overview of SFI Events Organized in 2019 :
Overview of SFI Events Organized in 2019
Launch Event: Digital Pulse Check Panelists Zurich, Study Presentation, January 24, 2019 Dr. Urban Angehrn, Group Chief Investment Officer, Zurich Insurance Group Prof. Dr. Damir Filipović, SFI Senior Chair and Professor Dr. Frederic Boissay, Monetary and Economic of Finance at the Ecole Polytechnique Fédérale de Department, Financial Systems & Regulation, BIS Lausanne Yves Bonzon, Head Investment Management and Prof. Dr. Rüdiger Fahlenbrach, SFI Senior Chair and Chief Investment Officer, Julius Baer Associate Professor of Finance at the Nick Bossart, Country Head and Head of Investment Ecole Polytechnique Fédérale de Lausanne Banking—Switzerland, JP Morgan Norman Karrer, Partner zeb Isabelle Bourcier, Global Head of Quantitative & Index, Markus Locher, Head of Strategic Digitalization, BNP Paribas Asset Management Credit Suisse Philippe Clémençon, Chief Risk Officer, Credit Suisse (Schweiz) AG Didier Denat, Head of Corporate & Investment Banking, SFI–Capco Institute Banking & Finance Forum Credit Suisse (Schweiz) AG Zurich, Conference, February 26, 2019 Daniel Martin, Partner, EMIEA Leader for Prudential Competency, EY Focus Topics Gernot Mittendorfer, Chief Financial Officer, Panel 1: How Technological Changes Affect the Erste Group Bank AG Evolution of IPO and Acquisition Activities Prof. Dr. Bertrand Rime, Director—Financial Stability, Panel 2: Passive Asset Management and Corporate Schweizerische Nationalbank Governance Sandro Streit, Head of Asset Management, Panel 3: Auditors' Response to Higher Capital Schweizerische Nationalbank Requirements for Banks: Evidence from a Quasi-Natural Michael Strobaek, Global Chief Investment Officer, Experiment Credit Suisse Keynote: Quo Vadis Financial Market Infrastructure?— Roger Studer, Head of Investment Banking, Vontobel Challenges and Opportunities Patrick Voegeli, Head of Corporate and Institutional Banking, BNP Paribas (Suisse) SA Speakers Prof. Dr. Rüdiger Fahlenbrach, Associate Professor of Chairmen Finance, Swiss Finance Institute & École Polytechnique Prof. Dr. François Degeorge, Managing Director, Fédérale de Lausanne Swiss Finance Institute Prof. Dr. Laurent Frésard, Professor of Finance, Swiss Andrea Hoffmann, Senior Partner, Capco Finance Institute & Università della Svizzera italiana Dr. Ingo Rauser, Senior Partner—Switzerland, Dr. Romeo Lacher, Chairman of the Board, SIX, Capco Institute and Vice-Chairman of the Foundation Board, Swiss Finance Institute Prof. Dr. Steven Ongena, Professor of Banking, Swiss Finance Institute & University of Zurich
29 : Overview of SFI Events Organized in 2019
Événement partenaire FGPF et SFI: 14th Annual Meeting of SFI: "Le pouls digital de la banque Suisse" "Debt, Growth, and Resilience" Geneva, Study Presentation, June 10, 2019 Zurich, Conference, November 13, 2019
Prof. Dr. François Degeorge, Managing Director, Dr. Romeo Cerutti, General Counsel, Credit Suisse Swiss Finance Institute Group AG and Chairman of the SFI Foundation Board Prof. Dr. Damir Filipović, SFI Senior Chair and Prof. Dr. François Degeorge, Managing Director and Professor of Finance at the Ecole Polytechnique Fédérale Senior Chair, SFI de Lausanne Sergio P. Ermotti, Group Chief Executive Officer, UBS Steve Krieger, Head of Strategy & Group Projects, Nobel Laureate Professor Bengt Holmström, Professor of Pictet Group Economics, Massachusetts Institute of Technology (MIT) Yves Mirabaud, Président, Fondation Genève Place Prof. Dr. Jean-Charles Rochet, SFI Senior Chair and Financière Head of Research, University of Geneva and SFI Herbert J. Scheidt, Chairman of the Swiss Bankers Association SFI Public Discussion Event mit Sergio P. Ermotti Zurich, Public Discussion Event, June 25, 2019 SFI—M&G Seminar on Private Debt Zurich, Evening Seminar, November 19, 2019 Sergio P. Ermotti, Group Chief Executive Officer, UBS Prof. Dr. Rüdiger Fahlenbrach, SFI Senior Chair and Professor of Finance, EPFL William Nicoll, Director Fixed Income, M&G Brian Olvany, Head of Private Debt, Zurich Insurance Group
30 Overview of SFI Commercial Continuing Education 2019 :
Overview of SFI Commercial Continuing Education 2019
Swiss Offerings Swiss Banking School Certification March 2019–April 2020 In collaboration with the University of Zurich and the Diploma of Advanced Studies in Banking CYP Association, the Swiss Finance Institute launched This bank management program is held in German and an inclusive offering—available in German, English, runs for six weeks spread over a period of 16 months. French, and Italian—at the end of 2016 to prepare It is aimed at management and technical experts within individuals for certification as client advisors by the the banking industry who have experience of leading Swiss Association for Quality (SAQ) under the ISO a demanding client portfolio and who wish to broaden standard 17024. their roles. It is conducted in collaboration with Rochester–Bern Executive Programs/University of Bern. Specialist Offerings and In-house Training June 2019–April 2020 Several in-house and specialist training courses were Advanced Executive Program (AEP) offered in 2019, among them the Cross-Border Wealth This bank management program for senior executives Management Certification. synthesizes the latest insights into banking and finance issues in theory and current practice. In 2019, participants attended the AEP modules together with the DAS in Banking class, which intensified the exchange of knowledge and expertise between practitioners.
September 2019–March 2020 Certificate of Advanced Studies in Banking with a Focus on Real Estate Finance This certificate program is held in German and targets real estate specialists from finance and the real estate industry. It comprises 12 days of classroom study. It is conducted in collaboration with IAZI AG Zurich and Rochester–Bern Executive Programs/University of Bern.
31 © 2020 Swiss Finance Institute Stiftung
The information provided within this Expertise Guide is for general information purpose only. No part of this guide 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.
32 SFI Expertise Guide : SFI Expertise Guide
Swiss Finance Institute Faculty
Swiss Finance Institute has a faculty of over 50 professors who support its research and continuing education activities.
SFI Partner University Rüdiger Fahlenbrach* 46 Eric Nowak 58 Faculty Walter Farkas 46 Kjell G. Nyborg* 59 (as of April 2020) Damir Filipović* 47 Steven Ongena* 59 The SFI Research Faculty is made Francesco Franzoni* 47 Per Östberg 60 up of over 50 exceptional Laurent Frésard* 48 Marc Paolella 60 researchers from six SFI partner Patrick Gagliardini 48 Alberto Plazzi 61 universities. Their outstanding Manfred Gilli 49 Kerstin Preuschoff 61 publications and expertise Amit Goyal* 49 Jean-Charles Rochet* 62 contribute to the international Michel Habib 50 Michael Rockinger 62 research community and ensure Harald Hau* 50 Olivier Scaillet* 63 that Switzerland makes its mark on Thorsten Hens 51 Paul Schneider* 63 the international research agenda. Martin Hoesli 51 Norman Schürhoff* 64 Julien Hugonnier* 52 Martin Schweizer 64 Hansjörg Albrecher 40 Eric Jondeau 52 Didier Sornette 65 Philippe Bacchetta* 40 Pablo Koch-Medina 53 Pascal St-Amour 65 Giovanni Barone-Adesi 41 Philipp Krüger* 53 Josef Teichmann 66 Christoph Basten 41 Felix Kübler* 54 Fabio Trojani* 66 Stefano Battiston 42 Lorenz Küng 54 Alexander F. Wagner* 67 Tony Berrada 42 Semyon Malamud* 55 Joël Wagner 67 Ines Chaieb 43 Loriano Mancini* 55 Johan Walden* 68 Pierre Collin-Dufresne* 43 Antonio Mele* 56 Suzanne de Treville 44 Roni Michaely* 56 François Degeorge* 44 Erwan Morellec* 57 Theodosios Dimopoulos 45 Cosimo-Anrdea Munari 57 Paul Embrechts 45 Boris Nikolov* 58 * SFI chair-holder
Continuing Education Teodoro D. Cocca 70 SFI works with its partner universities Adjunct Faculty Rudolf Gruenig 70 to create and establish academic (as of April 2020) Erwin W. Heri 70 expertise and excellence. The title of SFI Adjunct Professor is Roger M. Kunz 70 awarded to selected academics François-Serge Lhabitant 70 from recognized universities and Alfred Mettler 70
universities of applied science. Conrad Meyer 71 Università della Svizzera Recipients are chosen because of Donato Scognamiglio 71 italiana their strategic and/or reputational Paolo Vanini 71 engagements for SFI, for example Urs Wälchli 71 within its continuing education programs.
Editing: Dr. Cyril Pasche, Swiss Finance Institute
34 SFI Expertise Guide :
The SFI Expertise Matrix
Relevance for Activity Areas Core Activities Supportive Activities
Legend
high relevance
medium relevance
minor relevance Level of Level Expertise SFI Faculty Banking Private Banking Corporate Asset Management Banking Investment and reinsurance Insurance audit, and contolling Accounting, Strategy Corporate Human Resources and tax Legal, regulation, Operations technology Risk Management Trading Treasury
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
35 : SFI Expertise Guide
Our Faculty's Areas of Expertise
Financial Markets Financial Institutions Frontier Topics • Central Banks and Monetary Policy • Banks • Big Data and Fintech • Financial Crises • Independent Asset • Neurofinance • Financial Forecasting • Managers • Operations Research and Decision Theory • Information and Market Efficiency • Institutional Investors and Funds • Sustainable Finance • International Financial • Insurance Companies • Markets and Emerging Markets • Pension Funds • Systemic Risk and Regulation • Rating Agencies • Venture Capital and Private Equity Portfolio Management and Asset Classes • Asset Pricing Corporate Finance and Governance • Behavioral Finance • Bankruptcy and Liquidation • Commodities • Capital Budgeting and Investment Policy • Equities • Corporate Governance and Managerial • Fixed Income Compensation • Foreign Exchange • Financial Risk and Risk Management • Options and Other • Financial Valuation • Derivatives • Financing Policy and Capital Structure • Personal Finance and Household Choices • Mergers and Acquisitions • Portfolio Management • Real Estate
Expertise Index
Looking for specific expertise and trying to get in touch with one of English, French: Dr. Cyril Pasche, our faculty members? Do not hesitate to contact us! [email protected], +41 22 379 88 25
English, German: Dr. Markus Bürgi, [email protected], +41 44 254 30 95
Financial Markets Central Banks and Monetary Policy Harald Hau ...... 50 Alberto Plazzi ...... 61 Philippe Bacchetta ...... 40 Eric Jondeau ...... 52 Olivier Scaillet ...... 63 Christoph Basten ...... 41 Felix Kübler ...... 54 Paul Schneider ...... 63 Julien Hugonnier ...... 52 Loriano Mancini ...... 55 Didier Sornette ...... 65 Eric Jondeau ...... 52 Antonio Mele ...... 56 Josef Teichmann ...... 66 Lorenz Küng ...... 54 Erwan Morellec ...... 57 Fabio Trojani ...... 66 Semyon Malamud ...... 55 Eric Nowak ...... 58 Antonio Mele ...... 56 Kjell G. Nyborg ...... 59 Information and Market Efficiency Kjell G. Nyborg ...... 59 Steven Ongena ...... 59 Tony Berrada ...... 42 Steven Ongena ...... 59 Per Östberg ...... 60 Pierre Collin-Dufresne ...... 43 Jean-Charles Rochet ...... 62 Alberto Plazzi ...... 61 Francesco Franzoni ...... 47 Didier Sornette ...... 65 Jean-Charles Rochet ...... 62 Laurent Frésard ...... 48 Paul Schneider ...... 63 Amit Goyal ...... 49 Financial Crises Didier Sornette ...... 65 Thorsten Hens ...... 51 Philippe Bacchetta ...... 40 Joël Wagner ...... 67 Julien Hugonnier ...... 52 Christoph Basten ...... 41 Antonio Mele ...... 56 Stefano Battiston ...... 42 Financial Forecasting Roni Michaely ...... 56 Theodosios Dimopoulos ...... 45 Manfred Gilli ...... 49 Eric Nowak ...... 58 Paul Embrechts ...... 45 Eric Jondeau ...... 52 Alberto Plazzi ...... 61
36 SFI Expertise Guide :
Norman Schürhoff ...... 64 Harald Hau ...... 50 Patrick Gagliardini ...... 48 Martin Schweizer ...... 64 Semyon Malamud ...... 55 Harald Hau ...... 50 Didier Sornette ...... 65 Alberto Plazzi ...... 61 Thorsten Hens ...... 51 Josef Teichmann ...... 66 Olivier Scaillet ...... 63 Eric Jondeau ...... 52 Alexander F. Wagner ...... 67 Didier Sornette ...... 65 Erwan Morellec ...... 57 Johan Walden ...... 68 Steven Ongena ...... 59 Systemic Risk and Regulation Jean-Charles Rochet ...... 62 International Financial Markets and Hansjörg Albrecher ...... 40 Michael Rockinger ...... 62 Emerging Markets Christoph Basten ...... 41 Olivier Scaillet ...... 63 Philippe Bacchetta ...... 40 Stefano Battiston ...... 42 Didier Sornette ...... 65 Ines Chaieb ...... 43 Paul Embrechts ...... 45 Joël Wagner ...... 67 Michel Habib ...... 50 Damir Filipović ...... 47
Portfolio Management and Asset Classess Asset Pricing Equities Manfred Gilli ...... 49 Giovanni Barone-Adesi ...... 41 Giovanni Barone-Adesi ...... 41 Harald Hau ...... 50 Tony Berrada ...... 42 Ines Chaieb ...... 43 Julien Hugonnier ...... 52 Ines Chaieb ...... 43 Pierre Collin-Dufresne ...... 43 Michael Rockinger ...... 62 Damir Filipović ...... 47 François Degeorge ...... 44 Paul Schneider ...... 63 Francesco Franzoni ...... 47 Damir Filipović ...... 47 Martin Schweizer ...... 64 Patrick Gagliardini ...... 48 Francesco Franzoni ...... 47 Didier Sornette ...... 65 Manfred Gilli ...... 49 Patrick Gagliardini ...... 48 Josef Teichmann ...... 66 Amit Goyal ...... 49 Amit Goyal ...... 49 Fabio Trojani ...... 66 Thorsten Hens ...... 51 Harald Hau ...... 50 Julien Hugonnier ...... 52 Thorsten Hens ...... 51 Options and Other Derivatives Eric Jondeau ...... 52 Eric Jondeau ...... 52 Giovanni Barone-Adesi ...... 41 Pablo Koch-Medina ...... 53 Philipp Krüger ...... 53 Stefano Battiston ...... 42 Felix Kübler ...... 54 Loriano Mancini ...... 55 Tony Berrada ...... 42 Semyon Malamud ...... 55 Eric Nowak ...... 58 Pierre Collin-Dufresne ...... 43 Loriano Mancini ...... 55 Kjell G. Nyborg ...... 59 Suzanne de Treville ...... 44 Antonio Mele ...... 56 Per Östberg ...... 60 Paul Embrechts ...... 45 Alberto Plazzi ...... 61 Alberto Plazzi ...... 61 Walter Farkas ...... 46 Michael Rockinger ...... 62 Michael Rockinger ...... 62 Damir Filipović ...... 47 Olivier Scaillet ...... 63 Paul Schneider ...... 63 Patrick Gagliardini ...... 48 Paul Schneider ...... 63 Didier Sornette ...... 65 Manfred Gilli ...... 49 Norman Schürhoff ...... 64 Fabio Trojani ...... 66 Julien Hugonnier ...... 52 Martin Schweizer ...... 64 Alexander F. Wagner ...... 67 Semyon Malamud ...... 55 Didier Sornette ...... 65 Johan Walden ...... 68 Loriano Mancini ...... 55 Fabio Trojani ...... 66 Antonio Mele ...... 56 Johan Walden ...... 68 Fixed Income Erwan Morellec ...... 57 Ines Chaieb ...... 43 Michael Rockinger ...... 62 Behavioral Finance Pierre Collin-Dufresne ...... 43 Olivier Scaillet ...... 63 Tony Berrada ...... 42 Damir Filipović ...... 47 Paul Schneider ...... 63 François Degeorge ...... 44 Manfred Gilli ...... 49 Norman Schürhoff ...... 64 Amit Goyal ...... 49 Antonio Mele ...... 56 Martin Schweizer ...... 64 Thorsten Hens ...... 51 Kjell G. Nyborg ...... 59 Didier Sornette ...... 65 Philipp Krüger ...... 53 Per Östberg ...... 60 Josef Teichmann ...... 66 Eric Nowak ...... 58 Alberto Plazzi ...... 61 Fabio Trojani ...... 66 Kerstin Preuschoff ...... 61 Michael Rockinger ...... 62 Olivier Scaillet ...... 63 Paul Schneider ...... 63 Personal Finance and Household Choices Paul Schneider ...... 63 Norman Schürhoff ...... 64 Christoph Basten ...... 41 Didier Sornette ...... 65 Josef Teichmann ...... 66 Thorsten Hens ...... 51 Alexander F. Wagner ...... 67 Fabio Trojani ...... 66 Lorenz Küng ...... 54 Eric Nowak ...... 58 Commodities Foreign Exchange Pascal St-Amour ...... 65 Giovanni Barone-Adesi ...... 41 Philippe Bacchetta ...... 40 Damir Filipović ...... 47 Giovanni Barone-Adesi ...... 41 Portfolio Management Didier Sornette ...... 65 Ines Chaieb ...... 43 Giovanni Barone-Adesi ...... 41 Josef Teichmann ...... 66 Pierre Collin-Dufresne ...... 43 Tony Berrada ...... 42
37 : SFI Expertise Guide
Francesco Franzoni ...... 47 Alberto Plazzi ...... 61 Real Estate Patrick Gagliardini ...... 48 Michael Rockinger ...... 62 Christoph Basten ...... 41 Manfred Gilli ...... 49 Olivier Scaillet ...... 63 Martin Hoesli ...... 51 Amit Goyal ...... 49 Paul Schneider ...... 63 Lorenz Küng ...... 54 Thorsten Hens ...... 51 Martin Schweizer ...... 64 Alberto Plazzi ...... 61 Julien Hugonnier ...... 52 Didier Sornette ...... 65 Michael Rockinger ...... 62 Eric Jondeau ...... 52 Pascal St-Amour ...... 65 Didier Sornette ...... 65 Semyon Malamud ...... 55 Josef Teichmann ...... 66 Antonio Mele ...... 56 Fabio Trojani ...... 66 Marc Paolella ...... 60 Joël Wagner ...... 67
Financial Institutions Banks Institutional Investors and Funds Pension Funds Giovanni Barone-Adesi ...... 41 Francesco Franzoni ...... 47 Francesco Franzoni ...... 47 Christoph Basten ...... 41 Laurent Frésard ...... 48 Amit Goyal ...... 49 Stefano Battiston ...... 42 Amit Goyal ...... 49 Thorsten Hens ...... 51 Paul Embrechts ...... 45 Harald Hau ...... 50 Eric Jondeau ...... 52 Rüdiger Fahlenbrach ...... 46 Thorsten Hens ...... 51 Michael Rockinger ...... 62 Harald Hau ...... 50 Eric Jondeau ...... 52 Joël Wagner ...... 67 Thorsten Hens ...... 51 Philipp Krüger ...... 53 Eric Jondeau ...... 52 Semyon Malamud ...... 55 Rating Agencies Loriano Mancini ...... 55 Eric Nowak ...... 58 Harald Hau ...... 50 Erwan Morellec ...... 57 Alexander F. Wagner ...... 67 Philipp Krüger ...... 53 Kjell G. Nyborg ...... 59 Norman Schürhoff ...... 64 Steven Ongena ...... 59 Insurance Companies Jean-Charles Rochet ...... 62 Hansjörg Albrecher ...... 40 Venture Capital and Private Equity Alexander F. Wagner ...... 67 Paul Embrechts ...... 45 François Degeorge ...... 44 Damir Filipović ...... 47 Theodosios Dimopoulos ...... 45 Independent Asset Managers Thorsten Hens ...... 51 Rüdiger Fahlenbrach ...... 46 Giovanni Barone-Adesi ...... 41 Pablo Koch-Medina ...... 53 Francesco Franzoni ...... 47 Francesco Franzoni ...... 47 Cosimo-Andrea Munari ...... 57 Eric Nowak ...... 58 Thorsten Hens ...... 51 Joël Wagner ...... 67
Corporate Finance and Governance Bankruptcy and Liquidation Corporate Governance and Managerial Damir Filipović ...... 47 Hansjörg Albrecher ...... 40 Compensation Laurent Frésard ...... 48 Stefano Battiston ...... 42 Theodosios Dimopoulos ...... 45 Julien Hugonnier ...... 52 Laurent Frésard ...... 48 Paul Embrechts ...... 45 Eric Jondeau ...... 52 Erwan Morellec ...... 57 Rüdiger Fahlenbrach ...... 46 Pablo Koch-Medina ...... 53 Boris Nikolov ...... 58 Laurent Frésard ...... 48 Semyon Malamud ...... 55 Eric Nowak ...... 58 Michel Habib ...... 50 Antonio Mele ...... 56 Steven Ongena ...... 59 Harald Hau ...... 50 Erwan Morellec ...... 57 Philipp Krüger ...... 53 Cosimo-Andrea Munari ...... 57 Capital Budgeting and Investment Policy Roni Michaely ...... 56 Boris Nikolov ...... 58 Hansjörg Albrecher ...... 40 Erwan Morellec ...... 57 Olivier Scaillet ...... 63 Theodosios Dimopoulos ...... 45 Boris Nikolov ...... 58 Martin Schweizer ...... 64 Rüdiger Fahlenbrach ...... 46 Eric Nowak ...... 58 Didier Sornette ...... 65 Laurent Frésard ...... 48 Steven Ongena ...... 59 Josef Teichmann ...... 66 Harald Hau ...... 50 Alexander F. Wagner ...... 67 Fabio Trojani ...... 66 Julien Hugonnier ...... 52 Joël Wagner ...... 67 Philipp Krüger ...... 53 Financial Risk and Risk Management Roni Michaely ...... 56 Hansjörg Albrecher ...... 40 Financial Valuation Erwan Morellec ...... 57 Giovanni Barone-Adesi ...... 41 Stefano Battiston ...... 42 Boris Nikolov ...... 58 Christoph Basten ...... 41 Theodosios Dimopoulos ...... 45 Kjell G. Nyborg ...... 59 Stefano Battiston ...... 42 Rüdiger Fahlenbrach ...... 46 Norman Schürhoff ...... 64 Paul Embrechts ...... 45 Damir Filipović ...... 47 Martin Schweizer ...... 64 Rüdiger Fahlenbrach ...... 46 Laurent Frésard ...... 48 Joël Wagner ...... 67 Walter Farkas ...... 46 Harald Hau ...... 50
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Pablo Koch-Medina ...... 53 Financing Policy and Capital Structure Mergers and Acquisitions Philipp Krüger ...... 53 Hansjörg Albrecher ...... 40 François Degeorge ...... 44 Roni Michaely ...... 56 Theodosios Dimopoulos ...... 45 Theodosios Dimopoulos ...... 45 Erwan Morellec ...... 57 Laurent Frésard ...... 48 Rüdiger Fahlenbrach ...... 46 Cosimo-Andrea Munari ...... 57 Julien Hugonnier ...... 52 Laurent Frésard ...... 48 Boris Nikolov ...... 58 Pablo Koch-Medina ...... 53 Erwan Morellec ...... 57 Eric Nowak ...... 58 Philipp Krüger ...... 53 Boris Nikolov ...... 58 Kjell G. Nyborg ...... 59 Roni Michaely ...... 56 Eric Nowak ...... 58 Norman Schürhoff ...... 64 Erwan Morellec ...... 57 Per Östberg ...... 60 Martin Schweizer ...... 64 Boris Nikolov ...... 58 Alexander F. Wagner ...... 67 Didier Sornette ...... 65 Kjell G. Nyborg ...... 59 Norman Schürhoff ...... 64 Joël Wagner ...... 67
Frontier Topics Big Data and Fintech Josef Teichmann ...... 66 Sustainable Finance Christoph Basten ...... 41 Fabio Trojani ...... 66 Stefano Battiston ...... 42 Stefano Battiston ...... 42 Joël Wagner ...... 67 Suzanne de Treville ...... 44 Ines Chaieb ...... 43 Rüdiger Fahlenbrach ...... 46 Paul Embrechts ...... 45 Neurofinance Eric Jondeau ...... 52 Damir Filipović ...... 47 Tony Berrada ...... 42 Philipp Krüger ...... 53 Laurent Frésard ...... 48 Thorsten Hens ...... 51 Felix Kübler ...... 54 Patrick Gagliardini ...... 48 Kerstin Preuschoff ...... 61 Eric Nowak ...... 58 Harald Hau ...... 50 Steven Ongena ...... 59 Thorsten Hens ...... 51 Operations Research and Decision Theory Jean-Charles Rochet ...... 62 Julien Hugonnier ...... 52 Hansjörg Albrecher ...... 40 Didier Sornette ...... 65 Lorenz Küng ...... 54 Suzanne de Treville ...... 44 Alexander F. Wagner ...... 67 Semyon Malamud ...... 55 Paul Embrechts ...... 45 Roni Michaely ...... 56 Thorsten Hens ...... 51 Erwan Morellec ...... 57 Julien Hugonnier ...... 52 Eric Nowak ...... 58 Semyon Malamud ...... 55 Per Östberg ...... 60 Paul Schneider ...... 63 Michael Rockinger ...... 62 Martin Schweizer ...... 64 Olivier Scaillet ...... 63 Didier Sornette ...... 65 Didier Sornette ...... 65 Josef Teichmann ...... 66
39 : SFI Expertise Guide Faculty Profiles Prof. Hansjörg Albrecher SFI Faculty Member since 2010
PhD Graz University of Technology—Technical Mathematics
University of Lausanne [email protected] +41 21 692 33 71
Hansjörg Albrecher is Professor of Actuarial models need considerably fewer parameters Expertise Fields Science at the University of Lausanne. for a comparable fit and are hence interesting Financial Markets Professor Albrecher is a regular speaker at complements for the analysis of the involved • Systemic Risk and Regulation leading conferences on insurance. He has randomness and for risk management. Financial Institutions published extensively and serves on the • Insurance Companies editorial boards of the top academic Corporate Finance and Governance journals in his areas of research expertise. • Bankruptcy and Liquidation • Capital Budgeting and Investment Policy Expertise • Financial Risk and Risk Management Professor Albrecher is studying how • Financing Policy and Capital Structure heavy-tailed distributions—where single Frontier Topics out of the ordinary events have strong • Operations Research and Decision Theory consequences—impact financial or insurance-related returns and risks. He has Language Skills recently developed some highly flexible and English, French, German parsimonious models to better understand such outcomes. For various insurance loss data sets, he shows that the resulting
Prof. Philippe Bacchetta SFI Senior Chair since 2013 SFI Faculty Member since 2006
PhD Harvard University – Economics
University of Lausanne [email protected] +41 21 692 34 73
Philippe Bacchetta is Professor of denomination of debt. Professor Bacchetta's Expertise Fields Economics at the University of Lausanne. contribution is to show that during a Financial Markets Professor Bacchetta has provided liquidity crisis another factor also matters— • Central Banks and Monetary Policy consultancy services to numerous central the increase in the relative cost of funding • Financial Crises banks around the world and has been a of the domestic currency. During the • International Financial Markets and visiting scholar at the International 2007–09 crisis, the increase in the cost of Emerging Markets Monetary Fund on several occasions. funding in euros reduced the supply of Portfolio Management and Asset Classes credit by eurozone lenders, curbed the • Foreign Exchange Expertise willingness of foreign lenders to bear currency Professor Bacchetta is studying the increase risk, and ultimately caused a shift to foreign Language Skills in dollar borrowing by non-investment currency credit. Altogether, this shows that English, French, Spanish grade eurozone firms during the 2007–09 foreign credit is counter-cyclical and that financial crisis. Traditional knowledge states non-eurozone banks played a key stabilizing that a borrower's export intensity and role. Professor Bacchetta actively participates foreign currency income and the interest in SFI Knowledge Exchange activities that rate differential between domestic and focus on negative interest rates. foreign currency loans are the main factors at work when determining the currency
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Prof. Giovanni Barone-Adesi SFI Faculty Member since 2006
PhD University of Chicago—Finance
Università della Svizzera italiana [email protected] +41 58 666 47 53
Giovanni Barone-Adesi is Professor of machine learning experts can build Expertise Fields Economics at the Università della Svizzera algorithms capable of consistently Portfolio Management and Asset Classes italiana. He is President of OpenCapital, outperforming the market; they also call for • Asset Pricing an asset management firm based in Lugano, new asset pricing models that include • Commodities and a member of the Board of Credit nonlinearities. With respect to predictors, • Equities Agricole Indosuez (Switzerland). he considers a broad variety of variables • Foreign Exchange and reveals that the most successful • Options and Other Derivatives Expertise predictors are based on asset growth and • Portfolio Management Professor Barone-Adesi is examining the key net stock issue, and that small stocks are Financial Institutions aspects of financial market predictability more predictable then big ones. Finally, • Banks with a specific focus on both predictive he proves how predictability is a generalized • Independent Asset Managers modelling and predictors. With respect to characteristic of equity markets, Corporate Finance and Governance predictive modelling, he shows how and urges investors to study the relation • Financial Risk and Risk Management combining machine learning and model between predictability and pricing in a selection techniques dramatically increases combined approach. Language Skills forecasting capabilities. Such findings pose English, Italian a significant challenge to the efficient market hypothesis as they prove that
Prof. Christoph Basten SFI Faculty Member since 2019
PhD European University Institute—Applied Economics
University of Zurich [email protected] +41 44 634 42 70
Christoph Basten is Assistant Professor of noticeable impact on the rejection rate of Expertise Fields Banking at the University of Zurich. Prior to mortgage applications nor any form of Financial Markets joining the University of Zurich, he worked direct credit rationing. Increases in pricing • Central Banks and Monetary Policy for five years as a risk manager at the Swiss did nonetheless have an indirect effect on • Financial Crises Financial Market Authority, FINMA. the issuance volume of new mortgages, • Systemic Risk and Regulation which allowed banks to increase retained Portfolio Management and Asset Classes Expertise earnings to build the needed extra capital. • Personal Finance and Household Choices Professor Basten is focusing on bank capital From a policy perspective, he finds it • Real Estate requirements and empirically measuring the encouraging to see how the CCyB can help Financial Institutions effects of the Basel III macroprudential policy makers "lean against the wind" of • Banks Counter-Cyclical Capital Buffer (CCyB). In suspected credit bubbles by affecting the Corporate Finance and Governance 2013, the Swiss Federal Council decided to supply composition of lending and precisely • Financial Risk and Risk Management activate the CCyB and required Swiss banks strengthening those lenders most exposed Frontier Topics to set aside extra capital to finance to suspected bubbles. • Big Data and Fintech domestic residential mortgages. Professor Basten's analysis shows that an immediate Language Skills price effect occurred, as banks increased English, German mortgage rates. By contrast, he found no
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Prof. Stefano Battiston SFI Faculty Member since 2017
PhD Ecole Nationale Superieure—Statistical Physics
University of Zurich [email protected] +41 44 634 40 58
Stefano Battiston is Professor of Banking at methods to assess climate-related financial Corporate Finance and Governance the University of Zurich and Director of the risks in investors' portfolios and to conduct • Bankruptcy and Liquidation FINEXUS Center for Financial Networks and climate stress tests. His methods are • Financial Risk and Risk Management Sustainability. He has coordinated several currently being implemented by leading • Financial Valuation EU and Swiss projects on sustainable finance. policy makers and financial institutions, Frontier Topics His interdisciplinary scientific background, such as the European Central Bank and the • Big Data and Fintech which combines complex systems, economics, European Insurance and Occupational • Sustainable Finance and finance, has put him in a unique Pensions Authority. position to understand policy issues from a Language Skills quantitative perspective. Expertise Fields English, German, Italian Financial Markets Expertise • Financial Crises Professor Battiston is investigating, by • Systemic Risk and Regulation means of financial network models, the Portfolio Management and Asset Classes relation between financial interconnectedness • Options and Other Derivatives and risk, and the existence of important Financial Institutions trade-offs in markets with counterparty risk. • Banks In particular, he is developing innovative
Prof. Tony Berrada SFI Faculty Member since 2006
PhD University of Lausanne—Finance
University of Geneva [email protected] +41 22 379 81 26
Tony Berrada is Professor of Finance at the reveals attractive predictive properties, and Expertise Fields University of Geneva and Head of the is capable of producing a measure of equity Financial Markets Geneva Finance Research Institute at the volatility, which tracks realized volatility, • Information and Market Efficiency University. Professor Berrada is a regular and a counter-cyclical equity premium that Portfolio Management and Asset Classes speaker at leading finance conferences and spikes during recessions. His results show • Asset Pricing workshops worldwide. He teaches executive that the macroeconomic metric he has • Behavioral Finance education courses on portfolio management. developed makes a significant contribution • Options and Other Derivatives to predicting future asset returns for all time • Portfolio Management Expertise horizons, which is not the case for the usual Frontier Topics Professor Berrada is studying asset prices consumption–wealth and dividend yield • Neurofinance with a specific focus on the general lack of metrics, which require many quarters before ability that exists when investors seek to providing reliable results. Language Skills predict the dynamic features of asset prices. English, French His contribution is to develop a model that includes unobservable growth regimes, belief-dependent risk aversion, and macroeconomic information to predict future asset returns. When tested, his model
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Prof. Ines Chaieb SFI Faculty Member since 2010
PhD McGill University—Finance
University of Geneva [email protected] +41 22 379 85 68
Ines Chaieb is Associate Professor of support increases in sovereign bond market Expertise Fields Finance at the University of Geneva. integration, which in turn provide sizeable Financial Markets Professor Chaieb is a regular speaker at decreases in the sovereign cost of funding. • International Financial Markets and major academic conferences and workshops She further shows that reduced confidence Emerging Markets on finance worldwide. in the global equity market leads to higher Portfolio Management and Asset Classes integration for high credit quality sovereign • Asset Pricing Expertise bonds. Finally, she unravels the impact of • Equities Professor Chaieb is studying the degree and central banks' bond purchasing programs • Fixed Income dynamics of sovereign bond market and demonstrates that they substantially • Foreign Exchange integration. Using data covering developed amplify the negative effect of illiquidity on Frontier Topics and emerging countries, she shows that market integration. • Big Data and Fintech better spanning—investing in substitute assets that are freely available to foreign Language Skills investors—can considerably increase Arabic, English, French market integration and reduce the effect of local risk premiums. Higher political stability and credit quality, lower inflation and inflation risk, and lower illiquidity all
Prof. Pierre Collin-Dufresne SFI Senior Chair since 2011 SFI Faculty Member since 2011
PhD HEC Paris—Finance
Ecole Polytechnique Fédérale de Lausanne [email protected] +41 21 693 01 36
Pierre Collin-Dufresne is Professor of long (short) positions increased (decreased) Expertise Fields Finance at the Ecole Polytechnique Fédérale during the glitch and became substantially Financial Markets de Lausanne. Previously, Professor more illiquid, and that this illiquidity took • Information and Market Efficiency Collin-Dufresne held the Carson Family one day to revert. Regarding trading costs, Portfolio Management and Asset Classes Chair of Business at Columbia University he reveals they remained significantly • Equities and worked in the Quantitative Strategies higher for more than a week after the glitch. • Fixed Income Group of Goldman Sachs Asset Management. His findings are, overall, consistent with • Foreign Exchange "slow-moving capital" theories, and imply • Options and Other Derivatives Expertise that "supply" shocks have a more persistent Professor Collin-Dufresne is investigating effect on a stock's illiquidity, and in Language Skills the consequences of market imperfections particular on institutional trading costs, than English, French, German such as insider trading, informed trading, on its price level. Professor Collin-Dufresne and trading glitches. He recently studied actively participates in SFI Knowledge the impact of a trading glitch that occurred Exchange activities that focus on the topic at a high-frequency market-making firm on of factor base asset allocation. market liquidity and institutional trading costs. Regarding liquidity, he shows that stocks in which the firm accumulated large
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Prof. Suzanne de Treville SFI Faculty Member since 2017
Doctorate Harvard University—Business Administration
University of Lausanne [email protected] +41 21 692 34 48
Suzanne de Treville is Professor of producing close to demand and by studying Expertise Fields Operations Management at the University the role of process documentation in Portfolio Management and Asset Classes of Lausanne. Professor de Treville has improving process consistency. Over the • Options and Other Derivatives played a pioneering role in the application years, she has been able to accurately price Frontier Topics of quantitative-finance methods to valuing the value of time when it comes to supply • Operations Research and Decision Theory supply chain responsiveness. She created chain management. Her estimates show • Sustainable Finance OpLab to facilitate the implementation of that firms tend to underestimate the true these research insights and tools for cost of lead time—the period between the Language Skills managers and policy makers. She is currently decision to produce and the moment when English, French, Finnish Coeditor in Chief for the Journal of demand is observed—leading them to Operations Management. offshore industrial production too heavily. Her results also demonstrate that it is rational Expertise to produce a mix of functional products and Professor de Treville is focusing on ways in innovative products and to do so closer to which firms can be more competitive from where the demand for each is situated. an operations management perspective, including by measuring the real value of
Prof. François Degeorge SFI Managing Director since 2016 SFI Senior Chair since 2010 SFI Faculty Member since 2006
PhD Harvard University—Political Economy and Government
Università della Svizzera italiana [email protected] +41 58 666 46 34
François Degeorge is Professor of Finance information transmission affects investor's Expertise Fields at the Università della Svizzera italiana. response to earnings news. In ongoing Portfolio Management and Asset Classes Professor Degeorge is a former Dean of the research, he is investigating the governance • Behavioral Finance Faculty of Economics at the Università and implications of private vs. public company • Equities a former president of the European Finance ownership and the frictions involved in the Financial Institutions Association. He has taught at HEC Paris, transition between the two forms. Findings • Venture Capital and Private Equity where he also served as Associate Dean for indicate that the incentives of financial Corporate Finance and Governance Research. He has been a visiting professor intermediaries have a much bigger impact • Mergers and Acquisitions at the Tuck School of Business, at on price discovery than commonly believed. Université Paris-Dauphine, and at the Saïd Language Skills Business School. He has received numerous English, French, Italian teaching and research awards.
Expertise Prof. Degeorge's research studies how incentives and information flows affect company valuation and pricing. In a recent project he examined how the technology of
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Prof. Theodosios Dimopoulos SFI Faculty Member since 2011
PhD London Business School—Finance
University of Lausanne [email protected] +41 21 692 33 98
Theodosios Dimopoulos is Professor of dividend policies. His results reveal that Expertise Fields Finance and Director of the Department differences across firms in profit shocks and Financial Markets of Finance at the University of Lausanne. corporate tax rates are the main factors that • Financial Crises Professor Dimopoulos has received explain dispersion in leverage rates, while Financial Institutions several grants and awards during his differences in capital-adjustment costs and • Venture Capital and Private Equity academic career. equity-issuance costs are the main factors Corporate Finance and Governance that explain dispersion in investments rates. • Capital Budgeting and Investment Policy Expertise His research will now focus on the • Corporate Governance and Managerial Professor Dimopoulos is studying the differences in debt composition, maturity Compensation factors at work in order to better explain the structure, and asset structure among • Financial Valuation differences in the levels of profit, investment, manufacturing firms. • Financing Policy and Capital Structure leverage, and payout across manufacturing • Mergers and Acquisitions firms. Data show that seemingly identical firms exhibit large and persistent differences Language Skills in their cash flow characteristics. This English, Greek variation in firm "DNA" explains why firms in the same sector and the same year follow markedly different investment, leverage, and
Prof. Paul Embrechts SFI Faculty Member since 2007
PhD Catholic University of Leuven—Mathematics
ETH Zurich [email protected] +41 44 632 34 19
Paul Embrechts is Emeritus Professor of quantitative risk management. Specific Financial Institutions Mathematics at ETH Zurich. His research applications include risk allocation, risk • Banks has been published in top academic sharing, and operational (including cyber) • Insurance Companies journals worldwide and has featured in the risk, as well as data science- (big data-) Corporate Finance and Governance international media. He is a regular speaker driven products in insurance. He is currently • Corporate Governance and Managerial at leading international conferences on risk writing a book on the public understanding Compensation management aimed at both academics and and communication of risk. The current • Financial Risk and Risk Management industry professionals. He also serves on coronavirus pandemic clearly illustrates the Frontier Topics the editorial boards of several international importance of such a project, especially • Big Data and Fintech journals and is a member of numerous when it is aimed at a broad public. • Operations Research and Decision Theory international advisory panels. Expertise Fields Language Skills Expertise Financial Markets Dutch, English, French, German Professor Embrechts is further focusing on • Financial Crises the quantitative and qualitative dimensions • Systemic Risk and Regulation of risk. In particular, he is concentrating on Portfolio Management and Asset Classes the modelling of extremal events for • Options and Other Derivatives insurance and finance, as well as on
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Prof. Rüdiger Fahlenbrach SFI Senior Chair since 2012 SFI Faculty Member since 2009
PhD University of Pennsylvania—Finance
Ecole Polytechnique Fédérale de Lausanne [email protected] +41 21 693 00 98
Rüdiger Fahlenbrach is Professor of Finance to provide a novel fundraising mechanism Expertise Fields at the Ecole Polytechnique Fédérale de for start-ups, in particular those focusing on Financial Institutions Lausanne. Previously, Professor Fahlenbrach fintech and blockchain technology. Many • Banks taught at the Ohio State University. His investors, however, seem to participate in • Venture Capital and Private Equity research has been published in the top ICOs for speculative purposes and large Corporate Finance and Governance finance journals worldwide and has featured pre-sale investors flip part of their • Capital Budgeting and Investment Policy in the international press. He is currently allocation shortly after the ICO. Financial • Corporate Governance and Managerial serving a three-year term as Director of the returns several months after an ICO are Compensation European Finance Association. positive on average, but the median return • Financial Risk and Risk Management is negative as many ICOs were shown to be • Financial Valuation Expertise fraudulent or simply failed. Professor • Mergers and Acquisitions Professor Fahlenbrach is studying the Fahlenbrach actively participates in SFI Frontier Topics behavior of investors in the case of initial Knowledge Exchange activities that focus • Sustainable Finance coin offerings (ICOs). Data reveal that the on private equity. typical investor is a retail investor who Language Skills invests a small amount of money and the English, French, German average ICO has just a few thousand contributors. The ICO market has been said
Prof. Walter Farkas SFI Faculty Member since 2013
PhD University of Jena—Mathematics
University of Zurich [email protected] +41 44 634 39 53
Walter Farkas is Associate Professor of constructs a derivative that incorporates Expertise Fields Quantitative Finance at the University of both the market risk premium and the Portfolio Management and Asset Classes Zurich. Professor Farkas is also an variance risk premium, and by doing so • Options and Other Derivatives associated Faculty Member at the merges two asset classes together. Corporate Finance and Governance Department of Mathematics of ETH Zurich Empirical results show that the higher the • Financial Risk and Risk Management and is the program director of the Master of market risk premium and the lower the Science in Quantitative Finance, a degree variance risk premium, the higher the payoff Language Skills jointly offered by ETH Zurich and the of this novel product. Further analysis English, German University of Zurich. reveals that the Sharpe ratio of such a derivative is at least as high as that of the Expertise market risk premium, which is obviously Professor Farkas is focusing on structured interesting to investors. products with an emphasis on market volatility. Instead of doing this by means of the traditional approach—so, for example, with a stock or a bond and a financial derivative—he does so with a stock and its own implied volatility. He subsequently
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Prof. Damir Filipović SFI Senior Chair since 2010 SFI Faculty Member since 2010
PhD ETH Zurich—Mathematics
Ecole Polytechnique Fédérale de Lausanne Damir.Filipović@epfl.ch +41 21 693 01 08
Damir Filipović holds the Swissquote Chair learning can significantly reduce Portfolio Management and Asset Classes in Quantitative Finance and is Head of the computational costs compared to industry • Asset Pricing Finance Institute at the Ecole Polytechnique standard methods for the calculation of risk • Commodities Fédérale de Lausanne. Professor Filipović capital over long time horizons—such as • Equities has been a member of the board of directors those used in the retirement scheme • Fixed Income of Swiss Life Holding since 2011, and of business. Nonetheless, he cautions that • Options and Other Derivatives Evooq, a small fintech company, since 2019. although machine learning provides strong Financial Institutions He is the recipient of numerous research computational benefits, one must still • Insurance Companies grants and is a regular speaker at leading analyze results with a critical mindset when Corporate Finance and Governance quantitative finance conferences and such a technology is applied to financial • Financial Risk and Risk Management workshops worldwide. data. Professor Filipović actively • Financial Valuation participates in SFI Knowledge Exchange Frontier Topics Expertise activities that focus on big data and fintech. • Big Data and Fintech Professor Filipović is currently focusing on the benefits of machine learning for Expertise Fields Language Skills portfolio risk management, in particular Financial Markets English, German regarding risk measurement, valuation, and • Systemic Risk and Regulation hedging. His results suggest that machine
Prof. Francesco Franzoni SFI Senior Chair since 2012 SFI Faculty Member since 2007
PhD Massachusetts Institute of Technology—Economics
Università della Svizzera italiana [email protected] +41 58 666 41 17
Francesco Franzoni is Professor of Finance further show that due to their lower Expertise Fields at the Università della Svizzera italiana and sensitivity, affiliated funds are able to Financial Markets a research fellow at the Center for Economic generate higher returns after periods of • Information and Market Efficiency Policy Research. Professor Franzoni's market turmoil and provide their investors Portfolio Management and Asset Classes research has been published in the top with more flexibility in redeeming their • Asset Pricing finance journals and featured in the capital, which may explain why investors are • Equities international press. willing to place their money with affiliated • Portfolio Management funds, despite the fact that they on average Financial Institutions Expertise slightly underperform other, unaffiliated • Independent Asset Managers Professor Franzoni is studying the costs and funds. Professor Franzoni actively • Institutional Investors and Funds benefits of hedge funds being affiliated with participates in SFI Knowledge Exchange • Pension Funds financial conglomerates. Results show that activities that focus on ETFs, as well as on • Venture Capital and Private Equity such funds behave differently from other opportunities in active asset management. unaffiliated funds. For example, they show Language Skills lower sensitivity of flows to performance, English, Italian enabling them to act as contrarians, take on risk, and provide support to the financial system in times of crisis. His estimates
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Prof. Laurent Frésard SFI Senior Chair since 2017 SFI Faculty Member since 2017
PhD University of Neuchatel—Finance
Università della Svizzera italiana [email protected] +41 58 666 44 91
Laurent Frésard is Professor of Finance at further suggest that IPOs are favored by Corporate Finance and Governance the Università della Svizzera italiana. start-ups that can carve out independent • Bankruptcy and Liquidation Previously, Professor Frésard was a member market positions and avoid the need to • Capital Budgeting and Investment Policy of the faculty at HEC Paris and the share gains with an acquirer. He also • Corporate Governance and Managerial University of Maryland. His papers have documents an economy-wide decline in Compensation been published in leading academic disruptive potential, which can explain part • Financial Risk and Risk Management journals and he has received a number of of the recent decline in IPOs and surge in • Financial Valuation grants and awards. sellouts. Professor Frésard actively • Financing Policy and Capital Structure participates in SFI Knowledge Exchange • Mergers and Acquisitions Expertise activities that focus on data and technology Frontier Topics Professor Frésard is studying the in finance. • Big Data and Fintech determinants of start-up exit methods using novel measures of technological Expertise Fields Language Skills characteristics constructed from patent text. Financial Institutions English, French His core results are that start-ups with more • Information and Market Efficiency potential to disrupt technological areas are Financial Institutions more likely to exit via initial public offerings • Institutional Investors and Funds (IPOs) and less likely to sell out. His results
Prof. Patrick Gagliardini SFI Faculty Member since 2008
PhD Università della Svizzera italiana—Econometrics
Università della Svizzera italiana [email protected] +41 58 666 46 60
Patrick Gagliardini is Professor of findings. First, workers with both low Expertise Fields Econometrics at the Università della education and low wages, whether at the Financial Markets Svizzera italiana. Professor Gagliardini's beginning or end of their career, tend to • Systemic Risk and Regulation papers have been published in the top stay stuck in the low-wage trap. Second, Portfolio Management and Asset Classes academic journals in finance, economics, workers with both high education and low • Asset Pricing and financial econometrics. initial wages tend to move up the professional • Equities ladder and improve their position from one • Options and Other Derivatives Expertise year to the next. Finally, to reduce the • Portfolio Management Professor Gagliardini is tackling the question current trend of increasing inequality, Frontier Topics of wage inequality from a dynamic-career policies should focus on the low-wage trap • Big Data and Fintech perspective instead of from a traditional instead of on low wages in general. static-job standpoint. To do so, he Language Skills developed a framework that accounts for English, French, Italian wage dynamics over the professional career, professional changes, the role of past positions, and education—thus providing more accurate results and advanced policy recommendations. Data reveal several key
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Prof. Manfred Gilli SFI Faculty Member since 2006
PhD University of Geneva—Econometrics
University of Geneva [email protected] +41 22 379 82 22
Manfred Gilli is Emeritus Professor at the rigorous software he continues to develop, Expertise Fields University of Geneva. During his career, test, update, and share. Financial Markets Professor Gilli has published extensively • Financial Forecasting and has contributed many chapters Portfolio Management and Asset Classes to books on computational finance. He is • Asset Pricing a regular speaker at leading finance • Fixed Income conferences worldwide. • Foreign Exchange • Options and Other Derivatives Expertise • Portfolio Management Professor Gilli is studying the role of computationally intensive tools that offer Language Skills financial solutions—ranging from asset English, French, German, Italian allocation to risk management to option pricing to model calibration—with an emphasis on simulation and optimization in a heuristic environment. Practitioners in the banking and financial sector benefit from the practical-in-scope and theoretically
Prof. Amit Goyal SFI Senior Chair since 2008 SFI Faculty Member since 2008
PhD University of California, Los Angeles—Finance
University of Lausanne [email protected] +41 21 692 36 76
Amit Goyal is Professor of Finance at the markets and corporate bond markets. He Expertise Fields University of Lausanne. Professor Goyal's finds that option implied volatility change Financial Markets research has been published in the top has significant predictive power for the • Information and Market Efficiency finance journals worldwide and has featured underlying firms' bond returns. Corporate Portfolio Management and Asset Classes in the international press. bonds with large increases in implied • Asset Pricing volatility over the past month underperform • Behavioral Finance Expertise those with large decreases in implied • Equities Professor Goyal is studying the false volatility. Overall, his results are consistent • Portfolio Management discovery problem in empirical asset pricing with the notion that informed traders with Financial Institutions studies that investigate predictability in new information about firm risk prefer • Institutional Investors and Funds stock returns. He estimates the expected to trade in the option market, and that the • Pension Funds proportion of false rejections if one fails to corporate bond market is slow to account for multiple hypothesis testing to incorporate that information. Language Skills be close to 50 percent. He also provides new English higher statistical thresholds that guard against this false discovery, which is beneficial to investors. In other work, he is exploring the interaction between option
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Prof. Michel Habib SFI Faculty Member since 2006
PhD University of Pennsylvania—Finance
University of Zurich [email protected] +41 44 634 25 07
Michel Habib is Professor of Finance at the and Civil Law jurisdictions, where he Expertise Fields University of Zurich. After graduating from examines the roles of discovery, direction by Financial Markets the Wharton School of the University of judges, and deliberate information • International Financial Markets and Pennsylvania he taught at the London curtailment in minimizing both legal costs Emerging Markets Business School. and the errors made in allocating liability Corporate Finance and Governance and estimating damages. An interesting • Corporate Governance and Managerial Expertise feature of his work is the complementarity Compensation Professor Habib is currently estimating of bias and precision: an attempt to countries' maximum sustainable primary decrease the bias in party-provided Language Skills surpluses. These, as once explained by information will decrease that information's English, French Argentina's chief debt negotiator following precision too; a party will provide accurate that country's 2001 default, are a central information only to the extent the party determinant of countries' debt capacity, a believes it can sway the court in the paramount concern in a time that has seen direction of that party's own interests. a dramatic increase in many countries' debt-to-GDP ratios as well as default by some. In parallel, he is also working on a comparison of civil procedures in Common
Prof. Harald Hau SFI Senior Chair since 2011 SFI Faculty Member since 2011
PhD Princeton University—Economics
University of Geneva [email protected] +41 22 379 95 81
Harald Hau is Professor of Finance at the wages, is compensated by higher overall • Systemic Risk and Regulation University of Geneva. Professor Hau is firm productivity. Further analysis reveals Portfolio Management and Asset Classes engaged in several ongoing collaborations that firm ownership type plays a substantial • Equities with the European Central Bank. His work role in reactions to labor cost shocks— • Foreign Exchange has been published in top academic journals foreign-owned firms show the strongest Financial Institutions and has featured in the international press. increase in total productivity whereas • Banks state-owned enterprises show no response. • Institutional Investors and Funds Expertise Such evidence suggests that a • Rating Agencies Professor Hau is focusing on how firms react complementary relationship exists between Corporate Finance and Governance to competitive shocks. Data covering changes competition and management quality, two • Capital Budgeting and Investment Policy in minimum wages throughout China during factors that investors should account for • Corporate Governance and Managerial several years reveal that low-wage firms when creating their financial portfolio. Compensation show a larger labor-to-capital substitution • Financial Valuation rate when minimum wages increase than Expertise Fields Frontier Topics high-wage industry peers. Interestingly, real Financial Markets • Big Data and Fintech output growth and market share are not • Financial Crises diminished, as the relative increase in the • International Financial Markets and Language Skills cost of labor, induced by higher minimum Emerging Markets English, French, German
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Prof. Thorsten Hens SFI Faculty Member since 2006
PhD Bonn University—Economics
University of Zurich [email protected] +41 44 634 37 06
Thorsten Hens is Professor of Financial investors' initial decisions are made, no • Behavioral Finance Economics at the University of Zurich. persistent differences are found in terms of • Equities Professor Hens is the founder of the UZH risk-taking behavior with regard to the way • Personal Finance and Household Choices spin-off Behavioral Finance Solutions risk is communicated. Further results show • Portfolio Management which provides decision-making tools, that investors who are updated frequently Financial Institutions based on behavioral finance principles, regarding financial performance exhibit • Banks to financial firms. lower trading frequencies than those who • Independent Asset Managers are updated on a less regular basis. These • Institutional Investors and Funds Expertise results have concrete practical implications • Insurance Companies Professor Hens is focusing on how investors regarding the role of communication and • Pension Funds react differently depending on the way risk the frequency of reporting. Frontier Topics is communicated to them. To do so, he • Big Data and Fintech conducts an experiment where investors are Expertise Fields • Neurofinance asked to make investment decisions over Financial Markets • Operations Research and Decision Theory multiple trading days and the risk–return • Information and Market Efficiency trade-off is presented to them either through • Systemic Risk and Regulation Language Skills experience sampling or through descriptive Portfolio Management and Asset Classes English, German communication. His results show that after • Asset Pricing
Prof. Martin Hoesli SFI Faculty Member since 2006
PhD University of Geneva—Finance
University of Geneva [email protected] +41 22 379 81 22
Martin Hoesli is Professor of Real Estate Expertise Expertise Fields Investments and Finance at the University Professor Hoesli is investigating the Portfolio Management and Asset Classes of Geneva and Chair in Accountancy at the accuracy and volatility of different residential • Real Estate University of Aberdeen (UK). Professor real estate valuation models. Using a Swiss Hoesli is a past president of the dataset, he tests several estimation and Language Skills International Real Estate Society and of the updating methods while investigating their English, French European Real Estate Society, and is a specificities and relative performance. Fellow of the Royal Institution of Chartered Estimates show there is a clear trade-off Surveyors and of the Weimer School of across methods depending on whether one Advanced Studies in Real Estate and Land seeks to improve accuracy or elude volatility. Economics. He is also on the board of the Such results prove useful not only to banks Swiss Financial Analysts Association and on and valuation firms, but also to regulatory the research committee of the European authorities seeking an informed view on Public Real Estate Association. where today's market is heading.
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Prof. Julien Hugonnier SFI Senior Chair since 2012 SFI Faculty Member since 2006
PhD Pantheon-Sorbonne University—Finance
Ecole Polytechnique Fédérale de Lausanne [email protected] +41 21 693 01 14
Julien Hugonnier is Professor of Finance at market. Such a generalization is successful Portfolio Management and Asset Classes the Ecole Polytechnique Fédérale de as it gives rise to intermediation chains and • Asset Pricing Lausanne and the head of its Master in accounts for empirical facts such as the • Foreign Exchange Financial Engineering program. Professor relation between a dealer's type and the • Options and Other Derivatives Hugonnier has held positions at Carnegie typical position he or she holds in the • Portfolio Management Mellon University, HEC Montreal, and the chains, as well as the frequency, direction, Corporate Finance and Governance University of Lausanne. He serves on the and prices of the dealer's trades. These • Capital Budgeting and Investment Policy editorial boards of various academic results provide insights into multiple • Financial Risk and Risk Management journals in the areas of mathematical ongoing issues that surround today's OTC • Financing Policy and Capital Structure finance and financial economics. markets, such as the effect of trading speed Frontier Topics on market outcomes, the effects of regulation, • Big Data and Fintech Expertise and the effects of shocks to dealers' • Operations Research and Decision Theory Professor Hugonnier is focusing on how to participation in decentralized markets. generalize search models in over-the-counter Language Skills (OTC) markets. He has therefore built a Expertise Fields English, French model in which customers trade with Financial Markets dealers in a search market and dealers trade • Central Banks and Monetary Policy among themselves in another search • Information and Market Efficiency
Prof. Eric Jondeau SFI Faculty Member since 2006
PhD Université Paris-Dauphine—Economics
University of Lausanne [email protected] +41 21 692 33 49
Eric Jondeau is Professor of Finance at the in favor of Europe and against the US, and Portfolio Management and Asset Classes University of Lausanne. Professor Jondeau's also implies large sectoral bets in favor of • Asset Pricing papers have been published in leading information technology stocks, and against • Equities academic journals. financial and energy stocks. To circumvent • Portfolio Management this pitfall, he demonstrates how to Financial Institutions Expertise eliminate this potentially undesirable • Banks Professor Jondeau is looking into ways to exposure of ESG portfolios to regional, • Institutional Investors and Funds expand our understanding of investing in sectoral, and risk factor tilts by developing • Pension Funds socially responsible equities, moving away algorithms that optimize the ESG profile Corporate Finance and Governance from the simple method of excluding "sin" while keeping the exposures to various risk • Financial Risk and Risk Management industries to a more systematic and factors under control. Frontier Topics complex approach based on environmental, • Sustainable Finance social, and governance (ESG) screening. His Expertise Fields work shows that active smart beta Financial Markets Language Skills strategies based on ESG screening typically • Central Banks and Monetary Policy English, French offer substantially higher Sharpe ratios than • Financial Crises those based on exclusion. ESG screening • Financial Forecasting leads, however, to substantial regional bets • Systemic Risk and Regulation
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Prof. Pablo Koch-Medina SFI Faculty Member since 2017
PhD University of Zurich—Mathematics
University of Zurich [email protected] +41 44 634 39 15
Pablo Koch-Medina is Associate Professor of of standards—IFRS, Solvency II, and the Expertise Fields Finance and Insurance at the University of Swiss Solvency Test—require that the Portfolio Management and Asset Classes Zurich. Professor Koch-Medina was valuation of insurance contracts be market- • Asset Pricing responsible for launching the Center for consistent and integrate a so-called risk Financial Institutions Finance and Insurance at the University, margin. Over the past years, the insurance • Insurance Companies which bridges the gap between the fields of industry and other stakeholders have voiced Corporate Finance and Governance finance and insurance and helps advance concerns regarding the appropriate method • Financial Risk and Risk Management research and foster education in the for determining the risk margin in the • Financial Valuation application of finance theory and Solvency II framework. This has recently • Financing Policy and Capital Structure mathematical finance to insurance-related prompted a methodological review of the topics. Prior to his academic appointment Solvency II framework, which has motivated Language Skills he worked for more than 20 years in the Professor Koch-Medina's research. Dutch, English, German, Spanish finance and insurance industry. The framework for the valuation of insurance contracts he develops deviates in important Expertise ways from that of Solvency II and Professor Koch-Medina is studying ways in preliminary findings suggest that correcting which insurance contracts should be valued for these deviations would likely increase in a financially sound manner. A diverse set the overall risk margin.
Prof. Philipp Krüger SFI Senior Chair since 2019 SFI Faculty Member since 2015
PhD Toulouse School of Economics – Economics
University of Geneva [email protected] +41 22 379 85 69
Philipp Krüger is Associate Professor of materialize. Long-term, larger, and Expertise Fields Responsible Finance at the University of ESG-oriented institutional investors Portfolio Management and Asset Classes Geneva. Professor Krüger is a regular consider that risk management and • Behavioral Finance speaker at leading finance conferences engagement—rather than divestment—is • Equities worldwide and his research has been the better approach to tackle climate risks. Financial Institutions published in top academic journals. Further analysis shows that institutional • Institutional Investors and Funds investors find climate risk reporting to not • Rating Agencies Expertise only be as important as traditional financial Corporate Finance and Governance Professor Krüger's research focuses reporting, but should further be mandatory • Capital Budgeting and Investment Policy primarily on behavioral and sustainable and better standardized. Professor Krüger • Corporate Governance and Managerial finance. For example, he has studied actively participates in SFI Knowledge Compensation whether, how, and why institutional Exchange activities that focus on the topic • Financial Valuation investors incorporate climate risk into of responsible investing. • Financing Policy and Capital Structure investment decisions. His research reveals Frontier Topics that institutional investors believe that • Sustainable Finance climate risks have implications for their portfolio and that these risks, in particular Language Skills regulatory risks, have already began to English, French, German
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Prof. Felix Kübler SFI Senior Chair since 2008 SFI Faculty Member since 2008
PhD Yale University—Economics
University of Zurich [email protected] +41 44 634 41 06
Felix Kübler is Professor of Finance at the energy sector, technical and demographic Expertise Fields University of Zurich. Before joining the changes, and temperature and damage Financial Markets faculty in Zurich, Professor Kübler held functions. He shows that policies seeking • Financial Crises professorships at Stanford University, the optimal uniform welfare should set the Portfolio Management and Asset Classes University of Pennsylvania, and the initial carbon tax at a relatively low level • Asset Pricing University of Mannheim. He also serves on and raise it annually. By doing so, the Frontier Topics the editorial boards of several economic welfare of both current and future • Sustainable Finance and financial journals. generations will increase. His results also show that procrastination has severe Language Skills Expertise implications, as delaying the implementation English, German Professor Kübler is focusing on ways to of carbon policies by 20 years reduces gains make carbon taxation a generational win– by approximately 50 percent. win and move away from the traditional perspective through which carbon taxation trades off the welfare of future and current generations. To do so, he has developed a very realistic model that features coal, oil, and gas, increasing extraction costs, a clean
Prof. Lorenz Küng SFI Faculty Member since 2019
PhD University of California, Berkeley—Economics
Università della Svizzera italiana [email protected] +41 58 666 46 38
Lorenz Küng is Assistant Professor of risk. Spatial equilibrium models show that Expertise Fields Economics at the Università della Svizzera wages, rents, and house prices are positively Financial Markets italiana. Before joining the faculty in correlated and a crucial determinant of the • Central Banks and Monetary Policy Lugano, Professor Küng held positions at riskiness of owning versus renting. He finds Portfolio Management and Asset Classes the Kellogg School of Management at that for a typical working-age household, • Personal Finance and Household Choices Northwestern University and served as a owning is considerably riskier than renting, • Real Estate Research Economist at the Federal Reserve as renters naturally hedge themselves Frontier Topics Bank of Chicago. His papers have been against wage risk, while owners lose the • Big Data and Fintech published in the top journals in economics. hedge against wage risk and are further exposed to house price risk. Households Language Skills Expertise may therefore find it optimal to either own a English, French, German Professor Küng is studying the risks property in a location that is weakly involved with owning versus renting impacted by business cycles or hold a housing. Data show that housing represents diverse portfolio of properties. homeowners' most important asset and approximately a quarter of their expenditure, and that house prices and housing costs are subject to substantial
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Prof. Semyon Malamud SFI Senior Chair since 2015 SFI Faculty Member since 2007
PhD ETH Zurich—Mathematics
Ecole Polytechnique Fédérale de Lausanne [email protected] +41 21 693 01 37
Semyon Malamud is Associate Professor of in which large risk-averse dealers would like • International Financial Markets and Finance at the Ecole Polytechnique Fédérale to get rid of their inventory, but are unable Emerging Markets de Lausanne. Professor Malamud is a regular to due to price impacts. Interestingly, he Portfolio Management and Asset Classes speaker at leading academic conferences demonstrates that this liquidity mismatch • Asset Pricing worldwide and his papers have been published not only affects the dealer-to-consumer • Options and Other Derivatives in the top journals in finance and economics. market, but also the dealer-to-dealer market. • Portfolio Management He further shows that price-based liquidity Financial Institutions Expertise mismatch in the dealer-to-consumer market • Institutional Investors and Funds Professor Malamud is focusing on how the positively predicts dealer-to-dealer prices, Corporate Finance and Governance microstructure of foreign exchange markets that dispersion in dealer-to-consumer • Financial Risk and Risk Management impacts liquidity from both the consumers' spreads predicts spreads negatively in the Frontier Topics and dealers' perspectives. The dealers' dealer-to-dealer market, and that customers' • Big Data and Fintech market is shown to be highly fragmented net order flow predicts dealer-to-dealer • Operations Research and Decision Theory and dominated by a handful of large prices negatively. strategic players who differ considerably in Language Skills their balance sheets, capitalizations, and Expertise Fields English, French, German, Russian willingness and ability to take on risk. These Financial Markets differences create a liquidity mismatch risk • Central Banks and Monetary Policy
Prof. Loriano Mancini SFI Junior Chair since 2012 SFI Faculty Member since 2008
PhD Università della Svizzera italiana—Econometrics
Università della Svizzera italiana [email protected] +41 58 666 45 87
Loriano Mancini is Associate Professor of construction. Using stock data to explore Expertise Fields Finance at the Università della Svizzera the economic gains of incorporating Financial Markets italiana. Prior to joining the Università, empirical regularities of financial asset • Financial Crises Professor Mancini held positions at Princeton returns, he finds that investors with Portfolio Management and Asset Classes University and at the Ecole Polytechnique generalized disappointment aversion • Asset Pricing Fédérale de Lausanne. He has published preferences benefit from significant monetary • Equities papers in the top academic journals in utility gains in comparison to investors with • Options and Other Derivatives finance and is a regular speaker at leading conventional expected utility preferences. Financial Institutions conferences and workshops worldwide. He further shows that the marginal utility • Banks gains of the optimal portfolio of a generalized Expertise disappointment aversion investor are Language Skills Professor Mancini is studying ways to remarkably robust to mis-specifications in English, Italian extend expected utility models so that they the underlying distributions. fully take the tail behavior of the portfolio return distribution into account. To do so he has developed a novel approach to model risk assessment based on a projection method and applies it to portfolio
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Prof. Antonio Mele SFI Senior Chair since 2011 SFI Faculty Member since 2011
PhD Paris University—Economics
Università della Svizzera italiana [email protected] +41 58 666 44 98
Antonio Mele is Professor of Finance at the markets and provides predictions regarding Expertise Fields Università della Svizzera italiana, having the fair value of derivatives referenced to Financial Markets spent a decade as a professor at the London this expected volatility. He predicts that, • Central Banks and Monetary Policy School of Economics. Professor Mele is the unlike for equity markets, the futures markets • Financial Crises co-inventor of the CBOE Interest Rate Swap on government bond volatilities frequently • Information and Market Efficiency Volatility Index and the CBOE Treasury oscillate between episodes of backwardation Portfolio Management and Asset Classes Volatility Index, the first standardized and contango. Such a property helps • Asset Pricing volatility measures in the interest rate swap explain the reaction of the US Treasury • Fixed Income and treasury markets. He is a regular speaker volatility curve to shocks including • Options and Other Derivatives at leading finance conferences worldwide. unanticipated Fed decisions or global • Portfolio Management economic imbalances. His results can further Corporate Finance and Governance Expertise be used in practice as a risk-management • Financial Risk and Risk Management Professor Mele is focusing on how valuable tool and prove useful to policy makers it can be for financial investors to mitigate engaged in macroprudential supervision. Language Skills government debt volatility by using English, French, Italian dedicated financial instruments. His work accounts for the complex structure of expected volatility in government bond
Prof. Roni Michaely SFI Senior Chair since 2018 SFI Faculty Member since 2018
PhD New York University—Finance and Economics
University of Geneva [email protected] +41 22 379 85 28
Roni Michaely is Professor of Finance at profit margins and more profitable M&A Expertise Fields the University of Geneva. Professor Michaely deals, suggesting that market power is Financial Markets is a regular speaker at major conferences. becoming an important source of value. His • Information and Market Efficiency His research has been published in analysis further suggests that the higher Corporate Finance and Governance leading finance journals and has featured profit margins associated with an increase • Capital Budgeting and Investment Policy in the international press, including in concentration are also reflected in higher • Corporate Governance and Managerial The Economist, the Wall Street Journal, and returns to shareholders. Overall, his results Compensation the New York Times. suggest that the nature of US product • Financial Valuation markets has undergone a shift that has • Financing Policy and Capital Structure Expertise potentially weakened competition across Frontier Topics Professor Michaely is focusing on how the majority of industries. In follow-up work, • Big Data and Fintech product market competition affects he investigates the extent to which political efficiency. He finds that over the past two connections shape competition and profits, Language Skills decades most US industries have and finds that more politically active firms English, Hebrew experienced a decline in the level of are able to increase profits and market share. competition they face. Further, firms operating in industries with the largest declines in competition have enjoyed higher
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Prof. Erwan Morellec SFI Head of PhD Program SFI Senior Chair since 2006 SFI Faculty Member since 2006
PhD HEC Paris—Finance
Ecole Polytechnique Fédérale de Lausanne [email protected] +41 21 693 01 16
Erwan Morellec is Professor of Finance at growth. In other work, he investigates the Portfolio Management and Asset Classes the Ecole Polytechnique Fédérale de financing of digital platforms and shows • Options and Other Derivatives Lausanne. Previously, Professor Morellec how the optimal provision of utility and Financial Institutions was a professor at the University of security features in tokens relates to • Banks Rochester and the University of Lausanne. financing needs, moral hazard, and platform Corporate Finance and Governance characteristics. His analysis specifies the • Bankruptcy and Liquidation Expertise conditions under which initial coin offerings • Capital Budgeting and Investment Policy Professor Morellec is working on corporate or security token offerings are optimal for • Corporate Governance and Managerial finance and banking with a particular focus platform financing. Professor Morellec Compensation on financing decisions, liquidity actively participates in SFI Knowledge • Financial Risk and Risk Management management, and credit risk. His recent Exchange activities that focus on risk and • Financial Valuation research investigates the effects of debt return in corporate debt. • Financing Policy and Capital Structure financing on innovation and demonstrates • Mergers and Acquisitions that while debt limits innovation by Expertise Fields Frontier Topics incumbents due to debt overhang, it also Financial Markets • Big Data and Fintech stimulates firm entry. The latter effect is • Financial Crises generally stronger, so that the overall effect • Systemic Risk and Regulation Language Skills of debt financing is to foster innovation and English, French
Prof. Cosimo-Andrea Munari SFI Faculty Member since 2017
PhD ETH Zurich—Mathematics
University of Zurich [email protected] +41 44 634 56 29
Cosimo-Andrea Munari is Assistant in a single reference eligible asset. As all Expertise Fields Professor of Finance and Insurance at the financial institutions know, investing in a Financial Institutions University of Zurich. In 2016 Professor single eligible asset, instead of in a portfolio • Insurance Companies Munari was awarded the Walter Saxer of multiple assets, is inefficient because it Corporate Finance and Governance Insurance Prize and in 2017 he received the leads to higher levels of required capital and • Financial Risk and Risk Management ACRI Research Prize. holding capital has a cost. He thus studies • Financial Valuation multiple eligible assets in conjunction with Expertise value at risk and expected shortfall—the Language Skills Professor Munari is studying how regulatory most prominent risk measures in practice— English, Italian measures, such as those set out by the and shows that capital requirements based Basel Committee or by FINMA, determine on multiple eligible assets are much less the minimum amount of capital financial affected by mis-specifications in the institutions would need to raise to pass a underlying balance sheet figures when an given capital adequacy test. His specific expected shortfall-based approach is adopted focus concerns the way this capital is instead of one based on value at risk. invested once it has been raised. The bulk of the literature on this topic assumes that this capital is either held in cash or invested
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Prof. Boris Nikolov SFI Junior Chair since 2019 SFI Faculty Member since 2014
PhD University of Lausanne—Finance
University of Lausanne [email protected] +41 21 692 61 26
Boris Nikolov is Professor of Finance at the commitment models, and private firms favor Expertise Fields University of Lausanne. He is a regular moral hazard models. Overall, financing Corporate Finance and Governance speaker at major conferences and his costs due to financial frictions are • Bankruptcy and Liquidation research has been published in leading substantial and are first order drivers of • Capital Budgeting and Investment Policy finance journals. corporate policies. • Corporate Governance and Managerial Compensation Expertise • Financial Risk and Risk Management Professor Nikolov is focusing on what • Financial Valuation financial frictions matter for corporate • Financing Policy and Capital Structure policies by drawing on recent advances in • Mergers and Acquisitions modelling, computing, and estimation techniques. The estimation procedure he Language Skills has developed allows the magnitude of Bulgarian, English, French various financial frictions to be gauged, in particular regarding limited enforcement, moral hazard, and trade-off models. Data reveal that large firms favor trade-off models, small firms favor limited
Prof. Eric Nowak SFI Faculty Member since 2006
PhD University of St. Gallen—Finance
Università della Svizzera italiana [email protected] +41 58 666 46 37
Eric Nowak is Professor of Finance and Head He finds that lax disclosure requirements, • Equities of the Institute of Finance at the Università low shareholder protection, and weak • Personal Finance and Household Choices della Svizzera italiana. Throughout his enforcement of securities laws in Germany Financial Institutions career, Professor Nowak has held visiting are the main factors that explain this short • Institutional Investors and Funds appointments at leading universities squeeze. To ensure that capital markets in • Venture Capital and Private Equity worldwide, including Stanford, the Europe function well and are efficient, he Corporate Finance and Governance University of Chicago, and NUS Singapore. recommends that the European Securities • Bankruptcy and Liquidation He is Founding Director of the pioneering and Markets Authority be responsible for • Corporate Governance and Managerial MSc in FinTech program at the Università. the implementation and enforcement of Compensation regulation to prevent short squeezes and • Financial Valuation Expertise other forms of price manipulation. • Mergers and Acquisitions Professor Nowak is reviewing market Frontier Topics efficiency and limits to arbitrage during the Expertise Fields • Big Data and Fintech Volkswagen short squeeze of 2008. Back Financial Markets • Sustainable Finance then, when Porsche announced its domination • Financial Crises plan, the price of Volkswagen shares • Information and Market Efficiency Language Skills skyrocketed and the firm briefly became the Portfolio Management and Asset Classes English, German, Italian most valuable company in the world. • Behavioral Finance
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Prof. Kjell G. Nyborg SFI Senior Chair since 2009 SFI Faculty Member since 2009
PhD Stanford University—Finance
University of Zurich [email protected] +41 44 634 29 80
Kjell Nyborg is Professor of Finance at the at the end of the period. He explains this Expertise Fields University of Zurich. Professor Nyborg has puzzle through constrained arbitrage from Financial Markets published extensively in his areas of three distinct rates: the unsecured rate, the • Central Banks and Monetary Policy expertise and has spent research periods at repo rate, and the expected rate of return of • Financial Crises the European Central Bank, the Deutsche the collateral between the moment of the Portfolio Management and Asset Classes Bundesbank, the Bank of Norway, and purchase and the repurchase. The collateral • Equities Stanford University. spread is found to be a simple market-based • Fixed Income measure of financial market stress that Financial Institutions Expertise central banks, investors, and other actors • Banks Professor Nyborg is looking at why the can easily monitor. Professor Nyborg Corporate Finance and Governance overnight collateral spread—the difference actively participates in SFI Knowledge • Capital Budgeting and Investment Policy between the unsecured rate and the repo Exchange activities that focus on the topic • Financial Valuation rate—is negative 25 percent of the time of central banks and financial markets and • Financing Policy and Capital Structure within the euro area. Repos are highly that of financial valuation. secured loans in which the lender buys the Language Skills collateral along with its property rights at English, Norwegian the beginning of the financing period and the borrower repurchases the collateral back
Prof. Steven Ongena SFI Senior Chair since 2013 SFI Faculty Member since 2013
PhD University of Oregon—Economics
University of Zurich [email protected] +41 44 634 39 54
Steven Ongena is Professor of Banking at ambition and willingness to fight climate Expertise Fields the University of Zurich. Professor Ongena's change. As firms in the energy industry Financial Markets papers have been published in leading traditionally run highly leveraged balance • Central Banks and Monetary Policy academic journals in finance and economics. sheets, banks should charge higher loan • Financial Crises He has received numerous awards for his spreads to compensate for this additional • Systemic Risk and Regulation research and serves as a research consultant climate policy. When using recent data, Financial Institutions for several European central banks. Professor Ongena finds that that fossil fuel • Banks firms that are more exposed to climate Corporate Finance and Governance Expertise policy risk are not charged higher loan • Bankruptcy and Liquidation Professor Ongena is raising the question of spreads than otherwise similar non-fossil • Corporate Governance and Managerial knowing whether banks price the risk of fuel firms or comparable fossil fuel firms. Compensation stranded fuel reserves. To remain below the This mispricing of climate policy risk leads Frontier Topics global threshold of 2°C of additional to two possibilities: banks disregard the • Sustainable Finance temperature rise, vast amounts of fossil actual likelihood that environmental fuels will need to remain underground and policies will lead to assets being stranded Language Skills be considered as stranded assets. The or a carbon bubble due to inexact pricing of Dutch, English, German decision to strand assets is a political one climate policy risk by banks has formed. that depends on each country's political Both are a concern.
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Prof. Per Östberg SFI Faculty Member since 2010
PhD Stockholm School of Economics—Finance
University of Zurich [email protected] +41 44 634 29 56
Per Östberg is Associate Professor of transaction costs. Low transaction cost Expertise Fields Finance at the University of Zurich. turmoil episodes were associated with Financial Markets Professor Östberg is a regular speaker at volume increases, during which investors • Financial Crises finance conferences and seminars worldwide rebalance their portfolios, while high Portfolio Management and Asset Classes and has served on the program committees transaction cost turmoil periods were • Equities of several conferences. His research associated with abnormally low volume, • Fixed Income interests include financial markets, during which the market freezes. His results Corporate Finance and Governance household finance, and corporate finance. show that investors tended to rebalance • Mergers and Acquisitions their portfolios during the pre-crisis period. Frontier Topics Expertise During the crisis, meanwhile, reductions • Big Data and Fintech Professor Östberg is focusing on the latest in the risk-bearing capacity of financial European sovereign debt crisis. Using intermediaries resulted in increased Language Skills high-frequency data, he shows that transaction costs and market freezes. English episodes of market turmoil in the European Overall, he shows that the sovereign debt sovereign bond market were usually crisis was not associated with large-scale associated with large decreases in trading investor rebalancing. volume. The response, in trading volume, to market stress is essentially related to
Prof. Marc Paolella SFI Faculty Member since 2006
Doctorate Kiel University—Econometrics
University of Zurich [email protected] +41 44 634 45 84
Marc Paolella is Professor of Empirical requirements during market downturns. Expertise Fields Finance at the University of Zurich. Data covering daily returns of the Portfolio Management and Asset Classes Professor Paolella is the author of several components of the Dow Jones Industrial • Portfolio Management books on graduate-level probability, Index also show that in terms of portfolio statistics, and time series analysis. performance the selected model delivers Language Skills His research papers have been published consistently higher Sharpe ratios and English, German in the top academic journals in his areas smaller losses than the equally weighted of expertise. portfolio and all competing models. Overall, investors could benefit from these findings Expertise by improving risk-adjusted returns and Professor Paolella is studying different avoiding most losses during financial crises. modelling techniques to better forecast financial assets' returns and select an optimal portfolio. Within a dynamic setting, he tests a broad set of assumptions and parameters. The most effective model not only leads to highly accurate risk forecasts, but also reduces regulatory capital
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Prof. Alberto Plazzi SFI Faculty Member since 2010
PhD University of California, Los Angeles—Finance
Università della Svizzera italiana [email protected] +41 58 666 46 77
Alberto Plazzi is Associate Professor of negative—on average, the largest financial Expertise Fields Finance at the Università della Svizzera firms offer returns that are 3 percent lower Financial Markets italiana. Professor Plazzi is a regular than the largest nonfinancial firms bearing • Financial Crises speaker at finance conferences worldwide the same risk. Further results show that • Financial Forecasting and his papers have been published in stock markets price in guarantees that are • Information and Market Efficiency top academic journals. activated during periods of turmoil and • International Financial Markets and therefore allow large financial firms to fare Emerging Markets Expertise much better during economic crises. Portfolio Management and Asset Classes Professor Plazzi is studying the cost of Regulators can also learn from these • Asset Pricing equity for large financial institutions from findings when pondering the costs and • Equities an international perspective. This topic is of benefits of bailouts and the levels of banks' • Fixed Income paramount importance for investors as, on capital requirements. • Portfolio Management average, the top 10 percent of financial • Real Estate stocks account for more than 20 percent of market capitalization. Data show that equity Language Skills is a cheap source of capital for the largest English, Italian financial institutions within each country and that the risk-adjusted return is typically
Prof. Kerstin Preuschoff SFI Faculty Member since 2018
PhD California Institute of Technology – Neuroeconomics
University of Geneva [email protected] +41 22 379 81 41
Kerstin Preuschoff is Associate Professor in hand, value-based decision-making involves Expertise Fields Neurofinance and Neuroeconomics at the a time-consuming process that requires the Portfolio Management and Asset Classes University of Geneva. Prior to joining the conscious consideration of multiple • Behavioral Finance University, Professor Preuschoff was a decision variables. On the other hand, Frontier Topics researcher and lecturer at the Institute for perception is automatic and effortless. Due • Neurofinance Empirical Research in Economics at the to possible uncertainty, however, both University of Zurich and at the Brain Mind processes may require input from the Language Skills Institute at the Ecole Polytechnique general neural system. Using experimental English, German Fédérale de Lausanne. data, Professor Preuschoff shows that uncertainty, whether occurring within a Expertise value-based decision-making environment Professor Preuschoff is focusing on how the or a perception environment, employs a human brain employs inferential neural common brain region—the anterior insula. processes to overcome the problem of These results provide empirical evidence uncertainty. Inference is considered a that the brain interacts with its environment fundamental process that occurs in highly through inferential processes. diverse situations such as value-based decision-making or perception. On the one
61 : SFI Expertise Guide
Prof. Jean-Charles Rochet SFI Head of Research SFI Senior Chair since 2010 SFI Faculty Member since 2010
PhD Université Paris-Dauphine—Mathematical Economics
University of Geneva [email protected] +41 22 379 85 28
Jean-Charles Rochet is Professor of Banking toolbox. Quantitative easing and interest Expertise Fields at the University of Geneva. Before joining payments on reserves are likely to become Financial Markets the faculty in Geneva, Professor Rochet held permanent tools of central banks, rather • Central Banks and Monetary Policy a chair at the Toulouse School of Economics than emergency instruments to be used • Financial Crises and at the University of Zurich. solely during times of crisis. • Systemic Risk and Regulation Financial Institutions Expertise • Banks Professor Rochet is researching the Frontier Topics interactions between monetary and • Sustainable Finance prudential policies of central banks. This topic has become of key importance since Language Skills the global financial crisis, because many English, French, Spanish central banks are in charge not only of choosing appropriate monetary policy but also of the prudential supervision of banks. He shows that monetary and prudential policies can only become independent instruments if central banks enrich their
Prof. Michael Rockinger SFI Faculty Member since 2006
PhD Harvard University—Economics
University of Lausanne [email protected] +41 21 692 33 48
Michael Rockinger is Professor of Finance at portfolio changes over time, the portfolio Expertise Fields the University of Lausanne. Professor needs to be rebalanced on a regular basis Financial Markets Rockinger is an active member of the Center for it to maintain its initial strategic • Systemic Risk and Regulation for Risk Management, Lausanne—a group allocation determined by the investor's risk Portfolio Management and Asset Classes that focuses on diffusing independent and tolerance. By using nearly 20 years of data • Asset Pricing transparent decision-making tools for covering risk-free assets, bonds, and several • Equities banks, insurance companies, and industrial equity indices, Professor Rockinger • Fixed Income firms. He is also a research fellow of the demonstrates that when transaction costs • Foreign Exchange Society for Financial Econometrics and is a are lower than 0.5 percent, investors who • Options and Other Derivatives regular speaker at leading conferences in reallocate their portfolios on a monthly • Portfolio Management his areas of expertise. basis outperform those who use a simple • Real Estate buy-and-hold strategy. This result is of Financial Institutions Expertise particular interest to pension funds in • Pension Funds Professor Rockinger is studying the today's very low interest rate environment. Frontier Topics conditions under which, when transaction • Big Data and Fintech costs are present, a rebalancing strategy dominates a buy-and-hold strategy. As the Language Skills value of risky assets in an investment English, French, German, Italian
62 SFI Expertise Guide :
Prof. Olivier Scaillet SFI Senior Chair since 2010 SFI Faculty Member since 2006
PhD Université Paris-Dauphine—Applied Mathematics
University of Geneva [email protected] +41 22 379 88 16
Olivier Scaillet is Professor of Probability return-generating alpha. Professor Scaillet Expertise Fields and Statistics at the University of Geneva. provides several relevant learnings based on Financial Markets Professor Scaillet is a regular speaker at recent data. First, although previous FDR • Financial Forecasting leading conferences on finance. His papers techniques may have been slightly too • International Financial Markets and have been published in the top academic optimistic they are nonetheless found to be Emerging Markets journals in finance and econometrics. unbiased. Second, the updated FDR approach • Systemic Risk and Regulation he develops is even more precise, as it Portfolio Management and Asset Classes Expertise reduces the probability of misclassifying a • Asset Pricing Professor Scaillet is revisiting previous fund by a further 25 percent. Overall, the • Behavioral Finance findings in the field of financial performance FDR approach provides a simple and efficient • Options and Other Derivatives for mutual funds, using the approach called way to capture the main features of alpha • Portfolio Management the false discovery rate (FDR). The FDR distribution within mutual funds. Professor Corporate Finance and Governance approach helps quantify the proportion of Scaillet actively participates in SFI • Financial Risk and Risk Management zero and non-zero alpha funds in the market, Knowledge Exchange activities that focus Frontier Topics and to form portfolios of funds that generate on the topic of cybercrime and cybersecurity. • Big Data and Fintech positive alphas. The FDR approach is frequently used by the industry as it provides Language Skills a fast and simple way to empirically detect English, French
Prof. Paul Schneider SFI Senior Chair since 2019 SFI Faculty Member since 2014
PhD Vienna University of Economics and Business—Finance
Università della Svizzera italiana [email protected] +41 58 666 45 16
Paul Schneider is Professor of Quantitative economic markets in a small number of Expertise Fields Methods at the Università della Svizzera scenarios with the least possible information Financial Markets italiana. Professor Schneider is a regular loss. Results suggest that simplicity in • Financial Crises speaker at leading academic conferences on modelling is beneficial for investors. • Financial Forecasting finance and his papers have been published Portfolio Management and Asset Classes in top finance journals. • Asset Pricing • Behavioral Finance Expertise • Equities Professor Schneider is investigating how • Fixed Income uncertainty about models affects trading • Foreign Exchange strategies. He finds that model uncertainty • Options and Other Derivatives is hard to distinguish from conventional • Portfolio Management risk. He also finds that optimal positions Frontier Topics under model uncertainty become small • Operations Research and Decision Theory when global economic uncertainty is high. This trading behavior is also reflected in Language Skills realized option trading volume. In related English, German work, he is studying how to capture complex
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Prof. Norman Schürhoff SFI Senior Chair since 2010 SFI Faculty Member since 2006
PhD Carnegie Mellon University—Financial Economics
University of Lausanne [email protected] +41 21 692 34 47
Norman Schürhoff is Professor of Finance at about 2'000 peripheral dealers. Central Expertise Fields the University of Lausanne. Professor dealers use their superior ability in locating Financial Markets Schürhoff's work has been published in the counterparties to provide faster execution, • Information and Market Efficiency top academic journals in finance and he has as they can match buyers with sellers more Portfolio Management and Asset Classes won several prestigious publication awards. directly, which shortens intermediation • Asset Pricing He is a multiple-time winner of the CFA chains. Such a service is accompanied by • Fixed Income Institute Research Challenge in Switzerland higher trading fees. This centrality premium • Options and Other Derivatives and was World Champion for 2018. can reach up to 0.7 percent of transaction Financial Institutions value. Investors need to take into account • Rating Agencies Expertise the trade-off they face between execution Corporate Finance and Governance Professor Schürhoff is studying the way cost and speed when choosing with which • Capital Budgeting and Investment Policy dealers in decentralized markets, such as dealer they trade. Professor Schürhoff • Financial Valuation over-the-counter markets, form trading actively participates in SFI Knowledge • Financing Policy and Capital Structure networks and provide both liquidity and Exchange activities that focus on machine price discovery. The trading network within learning and artificial intelligence. Language Skills the US municipal bond market is found to English have a core–periphery structure, with 10 to 30 highly interconnected core dealers and
Prof. Martin Schweizer SFI Faculty Member since 2007
PhD ETH Zurich—Mathematics
ETH Zurich [email protected] +41 44 632 33 51
Martin Schweizer is Professor of Mathematics therefore needs to trade the derivatives of a Expertise Fields at ETH Zurich. Professor Schweizer has near-product, such as crude oil futures and Financial Markets published extensively in the top academic options, to hedge price risk. With respect • Information and Market Efficiency journals in his areas of expertise. to arbitrage, his results show that whether Portfolio Management and Asset Classes He is a regular speaker at leading or not arbitrage exists depends heavily • Asset Pricing conferences worldwide. on the precise conditions one imposes on • Foreign Exchange the strategies allowed for trading. Given • Options and Other Derivatives Expertise that absence of arbitrage is one of the • Portfolio Management Professor Schweizer is focusing on pillars of all trading and hedging decisions, Corporate Finance and Governance mathematical models that center the moral here is that one should critically • Capital Budgeting and Investment Policy on optimal portfolio creation and portfolio examine the models used in practice if one • Financial Risk and Risk Management mean-variance hedging techniques, as well wishes to avoid running into trouble. • Financial Valuation as financial arbitrage. With respect to Frontier Topics portfolios, his results can, for instance, • Operations Research and Decision Theory be applied to situations in which one holds a long or short position on an asset for Language Skills which no liquid market exists, such English, French, German as certain petrochemical products, and
64 SFI Expertise Guide :
Prof. Didier Sornette SFI Faculty Member since 2007
PhD Université Nice Sophia Antipolis—Physical Sciences
ETH Zurich [email protected] +41 44 632 89 17
Didier Sornette holds the Chair of feedback. The results obtained help us • Foreign Exchange Entrepreneurial Risks at ETH Zurich. better understand the overall stability and • Options and Other Derivatives Professor Sornette is the founding director instability of financial markets. • Portfolio Management of the Financial Crisis Observatory, a scientific • Real Estate platform aimed at studying financial market Expertise Fields Corporate Finance and Governance inefficiencies, which among other activities Financial Markets • Financial Risk and Risk Management regularly publishes a "cockpit" reporting on • Central Banks and Monetary Policy • Financial Valuation positive and negative bubbles in all major • Financial Crises Frontier Topics assets and markets around the world. • Financial Forecasting • Big Data and Fintech • Information and Market Efficiency • Operations Research and Decision Theory Expertise • International Financial Markets and • Sustainable Finance Professor Sornette is using data-driven Emerging Markets mathematical statistical analysis to study • Systemic Risk and Regulation Language Skills the predictability and control of crises and Portfolio Management and Asset Classes English, French extreme events in complex systems. His key • Asset Pricing contribution is to use nonlinear • Behavioral Finance multi-variable dynamical settings that • Commodities include both positive and negative • Equities
Prof. Pascal St-Amour SFI Faculty Member since 2006
PhD Queen's University—Economics
University of Lausanne [email protected] +41 21 692 34 77
Pascal St-Amour is Professor of Economics capital, he demonstrates that the value of Expertise Fields at the University of Lausanne. Professor human life is related to societal debates on Portfolio Management and Asset Classes St-Amour's papers have been published in public safety and health spending issues, • Personal Finance and Household Choices the leading academic journals in economics. and that life values are also used by courts • Portfolio Management in wrongful death litigation to determine Expertise tangible, such as income loss, and intangible, Language Skills Professor St-Amour is specializing in such as hedonic, damages. Finally, with English, French households' health, financial, and labor respect to labor market issues, he analyzes market choices, as well as studying optimal how skill capital depreciation leads to human capital dynamics throughout the life unemployment and how optimal investments cycle. With respect to health capital in skills can reduce exposure to occurrences dynamics, he specifically focuses on optimal of unemployment and their duration. financial choices and health spending in the face of the growing exposure to death and sickness risks associated with aging, as well as on optimal depletion paths for wealth and health toward the end of life. With respect to economic valuation of health
65 : SFI Expertise Guide
Prof. Josef Teichmann SFI Faculty Member since 2009
PhD University of Vienna—Mathematics
ETH Zurich [email protected] +41 44 632 31 74
Josef Teichmann is Professor of Overall, he aims to demonstrate that Expertise Fields Mathematics at ETH Zurich. Professor theoretical foundations from mathematical Financial Markets Teichmann is a regular speaker at finance, approximation theory, and • Financial Forecasting international conferences on finance and stochastic analysis offer successful • Information and Market Efficiency mathematics. He has published extensively implementations for concrete applications Portfolio Management and Asset Classes in his areas of research expertise. within the financial industry. • Commodities • Fixed Income Expertise • Foreign Exchange Professor Teichmann is currently developing • Options and Other Derivatives machine learning tools for the financial • Portfolio Management industry. In one project, conducted jointly Corporate Finance and Governance with investment bankers, generic hedging • Financial Risk and Risk Management tasks are solved by relying on deep Frontier Topics learning techniques in a realistic market • Big Data and Fintech environment—that is, in the presence of • Operations Research and Decision Theory market frictions and trading constraints. Other projects include deep calibration, Language Skills deep simulation, and deep prediction. English, French, German
Prof. Fabio Trojani SFI Senior Chair since 2014 SFI Faculty Member since 2009
PhD University of Zurich—Economics and Finance
University of Geneva [email protected] +41 22 379 80 08
Fabio Trojani is Professor of Statistics and can be traded, the premium simply Expertise Fields Finance at the University of Geneva. vanishes. The jump skew premium in index Financial Markets Previously, Professor Trojani taught at the options is therefore not compensation for • Financial Forecasting University of St. Gallen and the Università the risk of occasional large returns, but Portfolio Management and Asset Classes della Svizzera italiana. He is a regular rather for investors' inability to adjust their • Asset Pricing speaker at leading academic conferences on risk exposure actively. Traders could • Equities finance and econometrics. therefore benefit financially by accounting • Fixed Income for market opening hours and investors' (in) • Foreign Exchange Expertise ability to hedge risks in their index returns • Options and Other Derivatives Professor Trojani is focusing on the nature and options strategies. • Portfolio Management of jump risk for trading strategies that bet Corporate Finance and Governance on the high-frequency jump skew of the S&P • Financial Risk and Risk Management 500 index. By comparing average profits Frontier Topics over time, he finds that large and positive • Big Data and Fintech jump risk premiums are highly concentrated during periods in which the option market is Language Skills closed and investors are unable to trade. English, Italian When the market is open and jump skew
66 SFI Expertise Guide :
Prof. Alexander F. Wagner SFI Senior Chair since 2019 SFI Faculty Member since 2006
PhD Harvard University—Political Economy
University of Zurich [email protected] +41 44 634 39 63
Alexander Wagner is Associate Professor of market behavior. Both analysts and the Expertise Fields Finance at the University of Zurich. market, however, initially underreact to Financial Markets Professor Wagner's research has been managerial tone. His research also reveals • Information and Market Efficiency published in leading academic journals and that changes that introduce a bleaker Portfolio Management and Asset Classes professional reviews. His talk on "What tone are more informative than those that • Behavioral Finance really motivates people to be honest in introduce a brighter tone, and that • Equities business" was featured on TED.com. managers must prepare their communication Financial Institutions studiously. Finally, he forecasts that the role • Banks Expertise of machine learning and artificial intelligence • Institutional Investors and Funds Professor Wagner is researching managerial in the field of managerial communication is Corporate Finance and Governance communication and investor behavior. likely to boom within the next few years. • Corporate Governance and Managerial Using transcripts of conference calls, he Professor Wagner actively participates Compensation finds that analysts and investors are in SFI Knowledge Exchange activities that • Mergers and Acquisitions sensitive to changes in managers' use of focus on corporate governance and Frontier Topics linguistic tone. More extensive negative value-based management. • Sustainable Finance tone usage leads analysts to lower their earnings expectations, and such adjustments Language Skills are confirmed by lower future earnings and English, German
Prof. Joël Wagner SFI Faculty Member since 2017
PhD Ecole Polytechnique Fédérale de Lausanne—Mathematics
University of Lausanne [email protected] +41 21 692 33 58
Joël Wagner is Professor of Actuarial small market for LTC insurance. He further Expertise Fields Science at the University of Lausanne and details that in many countries private LTC Financial Markets Chairman of the Board of Directors at insurance does not entirely protect • Financial Crises Retraites Populaires, and was previously individuals against large medical costs, but • Systemic Risk and Regulation Member of the Federal Occupational that it improves the general well-being of Portfolio Management and Asset Classes Pension Supervisory Commission. insured individuals, motivates savings, and • Portfolio Management reduces intergenerational wealth transfers. Financial Institutions Expertise Finally, he conjectures that combined • Insurance Companies Professor Wagner is studying the financial products that bundle life and health risks • Pension Funds risk of facing the costs associated with and public–private partnerships that Corporate Finance and Governance long-term care (LTC) from different angles. integrate LTC into health and pension • Capital Budgeting and Investment Policy Regarding the generally limited systems could help overcome current • Financial Risk and Risk Management development of LTC insurance markets, he systemic limitations. • Financing Policy and Capital Structure explains that LTC risk misperceptions are Frontier Topics surprisingly widespread at the individual • Big Data and Fintech level and that the role of family altruism is heterogeneous, suggesting that other Language Skills factors need to be unearthed to explain the English, French, German
67 : SFI Expertise Guide
Prof. Johan Walden SFI Senior Chair since 2019 SFI Faculty Member since 2019
PhD Yale University—Financial Economics PhD Uppsala University—Applied Mathematics
University of Lausanne [email protected] +41 21 692 61 25
Johan Walden is Professor of Finance at the understanding the transmission process, Expertise Fields University of Lausanne. Previously, both in-person and electronic, through Financial Markets Professor Walden taught at the University of which investors discuss their strategies and • Information and Market Efficiency California, Berkeley, and worked as a convert others to their strategies. His results Portfolio Management and Asset Classes management consultant at McKinsey & show that, in contrast with nonsocial • Asset Pricing Company. His work has been published in approaches, sociability and self-enhancing • Equities top academic journals in finance and transmissions determine the popularity and economics. His research interests lie in pricing of active investment strategies. In a Language Skills finance, insurance, and real estate, with a nutshell, he finds that systematic biases in English focus on asset pricing, networks in capital the transmission process promote active markets, and heavy-tailed risks. investing over passive investing. Professor Walden actively participates in SFI Knowledge Expertise Exchange activities that focus on risk and Professor Walden has been developing a quality in residential mortgage markets. novel model, based on social outcomes, to better understand the factors at play in investment decision-making and asset prices. The key contribution here lies in
68 SFI Expertise Guide : Faculty Departures in 2019 Prof. Artem Neklyudov SFI Faculty Member from 2013 to 2019
Assistant Professor of Finance at the University of Lausanne from 2013 to 2019
PhD Carnegie Mellon University—Financial Economics
Prof. Diane Pierret SFI Faculty Member from 2017 to 2019
Assistant Professor of Finance at the University of Lausanne from 2014 to 2019
PhD, Université catholique de Louvain—Statistics
Prof. Roberto Steri SFI Faculty Member from 2017 to 2019
Assistant Professor of Finance at the University of Lausanne from 2014 to 2019
PhD Bocconi University—Finance
69 : SFI Expertise Guide
Adjunct Professors
Prof. Prof. Prof. Teodoro D. Cocca Rudolf Gruenig Erwin W. Heri SFI Adjunct Professor SFI Adjunct Professor SFI Adjunct Professor (since 2010) (since 2010) (since 2010)
Teodoro D. Cocca is full Professor for Wealth Rudolf Grünig is Professor for Business Erwin W. Heri is Professor of Financial Theory and Asset Management at the Johannes Administration at the University of Fribourg at the University of Basel and has been an Kepler University of Linz in Austria and has and lectures in Strategic Management in SFI Adjunct Professor since 2010. He has been an SFI Adjunct Professor since 2010. various executive programs. He has been an held various posts as an executive board Previously he worked for Citibank in SFI Adjunct Professor since 2010. member including as Chief Financial Officer investment and private banking and was a at Winterthur Insurance Group and CFO and research fellow at the Stern School of In addition to his academic career, Professor Chief Investment Officer at Credit Suisse Business in New York and a senior researcher Grünig is a board member and strategy Financial Services. He was also chairman of at the Swiss Banking Institute in Zurich. consultant in several Swiss companies. He the board of a Swiss private banking group has written numerous books and articles on listed on the Swiss stock exchange. For many Professor Cocca frequently addresses strategic management, planning, and years he was also the chairman of the academics and investment professionals decision-making (Rudolf Grünig and Richard Investment Committee of Publica, the and is a consultant to a number of financial Kühn, Solving Complex Decision Problems, pension fund of State Government employees institutions on issues relating to strategic 4th edition, Berlin Heidelberg, 2017; Rudolf in Switzerland. Professor Heri also holds bank management. He has published Grünig and Richard Kühn, The Strategy mandates on several advisory boards and numerous articles in academic journals and Planning Process, 2nd edition, Berlin boards of directors and is the author of is a member of the board of directors at VP Heidelberg, 2018; and Rudolf Grünig and Dirk numerous books and articles on financial Bank AG (Liechtenstein). Morschett, Developing International Strategies, and investment matters. He recently 2nd edition, Berlin Heidelberg, 2017.) launched an Internet-based financial literacy.
Prof. Prof. Prof. Roger M. Kunz François-Serge Alfred Mettler SFI Adjunct Professor Lhabitant SFI Adjunct Professor (since 2010) SFI Adjunct Professor (since 2010) (since 2010)
Roger M. Kunz is Professor at the University François-Serge Lhabitant is a professor of Alfred Mettler is Professor of Finance at the of Basel and Adjunct Professor of the Swiss Finance at the EDHEC Business School University of Miami (USA) and has been a Finance Institute. He is an independent (France) and Visiting Professor of Finance at Swiss Finance Institute Adjunct Professor consultant in the areas of asset management, the Hong Kong University of Science and since 2010. He was a faculty member of the investment strategy and finance. Technology (Hong Kong). He is a Swiss Swiss Banking Institute at the University Finance Institute Adjunct Professor since of Zurich before moving to the US in 1998. He holds a PhD from the University of Basel 2010. Professor Lhabitant received a PhD in His principal academic interests are in and was a visiting researcher at Georgetown finance from University of Lausanne, as well International Banking and Finance, Risk University in Washington DC. He worked as a computer engineering degree from one Management of Financial Institutions, Fintech, several years for Credit Suisse, in roles of the two Swiss Federal Institutes of and Financial Education. He plays leading including Head of Financial Market Technology. He also holds an LLM in Tax roles in various executive education programs Research, Head of Investment Strategy and Law from the University of Geneva. in Europe and the US and has consulted member of the Investment Committee. Later Professor Lhabitant is the Chief Executive for various companies and organizations. he was responsible for investment research Officer and the Chief Investment Officer of Professor Mettler often comments on at the Pension Fund SBB (Swiss Federal Kedge Capital, where he manages more financial, economic, political, and societal Railways). He has published numerous than $ 5 billion of capital. He was previously developments in the US, Switzerland, and articles and given speeches in the fields of a senior management member at Union Europe. He regularly gives public speeches corporate finance, financial markets, Bancaire Privée (Geneva) and a Director at and presentations and is a frequent media investments and taxes. UBS Global Asset Management. (print, radio, and TV) contributor.
70 SFI Expertise Guide :
Prof. Prof. Prof. Conrad Meyer Donato Scognamiglio Paolo Vanini SFI Adjunct Professor SFI Adjunct Professor, SFI Adjunct Professor (since 2010) IAZI AG – CIFI SA Informations- und Ausbildungszentrum für Immobilien
Conrad Meyer is Professor in Business Donato Scognamiglio is Honorary Professor Paolo Vanini is Swiss Finance Institute Administration at the universities of Zurich for Real Estate at the University of Bern, Adjunct Professor and Adjunct Professor of and Lucerne and has been an SFI Adjunct from which he received his PhD, at the Banking at the University of Basel. He is Professor since 2010. His specialized areas William E. Simon Graduate School in Head of Big Data Finance Technologies at in research and teaching are management Rochester (NY), and at ETH Zurich. He is swissQuant Group AG. Professor Vanini's accounting and selected problems of SFI Adjunct Professor since 2010. Professor research focus is on investment, risk banking business management, including Scognamiglio is CEO and co-owner of the management, and banking topics. He has management accounting, controlling, and company Informations- und Ausbildungs- conducted extensive research into asset and liability management. zentrum für Immobilien AG (IAZI AG), Zurich. operational risk and credit risk and is the He has been elected by the Swiss Federal author of numerous articles published in Professor Meyer serves on the boards of Council to the board of the Pfandbriefbank international finance and financial directors of several private companies. schweizerischer Hypothekarinstitute AG. economics journals. He holds a PhD in He is a member of national and international He coauthored "Land Leverage and House" Mathematics from ETH. scientific societies, and the author of and he pubished various articles in important numerous publications and contributions national newspapers. Professor Scognamiglio to specialist journals. is currently undertaking ongoing research into hedonic valuation models and real estate indices, together with other, national and international, academics.
Prof. Urs Wälchli SFI Adjunct Professor (since 2016)
Urs Wälchli was an Assistant Professor of Finance at the University of Bern from 2008 until 2014. Since then, he has been the Associate Academic Director of Rochester–Bern Executive Programs and a visiting professor of Finance at the University of Rochester (NY) and Purdue University (IN). He earned his PhD at the University of Bern and is an expert on corporate lifecycles, corporate governance, mergers and acquisitions, valuation, and empirical corporate finance. He provides advisory services on issues such as succession transactions in SMEs and direct investments in entrepreneurial firms.
71 : Governing and Advisory Bodies
Governing and Advisory Bodies
The main governing body of the Swiss Finance Swiss Finance Institute Foundation Board— Institute is the Foundation Board. It includes December 2019 representatives of the Institute's founding members Chairperson and of its academic regional centers. The Foundation Dr. Romeo Cerutti,1 Member of the Executive Board of Board has five committees: the Executive Committee, Credit Suisse Group. the Audit and Risk Committee, the Faculty Appointment Committee, the Fund Management Committee, and Vice-chairperson the Knowledge Exchange Committee. The aim of Prof. Dr. Axel P. Lehmann,1, 5 President, Personal & these committees is to discuss financial and faculty Corporate Banking and President, UBS Switzerland. matters in detail before each meeting of the Foundation Board in order to make recommendations Dr. Romeo Lacher,1, 5 Chairman of Julius Baer Group Ltd., to the members of the Board. All Foundation Board Bank Julius Baer & Co. Ltd., and SIX Group AG—as members have a secondary role on at least one of representative of the Association of Swiss Asset and these five committees. Wealth Management Banks.
The Foundation Board is advised by the Scientific Members Council on matters of scientific content and by Prof. Dr. Boas Erez,3 Rector, Università della Svizzera the Sounding Board on matters of knowledge exchange italiana—as representative of the Swiss Finance with the industry. Institute Lugano Center.
Foundation Board Christophe Hentsch,4, 5 Managing Partner at Lombard Foundation Board members represent the finance and Odier—as representative of the Association of Swiss banking community in Switzerland, both locally Private Banks. and internationally. SFI gratefully acknowledges the participation of Gabriele Burn, representative of Prof. Dr. Nouria Hernandez,3 Rector, the University of Raiffeisen Group, Lukas Gähwiler, representative of UBS Lausanne—as representative of the Swiss Finance Switzerland, Claude-Alain Margelisch, representative of Institute Léman Center. the Swiss Bankers Association, and Gian A. Rossi, representative of the Association of Swiss Asset and Dr. Stephanino Isele,2 Head of Institutionals & Wealth Management Banks. All completed their tenure Multinationals and Member of the Executive Board, on the Foundation Board during 2019. Zürcher Kantonalbank.
72 Governing and Advisory Bodies :
Pascal Kiener,4 CEO, Banque Cantonale Vaudoise. Scientific Council The Scientific Council is an independent committee of Jörg Gasser,3, 5 CEO, Swiss Bankers Association. internationally renowned professors of Banking and Finance from around the world. It advises the Foundation Adrian V. Nösberger,2 CEO, Schroder & Co. Bank AG— Board on all matters where scientific criteria should as representative of the Association of Foreign Banks predominate and as such plays a crucial role in the in Switzerland. Swiss Finance Institute's pursuit of its objectives. Indeed, by way of full respect for academic freedom and Prof. Dr. Christian Schwarzenegger,3, 5 Vice President scientific integrity, the Swiss Finance Institute Foundation Faculty Affairs and Scientific Information, University of Board refuses to take decisions involving research or Zurich—as representative of the Swiss Finance Institute researchers unless armed with the appropriate Zurich Center. recommendation from the Scientific Council. As of December 31, 2019 SFI is very fortunate to be able to Luca Soncini,2 Member of the Board of Directors, Banca count on the enthusiastic support of the following dello Stato del Cantone Ticino—as representative of the internationally renowned experts, who sit on the Council: Ticino Bankers Association (ABT). Chairperson 1 Member of the Executive Committee. Prof. Dr. Marco Pagano, Department of Economics and 2 Member of the Audit and Risk Committee. Statistics, University of Naples Federico II 3 Member of the Faculty Appointment Committee. 4 Member of the Fund Management Committee. 5 Member of the Knowledge Exchange Committee. Members Prof. Dr. Franklin Allen, Brevan Howard Centre, Imperial College London.
Prof. Dr. Markus Brunnermeier, Department of Economics, Princeton University.
Prof. Dr. Darrell Duffie, Graduate School of Business, Stanford University.
Prof. Dr. Andrew Lo, Sloan School of Management, Massachusetts Institute of Technology.
Prof. Dr. Maureen O'Hara, Johnson Graduate School of Management, Cornell University.
SFI gratefully acknowledges the participation of Prof. René Stulz, Fisher College of Business, Ohio State University; Prof. Tim Bollerslev, Department of Economics, Duke University; and Prof. Patrick Bolton, Columbia Business School, Columbia University. All completed their tenure on the Scientific Council during 2019. SFI especially acknowledges Prof. Stulz's leading role during the Institute's buildup phase and thanks him for his contribution to the Scientific Council since its creation in 2006.
73 : Governing and Advisory Bodies
Education and Knowledge Center Advisory Sounding Board Board The SFI Sounding Board is an independent committee Following SFI's strategic reorientation, the Education of line, HR, and L&D experts from the financial industry. and Knowledge Center Advisory Board was dissolved in It advises SFI on topics, content, and practitioners for 2019. SFI gratefully acknowledges the participation of knowledge exchange activities. The members of the SFI Dr. Philipp Halbherr; Hans Baumgartner, Credit Suisse Sounding Board as of December 2019 are: (Schweiz) AG; Christian Donzé, Banque Cantonale Vaudoise; Christophe Lapaire, SFI Alumni Association Franziska Amstutz, Valiant Bank. Chairperson and SIX Securities Services AG; Dr. Markus Tanner, UBS Switzerland; and Dr. Thomas Ulrich, UBS AG. Regula Berger, Basler Kantonalbank.
Boris Billing, Zürcher Kantonalbank.
Thomas Burri, Credit Suisse.
Dr. Martin Hess, Swiss Banking Association.
Beatrice Jufer Steffen, Credit Suisse.
Andreas Koester, UBS.
Thierry Lacraz, Banque Pictet.
Dr. David Schlumpf, Julius Baer.
Pietro Soldini, Banca dello Stato del Cantone Ticino.
Dr. Markus Tanner, UBS.
74 Governing and Advisory Bodies :
Members of the SFI Foundation Board during a meeting.
75 : Facts and Figures
Summary of Swiss Finance Institute Financial Accounts 2019
Balance Sheet as of 31 December 2019 2018 CHF CHF Assets Current Assets Cash and cash equivalents 4'332'434 6'694'745 Trade receivables 39'944 38'231 Other current receivables 488'736 407'450 Accrued income and prepaid expenses 296'909 240'529 Total Current Assets 5'158'023 7'380'955
Capital Assets Financial assets 28'712'388 27'006'497 Tangible fixed assets 122'951 138'028 Total Capital Assets 28'835'338 27'144'525
Total Assets 33'993'361 34'525'480
Liabilities and Founders' Equity Short-Term Liabilities Trade creditors 192'156 633'424 Other current liabilities 156'674 213'875 Deferred income and accrued expenses 1'147'558 1'149'476 Total Short-Term Liabilities 1'496'387 1'996'775
Long-Term Liabilities Other long-term liabilities 4'000'000 4'000'000 Total Long-Term Liabilities 4'000'000 4'000'000 Total Liabilities 5'496'387 5'996'775
Founders' Equity Foundation capital 19'000'000 19'000'000 Statutory capital reserves 37'564'785 37'564'785 Statutory retained earnings –28'036'081 –22'426'907 Result of the period –31'730 –5'609'174 Total Founders' Equity 28'496'974 28'528'704
Total Liabilities and Founders' Equity 33'993'361 34'525'480
76 Facts and Figures :
Profit and Loss Account for the Period Ending 31 December 2019 2018 CHF CHF
Income from Partner University Faculty 178'076 164'421 Income from PhD Program 15'174 20'908 Income from Knowledge Exchange & Education 1'331'044 1'970'301 Income from Communication & Projects 61'490 41'507 Income from Activity Areas 1'585'783 2'197'137
Expenses from Partner University Faculty –2'277'801 –3'856'605 Expenses from PhD Program –561'686 –596'847 Expenses from Knowledge Exchange & Education –1'715'701 –1'039'810 Expenses from Communication & Projects –354'841 –342'971 Total Expenses from Activity Areas –4'910'029 –5'836'234
Net Result before General Expenses –3'324'245 –3'639'096
Personnel expenses –2'932'126 –2'869'756 Audit and Accounting services –132'850 –129'088 Other professional services –89'904 –106'219 IT services –106'523 –179'257 Office expenses –205'590 –186'709 Marketing and other operational expenses –104'125 –145'429 Total other Operational Expenses –638'991 –746'702 Earnings before Interest, Depreciation, and Amortization –6'895'364 –7'255'555
Depreciation of tangible assets –26'734 –18'012 Earnings before Interests –6'922'098 –7'273'566
Financial income 7'436 809 Financial expenses –2'863 –9'610 Earnings before Non-Operational and Extraordinary Results –6'917'525 –7'282'367
Net result on investments 3'278'154 –1'917'275 Net non-operational income 3'600'000 3'600'000 Extraordinary, non recurring, or prior-period result 7'641 –9'532 Net Result of the Period –31'730 –5'609'174
77 Swiss Finance Institute Swiss Finance Institute (SFI) is the national center for fundamental research, doctoral training, knowledge exchange, and continuing education in the fields of banking and finance. SFI's mission is to grow knowledge capital for the Swiss financial marketplace. 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.
Walchestr. 9, CH-8006 Zurich, T +41 44 254 30 80, www.sfi.ch c/o University of Geneva, 42, Bd du Pont d'Arve, CH-1211 Geneva 4, T +41 22 379 84 71, www.sfi.ch