Activity Report 2008-9 [PDF] - Swiss Finance Institute

Swiss Finance Institute FacultySince its creation in 2006, Swiss Finance Institute has worked with itsacademic partners to hire 10 new professors at both the junior andsenior level, bringing the total of SFI faculty to 50 in June 2009.One of the Swiss Finance Institute’s ambitions is to reach top rankamong the finance research institutes in Europe. With a faculty of 50professors, Swiss Finance Institute is well on its way to reaching this goalafter only a few short years of activity. Almost one half of our faculty holdSFI chairs or fellowships, attesting to the outstanding research work thatour faculty members produce on a regular basis. Together with the restof the SFI Faculty members they form what is one of the largest andmost productive research groups in finance in Europe. Our faculty bodyrepresents an extraordinary, varied concentration of competencies.This expertise is transferred to individuals through an innovative andrigorous PhD curriculum, executive education as well as being presentedon a regular basis to industry experts through our knowledgetransfer series. It is also the case that the large majority of our facultyintervene in the bachelor and master programs offered by the SwissFinance Institute partner university institutes.2008 was a year of changes for SFI. Several faculty members left ourpartner universities following what can be considered a normal flux inthe academic community and retirements. At the same time, however,SFI and its partners went through an extremely ambitious recruitingcampaign which has led to the hiring of five new professors for the2009/2010 academic year.As of June 2009, the core SFI faculty boasts six professors holding seniorchairs, five fellows and five junior chairs. The overall SFI research teamincludes thirty-four additional professors with permanent or temporaryUniversity contracts, all active in research under the name of, andeligible for support from, the Swiss Finance Institute.Center HighlightsThe SFI Regional Centers counted a number of successfulevents during 2008 and the beginning of 2009. At theSFI Léman Center Amit Goyal was hired as an SFI SeniorChair at the University of Lausanne and this fall EPFLwill welcome 6 new professors in the area of finance.At the SFI Lugano Center, Fabio Trojani was hired and received an SFI Fellowship.At the SFI Zurich Center, Felix Kübler joined as an SFI Senior Chair in 2008and has assumed the role of the Zurich Center Head, representing the Universityof Zurich and ETHZ in the SFI College of Center Heads.Swiss Finance Institute Faculty(June 2009)Philippe BacchettaGiovanni Barone-Adesi **Tony BerradaPeter Bossaerts *Marc ChesneyFulvio CorsiJean-Pierre DanthineEnrico De GiorgiFrançois Degeorge ***Pierre-André DumontPaul Embrechts *Rüdiger Fahlenbrach **** (July 2009)Giovanni FavaraFrancesco Franzoni ****Patrick Gagliardini ****Fausto GalliRajna Gibson Brandon **Manfred GilliAmit Goyal *Michel Habib*Thorsten Hens ***Martin HoesliJulien Hugonnier ****Jean ImbsEric JondeauFelix Kübler*Jean LefollHenri LoubergéSemyon MalamudLoriano ManciniErwan Morellec*Eric NowakKjell Nyborg* (August 2009)Claudio OrtelliMarc PaolellaMichael Rockinger ***Olivier Scaillet ***Karl SchmeddersNorman Schürhoff ****Martin Schweizer **Didier SornettePascal St-AmourFabio Trojani ***Anders Trolle **** (August 2009)Paolo VaniniAlexander WagnerMei WangAlexei Zhdanov ****Alexandre Ziegler* Senior Chair** Distinguished Services Senior Chair*** Research Fellow**** Junior Chair5

Research HighlightsThe visibility of the Swiss Finance Institute in the international academic world is steadily gaining groundin particular through the increasing number of top quality publications by Swiss Finance Institute researchersin internationally recognized top academic journals, i.e., those journals that historically have been first inpromoting the ideas that have changed financial practices.The Scientific Council of Swiss Finance Instituteplaces extra weight on publications appearing in thefollowing journals: Journal of Finance, Journal of FinancialEconomics, Review of Financial Studies, AmericanEconomic Review, Journal of Political Economy,Quarterly Journal of Economics, Econometrica, andReview of Economic Studies. In 2008 and throughthe summer of 2009 the following twenty-one (!)articles were accepted for publication:2008A GARCH Option Pricing Model with Filtered HistoricalSimulation, G. Barone-Adesi, R. F. Engle andL. Mancini, the Review of Financial Studies, vol. 21(3),pp 1223-1258, 2008.Flight-to-Quality or Flight-to-Liquidity? Evidencefrom the Euro-Area Bond Market, A. Beber, M. W.Brandt, and K. Kavajecz, the Review of Financial Studies,vol. 22(3), pp 925-957, 2009.Equilibrium Portfolio Strategies in the Presence ofSentiment Risk and Excess Volatility, B. Dumas, A.K. Urshev, R. Uppal, the Journal of Finance, vol. 64(2),pp 579-629, 2009.Underinvestment vs. Overinvestment: Evidencefrom Price Reactions to Pension Contributions,F. Franzoni, the Journal of Financial Economics,vol. 92(3), pp 491-518, 2009.Ambiguity Aversion and the Term Structure ofInterest Rates, P. Gagliardini, P. Porchia andF. Trojani, the Review of Financial Studies, vol. 22(10),pp 4157-4188, 2008.How Common are Common Return Factors AcrossNyse and Nasdaq?, A. Goyal, C. Pérignon andC. Villa, the Journal of Financial Economics, vol. 90(3),pp 252-271, 2008.The Selection and Termination of InvestmentManagers by Plan Sponsors, A. Goyal and S. Wahal,the Journal of Finance, vol. 63(4), pp1805-1847, 2008.A Comprehensive Look at the Empirical Performanceof Equity Premium Prediction, A. Goyal andI. Welch, the Review of Financial Studies, vol. 21(4),pp 1455-1508, 2008.Stock returns in mergers and acquisitions,D. Hackbarth and E. Morellec, the Journal of Finance,vol. 63, pp 1203-1242, 2008.Learning and Asset Prices Under Ambiguous Information,M. Leippold, F. Trojani and P. Vanini, the Review ofFinancial Studies, vol. 21(6), pp 2565-2597, 2008.Financing and takeovers, E. Morellec andA. Zhdanov, the Journal of Financial Economics,vol. 87, pp 556-581, 2008.Level Playing Fields in International FinancialRegulation, A. Morrison and L. White, the Journal ofFinance, forthcoming.2009 or forthcoming:False discoveries in mutual fund performance: Measuringluck in estimated alphas, L. Barras, O. Scailletand R. Wermers, the Journal of Finance, forthcoming.Equilibrium Asset Pricing Under HeterogeneousInformation,B. Biais, P. L. Bossaerts and C. Spatt, the Review ofFinancial Studies, in press.Auctioned IPOs: The U.S. Evidence, F. Degeorge,F. Derrien and K. Womack, the Journal of FinancialEconomics, forthcoming.6

Information Percolation with Equilibrium SearchDynamics, D. Duffie, S. Malamud and G. Manso,Econometrica, forthcoming.Finance, Institutions and Risk Sharing in InternationalPortfolios, M. Fratzscher and J. Imbs, the Journal ofFinancial Economics, forthcoming.Asymmetric Information and Adverse Selection inMauritian Slave Auctions, D. Georges, P. St-Amourand D. Vencatachellum, the Review of Economic Studies,forthcoming.Cross-Section of Option Returns and Volatility,A. Goyal and A. Saretto, the Journal of FinancialEconomics, forthcoming.Pricing American options under stochastic volatilityand stochastic interest rates, A. Medvedev andO. Scaillet, the Journal of Financial Economics,forthcoming.Dynamic Investment and Financing under PersonalTaxation, E. Morellec and N. Schürhoff, the Review ofFinancial Studies, forthcoming.Names appearing in bold indicate SFI Facultymembers at the time of acceptance or publicationof an article in the journal.In addition 49 research papers were placed intothe SSRN – Swiss Finance Institute series in 2008.This series was launched in 2006 as a collaborativeproject between SFI and NCCR FINRISK with bothpartners sharing costs equally. This series is publishedon the SSRN website www.ssrn.com/link/swissfinance-institute.html.A complete list of thesepapers is available on pages 30-32 of this report.“No country can move forward without ongoingresearch and innovation. The Swiss Financial Centercan be proud to be able to benefit from the knowledge,research and challenges developed by the SwissFinancial Institute.”Pierre G. Mirabaud , former President of the Swiss BankersAssociation7

Outstanding Paper AwardThe winners of the 2008 Outstanding Paper Awardwere Darrell Duffie (Stanford University), AndreasEckner (Merrill Lynch), Guillaume Horel (StanfordUniversity) and Leandro Saita (Lehman Brothers)for their paper entitled “Frailty Correlated Default”.This paper is forthcoming in the October 2009 issueof the Journal of Finance and was the object of apublic lecture “Policy Issues Facing the Market forCredit Derivatives” by Darrell Duffie in Geneva onJune 9, 2009.The Swiss Finance Institute’s Outstanding PaperAward is awarded annually to an unpublished researchpaper circulated over the previous 12 monthsand making an outstanding contribution to the fieldof finance. The jury selecting the winning paperis composed of all Swiss Finance Institute chairedprofessors and Fellows and is headed by SFI SeniorChair Prof. Michel Habib.Olivier ScailletFalse discoveries in mutual fund performance:Measuring luck in estimated alphasThis paper is an example of how research worksflow over into industry practice. The paper wasthe recipient of the Banque Privée EspiritoSanto Award - SFI Prize 2008. It has been highlightedin general or trade publications such asthe New York Times, Forbes Investment Guide,l’Hebdo, Le Temps, L’Agefi and La Libre Entrepriseand is now forthcoming in the Journal ofFinance. It should be noted that Olivier Scaillet’sco-authors are also linked to SFI: Laurent Barrasis an SFI PhD graduate who is currently AssistantProfessor of Finance, Desautels Faculty of Management,McGill University. Prof. Russ Wermersof Duke University has been a contributorto our executive education series.“This paper develops a simple technique that controlsfor “false discoveries,” or mutual funds that exhibit significantalphas by luck alone. Our approach preciselyseparates funds into (1) unskilled, (2) zero-alpha, and(3) skilled funds, even with dependencies in crossfundestimated alphas. We find that 75% of fundsexhibit a zero alpha (net of expenses), consistent withthe Berk and Green (2004) equilibrium. Further, wefind a significant proportion of skilled (positive alpha)funds prior to 1996, but almost none by 2006. We alsoshow that controlling for false discoveries substantiallyimproves the ability to find funds with persistentperformance.”8

The Swiss Finance Institute Research Partner:NCCR FINRISKBased on the FINRISK / SFI cooperation agreement,active collaboration between both entities has beenfurther consolidated during 2008/09. Major developmentsand joint activities by FINRISK and SFI duringthe reporting period are presented below.By the end of 2008, the Swiss National Science Foundation(SNSF) research council approved the FINRISKproposal for its final third phase 2009-13. The SNSFbudget for FINRISK will be significantly cut (by 40% over4 years). However, the Confederation plans to provideadditional (long term) research funding as of 2012 (tobe transferred directly towards SFI!). Thus, the last yearhas been a transition phase during which the FINRISKmembers have on the one side worked on preparingFINRISK smoothly for its third phase, trying to minimizethe impacts of the significant SNSF budget reductionon our future research capacity while on the other sidecontinuing to support the finance faculty growth planthat underpins the SFI faculty hiring strategy.In June 2009 Michel Habib took over the directorshipof the NCCR from Rajna Gibson Brandon while Prof.Gibson Brandon was elected as NCCR FINRISK deputydirector. This change has received the full support ofall parties involved, including the SNSF, the Universityof Zurich as the NCCR FINRISK leading house andthe individual project directors whom this person shallrepresent.SFI Funded FINRISK Research ProjectThe FINRISK research project on “Equilibrium AssetPricing”, headed by Prof. Bernard Dumas (UNILand SFI), has been fully financed by SFI since 2007.It currently integrates 10 professors as well as 5 PhDstudents from various institutions (June 2009). Thescientific output has been 7 working papers as well astwo publications (Journal of Finance and EconomicTheory). One of the PhD students int his project has recentlygraduated and has obtained a faculty position atCarnegie-Mellon University, Tepper School of Business.Two PhD students have been visiting scholars abroad(MIT, University of California at Los Angeles) underthe FINRISK sponsorship. An international workshopon “Computational Financial Economics” organized byresearch group members Kubler and Schmedders andsponsored by this project will take place at the Universityof Zurich during September 2009.The general theme of the project is the impact of “imperfections”on the prices prevailing in the financial marketsand on the equilibrium values of the choices madeby financial agents. The ultimate goal is to determineempirically which combination of “imperfections” bestexplains observed financial market prices. In this way,observed prices provide information about the underlyingbehavior pattern of financial market participants(households and firms). Some of the imperfections mayalso limit the ability of the financial economists to drawinferences about the meaning of financial market prices,and the ability of traders to make decisions.This research project will unfortunately be dissolvedover the next 12 months due to the departure of theproject leader Prof. Bernard Dumas.SFI / FINRISK Annual Workshop in FinanceEach year since 2002, more than 20 doctoral studentsfrom the FINRISK network institutions present theircurrent research in progress at a doctoral workshoporganized by SFI and FINRISK and sponsored by theStudy Center Gerzensee Foundation. The 8 th SwissDoctoral Workshop in Finance was organized on June8-9, 2009 with the participation of more than 40 PhDstudents. Each of the 23 presented papers was discussedby another doctoral student before René Stulz(Ohio), Jerome Detemple (Boston) as well as FINRISKfaculty provided their feedback. Doctoral awards recognizingoutstanding research papers and discussionsled by students are given out each year following theworkshop. (For more information please see page 11of this report.) On the second day of the workshop, ameeting to further coordinate the doctoral programin finance across SFI Centers also took place.The FINRISK Research Day 2009, which was againorganized in parallel with the SFI-FINRISK doctoralworkshop, was a success story that attracted about 100participants from the FINRISK network. The goal ofthis Research Day is to allow scientists with commoninterests from various projects to interact and discusstheir research work and get to know each other better,with a potential to generate scientific collaborationsthrough the contacts established during the workshop.The FINRISK / SFI faculty presented ongoingresearch projects in their respective field of “RiskManagement”, ”Asset Pricing and Portfolio Management”,“Corporate Finance” and “Quantitative Methodsin Finance”. In addition, Amit Goyal (SFI SeniorChair at the University of Lausanne) held a keynotelecture on pension funds.9

Swiss Finance Institute Best DiscussantDoctoral AwardThe annual SFI Best Discussant Doctoral Award wasbegun by SFI in 2007 and is awarded to PhD studentsfor an outstanding discussion of a paper presented atthe Annual PhD Workshop organized by FINRISK andSFI. The recipients are selected by the chairmen of therespective workshop sessions. The Awards are bestowedupon the winners at the SFI Annual Meeting andthe recipients receive CHF 1’000 (to be shared amongthe winners) and a certificate for her/his accomplishment.In 2008 the recipients were Jan-Peter Kulak andRodolfo Prieto, SFI Léman, and Leon Bogdan Stacescu,SFI Zurich/FINRISK Graduate 2008, who receivedtheir awards at the SFI Annual Meeting.Advanced Doctoral Grants and PhD Study AbroadSwiss Finance Institute PhD students with academicambitions are strongly encouraged to spend an extendedvisit abroad in a top department under the prearrangedsupervision of a researcher interested in thePhD student’s research. To that effect, on the recommendationof the Scientific Council, SFI instituted aprogram of advanced doctoral grants coordinated withthe financial support often available from the SNSFand guaranteeing financial support for up to CHF40‘000 per candidate. PhD students who have studiedabroad during 2008 and the first half of 2009 are:• Florian Peters from the University of Zurich is spendinga second year at UC Berkeley as a post doctoralfellow (faculty sponsor: Ulrike Malmendier).• Rodolfo Prieto from the University of Lausannevisited MIT’s Sloan School of Management (facultysponsor: Leonid Kogan).• Alexandre Jeanneret from the University of Lausannevisited the Anderson School of Management atUCLA.• Philip Valta from the University of Lausannevisited Duke University (faculty sponsor: RichmondMathews).• Nicola Fusari from the University of Lugano wasawarded an SNSF grant to spend a year at the KelloggSchool of Management.• Boris Nikolov from the University of Lausannevisited Wharton.11

PhD Graduate PlacementsThe Swiss Finance Institute PhD Program counts agrowing number of outstanding graduate placements.Coming from either its foundation programs (FAMEand FINRISK) or the Swiss Finance Institute programitself, our graduates are increasingly successful atsecuring notable positions at prestigious academic andfinancial institutions.Following what was probably the most successfulplacement campaign ever for a European institution,the Swiss Finance Institute PhD graduates have, overthe period under review, obtained assistant professorpositions at leading institutions such as CarnegieMellon and Rochester universities in the USA, McGilluniversity in Montreal as well as the London Schoolof Economics and the University of Amsterdam. TheSwiss Finance Institute’s presence on the doctoralscene was made clear when SFI candidates were solicitedfor nearly 100 job interviews at the ASSA meetingin January 2009.Following are the resulting placements:Laurent Barras, a 2007 SFI PhD graduate of theUniversity of Geneva, will start in September 2009 atMcGill University. Laurent’s thesis addresses a longstandingand fundamental issue in the mutual fundindustry: how many funds in the population are trulyable to deliver superior performance?Maria Cecilia Bustamante, a SFI PhD student at theUniversity of Lausanne, will start in August 2009 atthe London School of Economics. Maria Ceciliaelaborated on how real and financing frictions affectcorporate decision making under uncertainty.Jens Martin, a SFI PhD student at the University ofLugano, will start in August 2009 at the Universityof Amsterdam. Jens has studied conflicts of interestamong financial analysts in financial markets.Boris Nikolov, a SFI PhD graduate from the Universityof Lausanne, will start in July 2009 at the University ofRochester. Boris’s research investigates the effects ofreal market frictions and agency costs on firms’ financing,cash holdings, and investment policy.Emilio Osambela, a SFI PhD graduate of the Universityof Lausanne, will start in July 2009 at the TepperSchool of Business, Carnegie-Mellon University. Inhis dissertation, Emilio uncovers the frictions thatgenerate the observed dynamics of stock market volatilityin the time-series, and the existence of multiplevolatility factors, which are priced in the cross-sectionof expected stock returns.SFI PhD GraduatesThe following students graduated from the SFI PhDProgram during 2008 and 2009:2008Fabien CoudercHead of Pricing Group, R&D, RiskMetrics GroupAlexey MedvedevQuant, Lombard Odier Darier Hentsch & CieSébastien MichenaudAssistant Professor of Management, Jesse H. JonesGraduate School of Management, Rice UniversityBoris NikolovAssistant Professor, University of RochesterAugusto PerillaQuantitative Analyst, RMF Investment ManagementGanna ReshetarFinancial Servicies Advisor, DeloitteBogdan StacescuAssociate Professor, BI Norwegian School ofManagement2009Gorazd BrumenMorgan Stanley Risk Management Group, LondonMaria Cecilia BustamanteAssistant Professor of Finance, London School ofEconomicsPhilip FasnachtRisk Manager, Credit SuisseJens MartinAssistant Professor, University of AmsterdamEmilio OsambelaAssistant Professor, Tepper School of Business,Carnegie-Mellon UniversityLuca TaschiniResearch Associate, London School of Economics12

Executive EducationOverview 2008In its third year of operation, Executive Education atthe Swiss Finance Institute continued its success byoffering 32 courses to 560 participants from all overthe world. 60% of participants of our internationalcourses came from outside Switzerland, representing46 different nationalities and demonstrating the internationalrecognition of our programs.Executive Education is where the intellectual capital ofthe Swiss Finance Institute can have the most immediateimpact on the finance industry. However, researchresults need to be conveyed in a palatable and practicalform. And this is where SFI Executive Educationwants to excel on an international level!The fact that the Swiss Finance Institute can look backon 26 years of experience in executive education infinance and 21 years of executive education in bankmanagement, through its predecessor organizations,gives it a sound basis to build on. To achieve this goalthe Swiss Finance Institute has developed a clear andfocused, but also very ambitious, strategy for its ExecutiveEducation offering:• It concentrates exclusively on advanced graduatelevelfinance courses on the one hand, and on bankmanagement courses for executives on the other.• In these areas, the Swiss Finance Institute offersopen-enrolment programs on a graduate level, aswell as Diploma and Master Programs with highlyselective admittance.• With a few exceptions, all programs will be aimed at aglobal audience, thus fostering the exchange of ideasat the foremost frontiers of knowledge and experience.One cornerstone of this plan is the internationalizationof one of the Institute’s German bank managementprograms: On July 7, 2008, the Senior ManagementProgram in Banking, the international versionof the Advanced Executive Program, was successfullylaunched with a full enrolment of 25 participants fromall over Europe. Taught in the style of a mini ExecutiveMBA, this modular program sees participants spendone week in Geneva, in London, in Madrid and inWarsaw for an update on strategic developments inthe banking industry. For more than 20 years the SFIhas combined academically researched concepts withindustry specific practitioner input, and assembledindustry peers at management level. Until now thisapproach has been offered in Switzerland only. Withthe Senior Management Program, we have raised thisapproach to an exciting new level across Europe!In 2008, the Swiss Finance Institute expanded its offerin finance to 21 one-week courses, in addition to thetraditional 4+1-week immersion Certificate Program inFinancial Asset Management and Engineering (FAME).Two open-enrolment courses for executives were heldin bank management, plus the 5-week SFI AdvancedExecutive Program, the 4-week Senior ManagementProgram in banking and the 7-week, two-year SFIExecutive Program. Additionally, the SFI contributedto the Masters in Wealth Management offered by theSingapore Management University together with theWealth Management Institute of Singapore. Furthermore,four in-house courses have been offeredthroughout the year. On an international graduatelevel in banking and finance, this is one of thebroadest offerings in the world!13

Key figures for the Swiss Finance Institute executiveeducation in 2008• In 2008 the SFI offered 32 courses for a total of 48 weeks> 22 courses in advanced finance for a total of 26 weeks> 5 courses in bank management for a total of 18 weeks> 5 in-house training courses for a total of 4 weeks• 560 participants took one or more of the Institute’s courses;168 graduated from one of its diploma courses.• In the SFI international programs more than 60% ofparticipants came from outside Switzerland, representing46 different nationalities.The Executive Education offering: FinanceThe Geneva Executive Courses in FinanceThe Geneva Executive Courses in Finance are a suiteof independent courses. Each course addresses aselected finance topic, where it offers a superb overviewof the current status and modern developmentsrelevant to practitioners. The GECF courses are attendedby participants from a broad spectrum of privatefinancial institutions, central banks and internationalfinancial organizations. The courses have a history ofmore than 25 years and over the years participants frommore than 1300 institutions and 98 countries have attendedthe courses.The Swiss Finance Institute is registered with the CFA Instituteas an Approved Provider of continuing educationprograms. The CFA Institute awards CE credits for theattendance of a Geneva Executive Course in Finance.In 2008 courses were offered in the followingthree areas:• Risk management, derivatives and trading• Asset management• Financial modeling and quantitative methodsNew subjects ranged from energy and emissiontrading to essentials of options, futures and otherderivatives.The main feature of the Swiss Finance Institutecourses lies in the fact that our professors have uniqueinsight into the functioning of financial marketsthrough their research and their consulting activities.This enables them to see both the theoretical andpractical aspects, which, given their pedagogical skills,they are able to convey effectively to course participants.Selected practitioners join in to demonstratehow they use the financial modeling, risk and assetmanagement tools in their day-to-day life.In 2008 Didier Cossin, UBS Professor of Banking andFinance at IMD, celebrated his 10-year anniversary asGECF professor. Our sincere thanks go to him for hislong and outstanding contribution to the Institute’sExecutive Education.Financial Asset Management and EngineeringProgram (FAME)In its 13th year, FAME is an intensive 4+1-week programdesigned to provide applied training in state-ofthe-arttechniques and practices used in asset managementand financial engineering. Taught in Lausannein a technology laboratory, FAME is preceded by anoptional one-week course which covers the foundationsof finance. Each module is taught by a leadingacademic supported by practitioners. 27 participantsjoined this program in 2008 representing 11 countriesfrom around the globe. .Until the summer of 2008and for the last ten years, the FAME program hadbeen guided by the exceptional expertise and dedicationof Prof. Salih Neftci. It is a great loss for the SwissFinance Institute that Prof. Neftci who had been aclose and enthusiastic contributor to our activities aswell as those of the International Center FAME passedaway in April 2009.Salih NeftciThe Swiss Finance Institute, its professors, employees, students and graduateswere very sad to learn of the passing of our friend and colleague Prof. Salih Neftcion April 15, 2009.Prof. Neftci was an active member of Swiss Finance Institute and its predecessor,the International Center FAME, from 1996 until 2009, contributing enthusiasmand expertise to a number of our activities, teaching in the doctoral program, theExecutive Courses in Finance and successfully leading the Certificate FAME program.His passing is a great loss for our Institute and we will miss him immensely.Prof. Salih Neftci 1947 - 200914

Master ProgramThe Swiss Finance Institute is also responsible forthe two-week Swiss module of the Master in WealthManagement offered by the Singapore ManagementUniversity, with the Wealth Management Institute asthird partner. The Swiss module was held for the 4thtime in 2008, with 52 participants from Singapore andSouth East Asia.Participants in Executive Education courses in 2008FinanceGeneva Executive Courses in Finance 125FAME Certificate 27Bank ManagementBanking seminars 51SFI Bank Management programs 215Masters programs 52In-house programs 90Finally, the second cycle of the Senior ManagementProgram successfully started with 16 participants.The initial module in Geneva will be followed byanother three modules to be held in London, Madrid,and Bratislava.The FAME program was successfully completed with13 participants from 7 different countries.The financial crisis has severely impacted participationin Executive Education courses globally. The SwissFinance Institute has not been able to escape thistrend. We are noticing a decreasing number ofparticipants since the middle of 2008.For a complete list of the Executive Education courses offeredby the Swiss Finance Institute in 2008 see pages 33-35.Total 560Outlook 2009In the Executive Program 2009/2010, 55 participantshave successfully completed the Fundamentals ofFinance course. This is a one-week course which is aprerequisite for the admittance to the core part of theExecutive Program.The Advanced Executive Program 2009 started inFebruary with the first of its ten 2.5 day modules with35 participants. The program will last until December2009.16

Media ProfileAlumni AssociationThe Swiss Finance Institute Alumni Association (SFIAA)took over from the former Swiss Banking School AlumniAssociation on April 28, 2006. Graduates from the ExecutiveProgram, Advanced Executive Program, InternationalWealth Management Executive MBA, FinancialAsset Management and Engineering Program and theSenior Management Program in Banking are eligible tojoin. There are now over 1200 members of the SFIAA.The Swiss Finance Institute Alumni Association promotes• networking among its members• further education of its members by means of seminarsand lectures (in collaboration with the SwissFinance Institute)• contributing to the ongoing improvement of theSwiss Finance InstituteIn addition to an annual meeting of members, theSwiss Finance Institute Alumni Association and theSwiss Finance Institute jointly organize the AlumniLuncheons with prominent guest speakers as well asthe SFIAA Golf Trophy in August.2008 Alumni LuncheonsJanuary 24, 2008Kaspar MüllerPresident of the Ethos Foundation and EthosServices Corporate GovernanceApril 9, 2008Pierre MirabaudPresident of the Swiss Bankers AssociationJuly 9, 2008Adolf E. RealPresident of the Liechtenstein Banking AssociationSeptember 25, 2008Prof. Ilker BaybarsDeputy Dean of the Tepper School of Business,Carnegie-Mellon University Pittsburg, USANovember 10, 2008Dr. Urs RüegseggerGroup CEO, SFMS Management AG, SWISS FINAN-CIAL MARKET SERVICESIn order to promote the networking among womenin the SFIAA, in 2008 the first Women-Luncheon hasbeen launched successfully with 48 registered women:November 13, 2008Antoinette Hunziker-EbneterCEO Form Futura Invest AGDuring 2008, the Swiss Finance Institute intensified itsefforts to develop and enhance its media profile. Effortsfocused on strengthening contacts with journalists, thepublication of press releases and newsletters, and theestablishment of methods to assess the media profileof the Swiss Finance Institute in print, radio and on theInternet.The number of media references to the Institute‘s activitiesduring 2008 was almost identical to that enjoyedduring the two previous years. In total, there were 125print and radio references to the Institute in 2008, comparedto 117 in 2007.In 2008 a total of 13 press releases were distributed ontopics as diverse as:Launch of the Emissions Trading course, Sponsoringof the new Swiss Finance Institute Research Prize byBanque Privée Espirito Santo, New SFI Chairs, Launchof the Senior Management Program in Banking, 10thAnniversary of the International Private and Wealth ManagementRetreat, Research Award Prize Winners andthe Announcement of the Annual Meeting.The Swiss Finance Institute newsletter is published twicea year. The January 2008 edition contained recognitionsfor research activities, the 20th anniversary of the ExecutiveProgram and the 2007 Annual Meeting, whereMcGill University researchers Susan Christoffersen andSergei Sarkissian received the SFI 2007 OutstandingPaper Award.A second edition of the newsletter was produced in July2008 with a focus on new academic faculty, the launchof the Senior Management Program in Banking and ourlong-standing co-operation with the Singapore ManagementUniversity. Furthermore, there was a résumé of theGerzensee 2008 research meeting, which assembled doctoralstudents and faculty to discuss the latest researchfindings in finance.In January 2009 Newsletter No. 5 was distributed withinformation about the planned EMBA launch and thehighlights of the third Annual Meeting, where morethan 200 distinguished academics and finance practitionersparticipated at the Credit Suisse Forum in Geneva.The mailing list for the Institute’s newsletter includesresearchers affiliated with the Swiss Finance Instituteand former participants of the Institute‘s ExecutiveEducation programs. The list is expanded continuously,which reflects a broader goal to enhance our media profilewith the active involvement of the Institute‘s closestaffiliates and alumni.18

Knowledge Transfer at the Swiss Finance InstituteKnowledge Transfer at SFI provides platforms at thecutting edge of research and business and organizesevents to encourage dialogue between research and thebanking industry thus providing applied knowledge.3rd Annual Meeting of the SFI in Geneva at CreditSuisse Forum on November 18Over 250 participants attended this research and knowledgetransfer event, assembling leading academics andfinance practitioners. The event was organized with theresearch partner FINRISK and the support of the GenevaFinancial Center Foundation.One of the highlights of the 3rd Annual Meeting wasthe lively debate at the round table on “Finance in theWake of the Subprime Crisis”. Among the many questionsraised, Swiss Bankers Association former ChairmanPierre Mirabaud asked why banks were prepared tobear such exaggerated risks when their very functioningdepends on their reputation to protect investors fromharm. The Institute’s Director of Research ProfessorRajna Gibson asked what the impact of the financialcrisis on the practice of quantitative risk management intomorrow’s banking industry will be. And Chester Spattasked why so few within industry managed to step backand ask themselves how banks could have increasedtheir profits so dramatically in recent years. Panelistsand presenters provided responses and approaches toall these questions during the one-day program.What lessons can be learned from the financial crisis?According to researchers Tom Cooley and ChesterSpatt, US policy makers were prompt in their recent responsesto the crisis. But as Professor Spatt pointed out,creditors were not provided with adequate informationabout how the proposals would actually work. Jes Staleyechoed this sentiment when he commented that “badnews is not the worst thing for the market to hear. Nonews is far worse”.A question from the audience about rating agenciesraised much debate, as was reported by several newspapersin the days following the event. Professor Spattexplained that ratings came to be perceived almost asa kind of proxy for financial advice. “This is an oddmodel” commented Spatt, “because we turn to asset managersto deliver different perspectives on investment”.Researchers Olivier Scaillet and newly appointed AmitGoyal cast a critical eye on delegated portfolio management.Their research highlighted issues with the costand risk management practices of institutional fund managersand the ever-diminishing evidence that activelymanaged mutual funds beat the overall market.1st European Conference of the SoFiEThe First European Society for Financial Econometrics(SoFiE) Conference was held June 10-12, 2009 in Geneva.The Swiss Finance Institute took on a leading rolein the organization of this conference supported by theHEC, University of Geneva, FINRISK and the Geneva FinancialCenter Foundation. This conference provided aplatform for discussions between over 100 internationalspecialists, including among the invited speakers: a NobelPrize laureate, Professors from Princeton, Stanford,New York University, and Oxford to name a few.Industry SeminarsIn 2008 three presenters talked on the 7am industryseminars – held at the ZKB Zurich.• Hyun Song Shin started with the first seminar onAugust 8 and talked on procyclical leverage. He is aPrinceton University Professor and Consultant forG20.• Michael Brennan talked on October 7 on the mispricingreturn premium. He is a Professor at the Universityof California in Los Angeles and at the LondonBusiness School.• Thomas Jordan’s presentation included a descriptionof the National Bank’s response to the financial crisis.He is a member of the Governing Board of the SwissNational Bank and he also teaches at the Universityof Bern. The registrations for this event on October28, 2008 were outstanding and the seminar had to beheld in the entrance hall of the ZKB.From left: Tom Cooley, Della Bradshaw, Benoit Dumont, Patrick Odier and Chester Spatt19

Structure and Overseeing BodiesFoundation BoardScientific CouncilExecutive EducationAdvisory BoardManaging DirectorProf. Jean-Pierre DanthineSecretary GeneralAnita Belitz-KrasniqiCOODr. Harry HürzelerDirectorSFI - LémanProf. Bernard DumasDirector of ResearchProf. Rajna GibsonPhD ProgramWorking GroupProf. Erwan MorellecKnowledge TransferWorking GroupDr. Paolo VaniniDirector of ExecutiveEducationDr. Harry HürzelerDirectorSFI - LuganoProf. Giovanni Barone-AdesiFinRisk ScientificCouncilSNFReview PanelDirectorSFI - ZürichProf. Felix Kübler20

Governing BodiesThe main governing body of the Swiss Finance Institute is the Foundation Board. It includes representatives of itsfounding members as well as representatives of its academic regional centers. The Foundation Board is advised bythe Scientific Council on matters of scientific content and by the Executive Education Advisory Board on mattersof Executive Education.Foundation BoardThe Foundation Board members represent the entire finance and banking community in Switzerland, bothlocally and internationally. The Swiss Finance Institute gratefully acknowledges the participation of a numberof members leaving the Foundation Board in 2008 and 2009: Dr. Marcel Rohner of UBS, Dr. Ulrich Körner ofCredit Suisse, and Prof. Dr. Hans Weder of the University of Zurich as representative of SFI-Zurich Center.Swiss Finance Institute Foundation Board – June 2009ChairMr. Olivier SteimerChairman of the Board of DirectorsBanque Cantonale Vaudoise, LausanneDeputy chairsMr. Hans-Ulrich MeisterCEO Credit Suisse Switzerland, ZurichDr. Francesco MorraCEO Switzerland, Wealth Management & Swiss Bank,UBS AG, ZurichMembersMr. Raymond J. BaerChairman of the Board of Directors, Julius Baer,Zurich - as representative of the Association of SwissCommercial and Investment Banks in SwitzerlandProf. Dr. Andreas FischerRector, University of Zurich, representing theSwiss Finance Institute Zurich CenterMr. Antonio FogliaChairman of the Executive Committee, Banca delCeresio, Lugano – as representative of the TicinoBankers AssociationDr. Philipp HalbherrHead Investment Banking and Member of the ExecutiveCommittee, Cantonal Bank of ZurichProf. Dr. Piero MartinoliPresident, University of Lugano, representing theSwiss Finance Institute Lugano CenterMr. Patrick OdierManaging Partner, Lombard Odier Darier Hentsch& Cie, Geneva - as representative of the Swiss PrivateBankers AssociationDr. Urs P. RothCEO, Swiss Bankers AssociationProf. Dr. Jean-Dominique VassalliRector, University of Geneva, representing theSwiss Finance Institute Léman CenterDr. Pierin VincenzCEO, Raiffeisen Group SwitzerlandProf. Dr. Peter GomezChairman of the Board of Directors, SIX Swiss ExchangeSADr. Alfredo GysiCEO, BSI SA, Lugano – as representative of theAssociation of Foreign Banks in Switzerland21

Scientific CouncilThe Swiss Finance Institute Scientific Council (SC)counts 5 international experts nominated as a result ofa wide consultation with its university partners with theaim at arriving at a broad consensus on the representationin the SC of the Swiss Finance Institute mainfields of research: financial mathematics, financial econometrics,investments, and corporate finance. TheFoundation Board of the Swiss Finance Institute hascommitted to make decisions with scientific contentexclusively under the recommendation of its ScientificCouncil. The Swiss Finance Institute is very fortunateto have been able to secure the enthusiastic support of5 internationally renowned experts under the chairmanshipof:Prof. René StulzFisher College of Business, Ohio State University.The other members of the Scientific Council are:Prof. Tim BollerslevFuqua School of Business, Duke UniversityProf. Patrick BoltonColumbia Business School, Columbia UniversityProf. Michael BrennanAnderson School of Management, UCLAProf. Ioannis KaratzasDept of Mathematics, Columbia UniversityThe cooperation agreement with the Swiss FinanceInstitute and the Swiss National Science Foundationindicates that the International Scientific Council ofFINRISK is to act as the main supervisory body for allactivities and funding falling under the heading ofProject Research.Executive Education Advisory BoardThe Executive Education Advisory Board is the mainsupervisory body concerned with Executive Education.The Executive Education Advisory Board ensures thatthe Executive Education offering of the Swiss FinanceInstitute is of the highest quality, addresses the needsof the industry and is well coordinated with otherinitiatives within Switzerland. The Swiss FinanceInstitute gratefully acknowledges the participationof Dr. Moehrle from Deutsche Bank AG who left theExecutive Education Advisory Board this year.The members of the Executive Education AdvisoryBoard in June 2009 are:ChairUrs HofmannChief Learning Officer, Head CS Business School,Credit SuisseMembersProf. Dr. René CapitelliManaging Director, Head Business Support,UBS AG and University of BaselCurdin DuschlettaManaging Director, UBS AGPer EtholmManaging Director, CitigroupProf. Dr. Rudolf GrünigUniversity of FribourgDr. Jürg GutzwilerCEO and Member of the Executive Board,RBA-HoldingProf. Dr. Alfred MettlerGeorgia State UniversityMaxime MorandHead HR, Lombard Odier Darier Hentsch & CieLukas StuckyHead Julius Baer Academy, Bank Julius Baer & Co. LtdMatthias Wirth *Swiss Bankers Association* Executive Education Advisory Board Secretary22

2008 Facts & Figures23

Summary of 2008 financial accountsBalance sheet as of December 31, 200831.12.2008CHFASSETSCurrent assetsCash and cash equivalentsAccounts receivableOther receivablesPrepaid expenses and accrued incomeTotal current assetsFixed assetsInvestment portfoliosDue from Securities Lending and BorrowingDepositsOffice equipmentIT equipmentTotal fixed assetsTOTAL ASSETS15'515'199.4127'471.70210'620.53366'529.9716'119'821.6141'144'828.8517'207'657.0055'807.25105'322.6583'631.6558'597'247.4074'717'069.01LIABILITIES AND FOUNDERS' EQUITYShort-term liabilitiesAccounts payableOther payablesResearch accountsAccrued expenses and deferred incomeLong term loans foundersTotal short-term liabilitiesFounders' equityFoundation capitalReservesRetained earnings- As of January 1, 2008, from SFI donations and operations 28'781'426.58Net result from donations and operationsTotal founders' equityTOTAL LIABILITIES AND FOUNDERS' EQUITY828'144.8038'344.86756'415.111'840'407.058'000'000.0011'463'311.8215'000'000.0030'064'785.0028'781'426.58-10'592'454.3963'253'757.1974'717'069.0124

Profit and loss statementfor the period from January 1 st to December 31, 200831.12.2008CHFIncome from Executive Education coursesExpenses from Excutive Education coursesNet result from courses before general expenses5'159'726.45-3'394'152.251'765'574.20Expenses Research-2'759'603.20Expenses Ph D Program-855'181.90Income from Knowledge Transfer112'241.25Expenses from Knowledge Transfer -125'798.05 -13'556.80Expenses Projects-500'000.00Net operating result before general expenses-2'362'767.70GENERAL EXPENSESPersonnel expensesOther operating costs-2'808'844.41-1'032'372.50Net operating resultNet extraordinary incomeDonations-6'203'984.613'556.694'693'023.00INCOME/EXPENSES ON INVESTMENTSTotal realized and unrealized gains on investmentsAdministration and bank feesTotal income/expenses on investmentsRESULT FROM DONATIONS AND OPERATIONS FOR YEAR 2008-8'774'201.66-310'847.81-9'085'049.47-10'592.454.3925

2008 and Forthcoming Publications in AcademicJournals and Books by SFI ResearchersPhilippe BacchettaHigher Order Expectations inAsset Pricing, with E. van Wincoop,Journal of Money, Credit, and Banking,vol. 40, pp 837-866, 2008.Predictability in Financial Markets:What Do Survey Expectations TellUs?, with E. Mertens and E. vanWincoop, Journal of InternationalMoney and Finance, forthcoming.Exchange Rate Volatility andProductivity Growth: The Roleof Financial Development, withPh. Aghion, R. Rancière and K.Rogoff, Journal of Monetary Economics,forthcoming.Giovanni Barone-AdesiBarrier Option Pricing UsingAdjusted Transition Probabilities,with N. Fusari and J. Theal, Journalof Derivatives, vol.16 (2), pp 36-53,2008. Book chapters.The Design of New Security Markets,Risk Management in CommodityMarkets, Chapter 4, Wiley,forthcoming.The World Oil Market, withC. Bärlocher, Encyclopedia ofQuantitative Finance, Wiley,forthcoming.Tony BerradaBounded Rationality and Asset Pricingwith Intermediate Consumption,Review of Finance, forthcoming.Peter BossaertsEquilibrium Asset Pricing UnderHeterogeneous Information, withB. Biais and Ch. Spatt, Review ofFinancial Studies, forthcoming.Modeling Price Pressure in FinancialMarkets, with E. Asparouhova,Journal of Economic Behavior andOrganization, forthcoming.From Market Jaws to the Newton Method:The Geometry of How a MarketCan Solve Systems of Equations, withCharles R. Plott, Handbook ofExperimental Economics Results,Charles Plott and Vernon L. Smith,eds. 2008, Amsterdam: North-Holland.Risk Aversion in Laboratory AssetMarkets, with W. Zame, Risk Aversionin Experiments, Ed. J. Coxand G. Harrison, volume 12, 2008,Greenwich. CT: JAI Press, Researchin Experimental Economics.Promoting Intellectual Discovery:Patents vs. Markets, with J. Copicand D.Meloso, Science, forthcoming.Contributions of FunctionalNeuroimaging, with J. O’Doherty,Current Directions in PsychologicalScience (Special Issue on The InterfaceBetween Neuroscience and PsychologicalScience), vol. 17, 2008.Human Insula Activation ReflectsRisk Predictions Errors As WellAs Risk, with K. Preuschoff and S.Quartz, Journal of Neuroscience, vol.28, pp 2745-2752, 2008.Markowitz in the Brain?, with K.Preuschoff and S. Quartz, Revued’Economie Politique, pp 75-96, 2008.Investigating Signal Integrationwith Canonical Correlation Analysisof fMRI Brain Activation Data,with A. Bruguier, K. Preuschoff andS. Quartz, NeuroImage, vol. 41, pp35-44, 2008.Neural Correlates of Mentalizing-Related Computations DuringStrategic Interactions in Humans,with A. Hampton and J. O’Doherty,Proceedings of the National Academyof Sciences, vol. 105, pp 6741-6746,2008.The Neurobiological Foundations ofValuation in Human Decision Makingunder Uncertainty, with M. Hsu andK. Preuschoff, Neuroeconomics:Decision Making and the Brain,Ed. P.W. Glimcher, C.F. Camerer,E. Fehr, R.A. Poldrack, New York:Academic Press, forthcoming.Neurobiological Studies of RiskAssessment: A Comparison of ExpectedUtility and Mean-VarianceApproaches, with M. d’Acremont,Journal of Cognitive, Affective andBehavioral Neuroscience, vol. 8(4),pp 363-374, 2008.Neural Coding of OutcomeUncertainty, with W. Schultz,K. Preuschoff, C. Camerer, M. Hsu,C.D. Fiorillo, and P. Tobler, PhilosophicalTransactions of the Royal SocietyB: Biological Sciences, 2008.Predicting Risk in a Multiple Simulus- Multiple Reward Environment,with M. d‘Acremont and M. Gilli,Reward And Decision Making, ed. J.C.Dreher and L. Tremblay, Elsevier,forthcoming.Marc ChesneyStock Options and Manager’sIncentives to cheat, with R. Gibson,The Review of Derivatives Research,vol. 11, 2008.Mathematical Methods for FinancialMarkets, with M. Jeanblanc and M.Yor, Springer Verlag, forthcoming.Jean-Pierre DanthineDistribution Risk and EquityReturns, with J.B. Donaldson andP. Siconolfi, in The Handbook of theEquity Risk Premium, R. Mehra, ed.,2008, North Holland Handbooks ofFinance Series, Elsevier, Amsterdam.Enrico De GiorgiThe -Beauty Contest: Choosing26

Numbers, Thinking Intervals, withS. Reimann, Games and EconomicBehavior, vol. 64(2), pp 470-486,2008.Paul EmbrechtsAggregating operational risk acrossmatrix structured loss data, withG. Puccetti, Journal of OperationalRisk 3(2), 29-44, 2008.EVT-based estimation of risk capitaland convergence of high quantiles,with M. Degen, Advances in AppliedProbability, 40(3), 696-715, 2008.Additivity properties for Valueat-Riskunder Archimedean dependenceand heavy-tailedness,with J. Neslehova and M.V. Wüthrich,Insurance: Mathematics andEconomics, forthcoming.Panjer recursion versus FFT forcompound distributions, with M.Frei, Mathematical Methods inOperations Research, forthcoming.Multivariate extremes and theaggregation of dependent risks:examples and counter-examples,with D.D. Lambrigger andM.V. Wüthrich, Extremes,forthcoming.Revisiting the edge, ten years on,with V. Chavez-Demoulin, Communicationsin Statistics: Theory andMethods, forthcoming.Copulas: A personal view, Journal ofRisk and Insurance, forthcoming.Operational Risk: the AdvancedMeasurement Approach, with V.Chavez-Demoulin, Encyclopedia ofQuantitative Finance, John Wiley,2008.Copulas and dependence conceptsin insurance, with V. Chavez-Demoulin,Encyclopedia of QuantitativeFinance, John Wiley, 2008.Linear correlation and EVT:properties and caveats, Journal ofFinancial Econometrics, forthcoming.Quantitative Risk Management:Concepts, Techniques, Tools, withA. J. McNeil and R. Frey, Japanesetranslation published by arrangementwith Princeton UniversityPress, 2008.Giovanni FavaraReconsidering the Role of Moneyfor Output, Prices and InterestRates, Journal of Monetary Economics,forthcoming.Rajna Gibson BrandonFinancial Integration, EconomicInstability and Trade Structurein Emerging Markets, with A.Chambet, Journal of InternationalMoney & Finance, vol. 27(4), pp654-675, 2008.Stock Options and Managers Incentivesto Cheat, with M. Chesney,The Review of Derivatives Research,vol. 11, 2008.Manfred GilliUsing economic and financialinformation for stock selection,with I. Roko, ComputationalManagement Science, vol. 5, pp317–335, 2008.An efficient branch-and-boundstrategy for subset vector autoregressivemodel selection, C. Gatu,E.J. Kontoghiorghes and P. Winker,Journal of Economic Dynamics andControl, vol. 32(6), pp 1949–1963,2008.Amit GoyalHow Common are Common ReturnFactors Across Nyse and Nasdaq?,with Ch. Pérignon and Ch.Villa, Journal of Financial Economics,vol. 90(3), pp 252-271, 2008.The Selection and Terminationof Investment Managers by PlanSponsors, with S. Wahal, August2008, Journal of Finance, vol. 63(4),pp 1805-1847, 2008.A Comprehensive Look at theEmpirical Performance of EquityPremium Prediction, with I. Welch,Review of Financial Studies, vol.21(4), pp 1455-1508, 2008.Cross-Section of Option Returnsand Volatility, with A. Saretto,Journal of Financial Economics,forthcoming.Liquidity and the Post-Earnings-Announcement-Drift, with T.Chordia, G. Sadka, R. Sadka andL. Shivakumar, Financial AnalystJournal, forthcoming.Thorsten HensGlobally Evolutionary StablePortfolio Rules, with I. Evstigneevand K.R. Schenk-Hoppé, Journal ofEconomic Theory, vol. 140, pp 197-228, 2008.Dynamic General Equilibrium andT-Period Fund Separation, with A.Gerber and P. Woehrmann, Journalof Financial and Quantitative Finance,forthcoming.Behavioural Finance for PrivateBanking, with K. Bachmann, Wiley& Sons, 2008.Martin HoesliConstant-quality house priceindexes for Switzerland, with S.C.Bourassa, D. Scognamiglio and P.Sormani, Swiss Journal of Economicsand Statistics, vol. 144(4), pp 561-575, 2008.A comparative analysis of houseprices and bubbles in the U.K.and New Zealand, P. Fraser andL. McAlevey, Pacific Rim PropertyResearch Journal, vol. 14(3), pp 257-278, 2008.House prices and bubbles in NewZealand, with P. Fraser and L. McAlevey,Journal of Real Estate Financeand Economics, vol. 37(1), pp 71-91,2008.Real estate portfolio strategy andproduct innovation in Europe,with J. Lekander, Journal of PropertyInvestment and Finance, vol. 26(2),pp 162-176, 2008.The inflation hedging characteristicsof U.S. and U.K. investments:A multi-factor error correctionapproach, with C. Lizieri, B. Mac-Gregor, Journal of Real Estate Financeand Economics, vol. 36(2), pp 183-206, 2008.Investissement immobilier – Prise dedécision et gestion du risque, 2008,Economica (Paris).27

Julien HugonnierMutual fund portfolio choice inthe presence of dynamic flows, withR. Kaniel, Mathematical Finance,forthcoming.Jean ImbsFinance, Institutions and RiskSharing in International Portfolios,with M. Fratzscher, Journal of FinancialEconomics, forthcoming.The Dynamics of Trade andCompetition, with N. Chen and A.Scott, Journal of International Economics,forthcoming.Eric JondeauThe Impact of Shocks on HigherMoments, with M. Rockinger,Journal of Financial Econometrics,forthcoming.Optimal Monetary Policy in an EstimatedDSGE Model of the EuroArea with Cross-countryHeterogeneity, with J.-G. Sahuc,International Journal of Central Banking,vol. 4, pp 23-72, 2008.Testing Heterogeneity withinthe Euro Area Using a StructuralMulti-Country Model, with J.- G.Sahuc, Economics Letters, vol. 99, pp192-196, 2008.Examining Bias in Estimators of LinearRational Expectations Modelsunder Misspecification, with H. LeBihan, Journal of Econometrics, vol.143, pp 375-395, 2008.Felix KüblerComputational Aspects of GeneralEquilibrium Theory, with D.J. Brown,2008, Springer-Verlag.Henri LoubergéInsuring a risky investment project,with R. Watt, Insurance Mathematicsand Economics, vol. 42 (1), pp 301-310, 2008.Hybrid cat bonds, with P. Barrieu,Journal of Risk and Insurance,forthcoming.Semyon MalamudLong Run Forward Rates and LongYields of Bonds and Options inHeterogeneous Equilibria, Financeand Stochastics, vol. 12(2), pp 245-264, 2008.Universal Bounds for Asset Pricesin Heterogeneous Economies,Finance and Stochastics, vol. 12(3),pp 411-422, 2008.Market Consistent Pricing of InsuranceProducts, with E. Trubowitzand M. Wüthrich, Astin Bulletin,vol. 38(2), pp 483-526, 2008.Erwan MorellecClosed-form solutions to stochasticswitching problems, with P.François, Journal of MathematicalEconomics, vol. 44, 2008.Dynamic investment and financingunder personal taxation, with N.Schuerhoff, Review of FinancialStudies, forthcoming.Eric NowakParent Company Control and MarketRisk Uncoupling Effect – Anempirical analysis of beta factors infactual and contractual groups ofcompanies, with C. Brüchle and O.Ehrhardt, Journal of Business Economics,vol. 78(5), pp 455-476, 2008.Foreign vs. domestic listing: anentrepreneurial decision, withY. Ding, and H. Zhang, Journal ofBusiness Venturing, 2008.Eigentum und Kontrolle indeutschen Mehrgenerationen-Familienunternehmen, Die Zukunftder Finanzdienstleistungsindustrie inDeutschland - Tagungsband zur Jubiläumskonferenzder Frankfurt Schoolof Finance & Management, with F.M.Weber, 2008, ed. Klaus-Peter Müllerand Udo Steffens, pp 121-138,Frankfurt School Verlag.Marc PaolellaAn Econometric Analysis of EmissionTrading Allowances, with L.Taschini, Journal of Banking and Finance,vol. 32, pp 2022–2032, 2008.Risk Prediction: A DWARF-likeApproach, with S.-C. Steude, TheJournal of Risk Model Validation, vol.2(1), pp 25-43, 2008.Uniform Saddlepoint Approximationsfor Ratios of QuadraticForms, R. Butler, Bernoulli, vol.14(1), pp 140-154, 2008.Evaluating the Density of Ratiosof Noncentral Quadratic Forms inNormal Variables, with S. Broda,Computational Statistics and DataAnalysis, forthcoming.Asymmetric Multivariate NormalMixture GARCH, with M. Haas andS. Mittnik, Computational Statisticsand Data Analysis, forthcoming.Assessing and Improving the Performanceof Nearly Efficient UnitRoot Tests in Small Samples, withS. Broda and K. Carstensen, EconometricReviews, forthcoming.Michael RockingerPredicting Tail-related Risk Measures:The Consequences of usingGARCH Filters for Non GARCHData, with Amine Jalal, Journalof Empirical Finance, vol. 15, pp868–877, 2008.Olivier ScailletLocal transformation kernel densityestimation of loss distributions,with J. Gustafsson, M. Hagmann,and J. P. Nielsen, Journal of Businessand Economic Statistics, forthcoming.Testing for stochastic dominanceefficiency, with N. Topaloglou,Journal of Business and EconomicStatistics, forthcoming.Testing for equality betwen two copulas,with B. Rémillard, Journal ofMultivariate Analysis, forthcoming.Assessing multivariate predictorsof financial market movements: Alatent factor framework for ordinaldata, with P. Huber and M.-P.Victoria-Feser, Annals of AppliedStatistics, forthcoming.Testing for threshold effect inARFIMA models: Application toUS unemeployment rate data, withA. Lahiani, International Journal ofForecasting, forthcoming.Business and financial Indicators:what are the determinants ofdefault probability changes?, in28

Credit Risk : Models, Derivatives, andManagement, with F. Couderc andO. Renault, pp 235-268, Chapman& Hall, Financial MathematicsSeries, 2008.Swap market models, with S.Galluccio, Encyclopedia of QuantitativeFinance, John Wiley & Sons Ltd,forthcoming.CMS spread options, with S. Galluccio,Encyclopedia of QuantitativeFinance, John Wiley & Sons Ltd,forthcoming.A primer on weather derivatives,with P. Barrieu, Handbook onUncertainty and EnvironmentalDecision Making, International Seriesin Operations Research and ManagementScience, Springer Verlag,forthcoming.Norman SchürhoffDynamic investment and financingunder personal taxation, with E.Morellec, Review of Financial Studies,forthcoming.Martin SchweizerExponential Utility IndifferenceValuation in Two Brownian Settingswith Stochastic Correlation, with C.Frei, Advances in Applied Probability,vol. 40, pp 401-423, 2008.Term Structures of Implied Volatilities:Absence of Arbitrage andExistence Results, with J. Wissel,Mathematical Finance, vol.18, pp77-114, 2008.Arbitrage-Free Market Models forOption Prices: The Multi-StrikeCase, with J. Wissel, Finance andStochastics, vol. 12, pp 469-505,2008.Local Risk-Minimization for MultidimensionalAssets and PaymentStreams, Banach Center Publications,vol. 83, pp 213-229, 2008.Didier SornetteAnalysis of the real estate marketin Las Vegas: Bubble, seasonal patterns,and prediction of the CSWindexes, with W.-X. Zhou, Physica A,vol. 387, pp 243-260, 2008.Quantitative determination ofthe level of cooperation in thepresence of punishment in threepublic good experiments, with D.Darcet, Journal of Economic Interactionand Coordination, vol. 3, pp137-163, 2008.Nurturing Breakthroughs: Lessonsfrom Complexity Theory, Journal ofEconomic Interaction and Coordination,vol. 3, pp 165-181, 2008.Interdisciplinarity in Socio-economics,Mathematical Analysis andPredictability of Complex Systems,Socio-Economic Review, vol. 6, pp 27-38, 2008.Robust dynamic classes revealed bymeasuring the response function ofa social system, with R. Crane, Proc.Nat. Acad. Sci. USA, vol. 105(41), pp15649-15653, 2008.Quantum decision theory as quantumtheory of measurement, withV.I. Yukalov, Physics Letters A, vol.372, pp 6867-6871, 2008.Empirical Tests of Zipf‘s lawMechanism In Open Source LinuxDistribution, with T. Maillart, S.Spaeth and G. von Krogh, PhysicalReview Letters, vol. 101, pp 218701,2008.Market Bubbles and Crashes,with T. Kaizoji, the Encyclopedia ofQuantitative Finance, Wiley,forthcoming.Theory of Zipf‘s Law and ofGeneral Power Law Distributionswith Gibrat‘s law of ProportionalGrowth, in Lecture Notes in Economicsand Mathematical Systems, withA. Saichev and Y. Malevergne,Springer, 2008.Pascal St-AmourAsymmetric Information and AdverseSelection in Mauritian SlaveAuctions, with D. Georges and D.Vencatachellum, Review of EconomicStudies, forthcoming.Alexander WagnerOrdinary economic voting behaviorin the extraordinary electionof Adolf Hitler, with G. King, O.Rosen, and M. Tanner, Journal ofEconomic History, vol. 68(4), pp 951-996, 2008.Mei WangEvaluating Lotteries, Risks, andRiskmitigation Programs, with P.S.Fischbeck, Journal of Risk Research,vol. 11(6), pp 775-795, 2008.Prospect Theory for ContinuousDistribution, with M. O. Rieger,Journal of Risk and Uncertainty, vol.36(1), pp 83-102, 2008.Are Pension Fund Managers Overconfident,with G. Gort, M. Siegrist,Journal of Behavioral Finance, vol.9(3), pp 163-170, 2008.What is behind Priority Heuristic?A Mathematical Analysis, withM. O. Rieger, Psychological Review,vol. 115(1), pp 274-280, 2008.29

Swiss Finance Institute Research Paper SeriesThe aim of the Swiss Finance Institute Research Paper Series is to disseminate originaltheoretical or empirical research with relevance to banking and finance. The series includesresearch contributions carried out at the Swiss Finance Institute and its researchpartner, the National Centre of Competence in Research “Financial Valuation and RiskManagement” (NCCR FinRisk), by faculty, PhD students and affiliated researchers.Papers issued in 2007 were included on the Social Science Research Network FinancialEconomics Network. To access the Swiss Finance Institute Research Paper Series, pleaseuse the following link: www.ssrn.com/link/swiss-finance-institute.htmlSwiss Finance Institute ResearchPaper Series 2008N°49Incomplete-Market Equilibria SolvedRecursively on an Event TreeBernard DUMAS, University ofLausanne, Swiss Finance Institute,NBER and CEPRAndrew LYASOFF, Boston UniversityN°48Sacred values in financial economicdecision-making: ExperimentalevidenceRajna GIBSON, University of Genevaand Swiss Finance InstituteCarmen TANNER, University ofZurichAlexander F. WAGNER, Universityof Zurich and Swiss FinanceInstituteN°47What do frictions mean for Q-theory testing?Maria Cecilia BUSTAMANTE,University of Lausanne and SwissFinance InstituteN°46The Dynamics of Going PublicMaria Cecilia BUSTAMANTE,University of Lausanne and SwissFinance InstituteN°45Assessing multivariate predictorsof financial market movements:A latent factor framework forordinal dataPhilippe HUBER, University ofGenevaOlivier SCAILLET, University ofGeneva, HEC and Swiss FinanceInstituteMaria-Pia VICTORIA-FESER, Universityof GenevaN°44Frailty Correlated DefaultDarrell DUFFIE, StanfordUniversityAndreas ECKNER, StanfordUniversityGuillaume HOREL, StanfordUniversityLeandro SAITA, Lehman BrothersN°43The Price of Protection: Derivatives,Default Risk, and MarginingRajna GIBSON, University ofGeneva and Swiss Finance InstituteCarsten MURAWSKI, The Universityof MelbourneN°42Testing for threshold effect inARFIMA models: Application toUS unemployment rate dataAmine LAHIANI, ESC-RennesSchool of Business and EconomiX,University of Paris 10 NanterreOlivier SCAILLET, Université deGenève HEC and Swiss FinanceInstituteN°41Strategies of Survival in DynamicAsset Market GamesRabah AMIR, University of ArizonaIgor V. EVSTIGNEEV, Universityof ManchesterLe XU, University ofManchesterN°40Asymmetric Information and AdverseSelection in Mauritian SlaveAuctionsGeorges DIONNE, HEC Montreal,CIRPEE and CIRRELTPascal ST-AMOUR, University ofLausanne, Swiss Finance Institute,CIRANO and CIRPEEDesire VENCATACHELLUM, AfricanDevelopment BankN°39Global Securitized Real EstateBenchmarks and PerformanceCamilo SERRANO, University ofGenevaMartin HOESLI, University of Geneva(HEC and SFI), University ofAberdeen and Bordeaux Ecole deManagementN°38Auctioned IPOs: The U.S. EvidenceFrançois DEGEORGE, Universityof Lugano and Swiss FinanceInstituteFrançois DERRIEN, HEC ParisKent L. WOMACK, Tuck School ofBusiness, Dartmouth CollegeN°37Hedge fund alphas: do they reflectmanagerial skills or mere compensationfor liquidity risk bearing?Rajna GIBSON, University of Genevaand Swiss Finance InstituteSongtao WANG, University of Zurich(PhD Candidate in Finance)and Swiss Finance InstituteN°36Learning about Beta: Time-Varying30

Factor Loadings, Expected Returns,and the Conditional CAPMFrancesco FRANZONI, University ofLugano and Swiss Finance InstituteTobias ADRIAN, Federal ReserveBank of New YorkN°35The Changing Nature of MarketRiskFrancesco FRANZONI, Universityof Lugano and Swiss FinanceInstituteN°34Constructing Long/Short Portfolioswith the Omega ratioManfred GILLI, University of Genevaand Swiss Finance InstituteEnrico SCHUMANN, University ofGenevaGiacomo DI TOLLO, University ofPescaraGerda CABEJ, University of GenevaN°33Look-Ahead Benchmark Bias inPortfolio Performance EvaluationGilles DANIEL, ETH ZurichDidier SORNETTE, ETH Zurichand Swiss Finance InstitutePeter WOHRMANN, University ofZurichN°32Bond Ladders and OptimalPortfoliosKenneth L. JUDD, StanfordUniversityFelix KUBLER, University of Zurichand Swiss Finance InstituteKarl SCHMEDDERS, University ofZurichN°31Asset Market Games of SurvivalRabah AMIR, University of ArizonaIgor V. EVSTIGNEEV, University ofManchesterKlaus Reiner SCHENK-HOPPE,University of LeedsN°30From Discrete to Continuous TimeEvolutionary Finance ModelsJan PALCZEWSKI, University ofLeeds and University of WarsawKlaus Reiner SCHENK-HOPPE,University of LeedsN°29Market Selection of Constant ProportionsInvestment Strategies inContinuous TimeJan PALCZEWSKI, University ofLeeds and University of WarsawKlaus Reiner SCHENK-HOPPE,University of LeedsN°28Bubbles and multiplicity of equilibriaunder portfolio constraintsJulien HUGONNIER, University ofLausanne and Swiss Finance InstituteN°27Are Securitized Real Estate Returnsmore Predictable than StockReturns?Martin HOESLI, University ofGeneva (HEC and Swiss FinanceInstitute), University of Aberdeen(Business School), Bordeaux Ecolede ManagementCamilo SERRANO, University ofGeneva (HEC)N°26Mutual Fund Competition in thePresence of Dynamic FlowsMichèle BRETON, CREF, GERADand HEC MontréalJulien HUGONNIER, Universityof Lausanne and Swiss FinanceInstituteTarek MASMOUDI, Caisse de dépôtet placement du Québec (CDPQ)N°25Mathematical basis of quantumdecision theoryVyacheslav I. YUKALOV, ETH Zürichand Bogolubov Laboratory ofTheoretical Physics, Joint Institutefor Nuclear ResearchDidier SORNETTE, ETH Zürichand Swiss Finance InstituteN°24Repo Markets, Counterparty Risk,and the 2007/2008 Liquidity CrisisChristian EWERHART, Universityof Zurich and NCCR FinriskJens TAPKING, European CentralBankN°23Incomplete Information, IdiosyncraticVolatility and Stock ReturnsTony BERRADA, University of Genevaand Swiss Finance InstituteJulien HUGONNIER, Universityof Lausanne and Swiss FinanceInstituteN°22Underinvestment Vs. Overinvestment:Evidence From Price ReactionsTo Pension ContributionsFrancesco FRANZONI, Universityof Lugano and Swiss FinanceInstituteN°21Determinants of the Block Premiumand of Private Benefits ofControlRui ALBUQUERQUE, BostonUniversity, CEPR and ECGIEnrique SCHROTH, Universityof Lausanne and Swiss FinanceInstituteN°20Valuing modularity as a real optionAndrea GAMBA, Departement ofEconomics, University of VeronaNicola FUSARI, University of Luganoand Swiss Finance InstituteN°19Ambiguity Aversion and the TermStructure of Interest RatesPatrick GAGLIARDINI, Universityof Lugano and Swiss FinanceInstitutePaolo PORCHIA,Swiss Institute forBanking and Finance, University ofSt. GallenFabio TROJANI, Swiss Institute forBanking and Finance, University ofSt. GallenN°18False Discoveries in Mutual FundPerformance: Measuring Luck inEstimated AlphasLaurent BARRAS, Swiss FinanceInstitute and Imperial College,Tanaka Business SchoolOlivier SCAILLET, University ofGeneva, HEC and Swiss FinanceInstituteRuss WERMERS, University ofMaryland, Robert H. Smith Schoolof Business31

N°17Distributed Optimisation of aPortfolio‘s OmegaManfred GILLI, Department ofEconometrics, University of Genevaand Swiss Finance InstituteEnrico SCHUMANN, Departmentof Econometrics, University ofGenevaN°16Endogenous versus exogenousorigins of financial rallies and crashesin an agent-based model withBayesian learning and imitationGeorges HARRAS, Departmentof Management, Technology andEconomics, ETH ZurichDidier SORNETTE, Departmentof Management, Technology andEconomics, ETH Zurich and SwissFinance InstituteN°15Anomalous Returns in a NeuralNetwork Equity-Ranking PredictorJeffrey SATINOVER, Laboratoirede Physique de la Matière Condensée,CNRS UMR6622 and Universitédes SciencesDidier SORNETTE, Departmentof Management, Technology andEconomics, ETH Zurich and SwissFinance InstituteN°14Evolutionary FinanceIgor V. EVSTIGNEEV, EconomicStudies, University of ManchesterThorsten HENS, Swiss BankingInstitute, University of ZurichKlaus REINER SCHENK-HOPPE,Leeds University Business Schooland School of Mathematics,University of LeedsN°13Executive Compensation and StockOptions: An Inconvenient TruthJean-Pierre DANTHINE, SwissFinance Institute, University ofLausanne and CEPRJohn B. DONALDSON, ColumbiaUniversityN°12A review of heuristic optimizationmethods in econometricsManfred GILLI, University of Genevaand Swiss Finance InstitutePeter WINKER, University ofGiessenN°11The executive turnover risk premiumFlorian S. PETERS, University ofZurich and University of Californiaat BerkeleyAlexander F. WAGNER, Universityof Zurich, Swiss Finance Instituteand Harvard UniversityN°10Constant-Quality House Price Indexesfor SwitzerlandSteven C. BOURASSA, Universityof Louisville, CEREBEM, BEM ManagementSchoolMartin HOESLI, University of Geneva,University of Aberdeen, CE-REBEM, BEM Management Schooland Swiss Finance InstituteDonato SCOGNAMIGLIO,AZI / CIFIPhilippe SORMANI, IAZI / CIFIN°9Cash Sub-additive Risk Measuresand Interest Rate AmbiguityNicole EL KAROUI, Ecole PolytechniqueClaudia RAVANELLI, Universityof ZurichN°8CHICAGO: A Fast and AccurateMethod for Portfolio RiskCalculationSimon A. BRODA, University ofZurich, Swiss Banking InstituteMarc S. PAOLELLA, University ofZurich, Swiss Banking InstituteN°7Capital growth under transactioncosts: An analysis based on the vonNeumann-Gale modelWael BAHSOUN, University ofManchesterIgor V. EVSTIGNEEV, Universityof ManchesterMichael I. TAKSAR, Universityof MissouriN°6Contemporaneous Aggregation ofGARCH Models and Evaluation ofthe Aggregation BiasEric JONDEAU, University of Lausanneand Swiss Finance InstituteN°5Technical Trading Revisited: PersistenceTests,Transaction Costs, andFalse DiscoveriesPierre BAJGROWICZ, University ofGenevaOlivier SCAILLET, University ofGeneva and Swiss Finance InstituteN°4Implied Volatility at ExpirationAlexey MEDVEDEV, PhD student,Swiss Finance Institute and Universityof GenevaN°3Nonparametric Instrumental VariableEstimators of Quantile StructuralEffectsVictor CHERNOZHUKOV, MassachusettsInstitute of TechnologyPatrick GAGLIARDINI, Universityof Lugano and Swiss FinanceInstituteOlivier SCAILLET, University ofGeneva and Swiss Finance InstituteN°2The Endogenous Price Dynamicsof the Emission Allowances: AnApplication to CO2 Option PricingMarc CHESNEY, University of Zurichand Swiss Finance InstituteLuca TASCHINI, University ofZurichN°1Predicting House Prices withSpatial Dependence: Impacts ofAlternative Submarket DefinitionsSteven C. BOURASSA, Universityof Louisville, School of Urban andPublic AffairsEva CANTONI, University of Geneva,Departement of EconometricsMartin HOESLI, University ofGeneva, HEC and Swiss FinanceInstitute32

Overview of courses offered in 2008by the Swiss Finance InstitutePrograms in Bank ManagementMarch 3 – 14, 2008• Master of Science in Wealth Management, Swiss Study BlockThe Swiss Finance Institute delivers the Swiss Study Block for this program of the Singapore ManagementUniversity and the Wealth Management Institute of Singapore. This part-time program develops high potentialPrivate Banking advisors and Asset Managers particularly for the Asian region.February 2008 – December 2008• Executive Program in Bank ManagementThe Executive Program combines solid knowledge and skills in management with practical know-how andinsight into the functioning of the financial sector. The 7-week course is spread over 16 months. This course isheld predominantly in German.February 2008 - November 2008• Advanced Executive ProgramThe Advanced Executive Program helps senior executives from financial and related sectors to strengthen theirmanagement competences, to broaden their factual knowledge and to promote integrated thinking with respectto the current dramatic trends in the financial sector. The course comprises 10 modules, each lasting two and ahalf days. The course is held predominantly in German.July 2008 - January 2009• Senior Management Program in BankingThe Senior Management Program (SMP) in Banking addresses the radical change in the international financialsector and provides senior executives from financial and related sectors with the opportunity to strengthentheir management competences, to extend their knowledge and to promote integrated thinking with respect tocurrent developments in the international financial sector. The course comprises 4 modules, which run between4 and 6 days and take place in Geneva, Madrid, London, and Warsaw.33

Programs in FinanceJuly 21 – August 22, 2008• Certificate in Financial Asset Management and Engineering (FAME)This 4+1-week immersion program offers intensive training in state-of-the-art techniques and practices of assetmanagement and financial engineering. Focusing on applications with a view to achieving in-depth understandingof modern finance, the program provides a certification that is unique for its breadth, compactness andintellectual stimulation.Seminars in Private BankingThe following seminars last 5 days each and are aimed at Executives from clearly targeted segments. They aretaught by a mixture of academics and senior practitioners.• International Private Banking and Wealth Management RetreatVarious academics and CEOs from Private Banking• International Wealth and Tax PlanningVarious academics and experts from Wealth PlanningSeminars in FinanceOur Geneva Executive Courses in Finance offer one of the most extensive and thorough overviews of majordevelopments in finance and bank management currently available. More than 20 different courses have beenoffered throughout the year 2008.Risk Management, Derivatives and Trading• Energy and Emission TradingMark Holder, James Kharouf, Peter Fusaro• Engineering Structured ProductsSalih Neftci• Integrated Risk ManagementRené Stulz• Essentials of Options, Futures and other DerivativesYacine Aït-Sahalia• Credit Risk & Credit Derivatives: Latest Theories & Best PracticesDidier Cossin• Using & Managing Inflation Linked Instruments & their DerivativesDavid Cox34

Asset Management• Private EquityPer Strömberg• Real Estate Investment and FinancingJörg Baumberger, Philippe Sormani, Martin Hoesli, Olivier Scaillet• Advanced Equity Portfolio Management IFrançois-Serge Lhabitant• Global Asset Allocation and Risk BudgetingPhilippe Jorion• Modern Fixed Income Markets: Relative Value, Arbitrage, Portfolio and Risk ManagementStephen Schaefer• Alternative Investments & Hedge FundsThomas Schneeweis, Giovanni Beliossi• Advanced Equity Portfolio Management IIG. Andrew Karolyi• Behavioral Finance and Investment StrategyWerner De BondtFinancial Modelling and Quantitative Methods• Financial Econometrics and ForecastingFrancis X. Diebold• Interest-Rate Models: Theory and Practical ApplicationsYacine Aït-Sahalia• Practical Solutions for Econometric Issues in Asset AllocationMichael Brandt• Advanced Mathematics of Derivatives and CreditsSalih Neftci• Exchange-Rate Economics and ForecastingRichard Levich• Implementing Quantitative Techniques for Financial MarketsDavid Cox• Volatility and Correlation: Practical Methods for Financial ApplicationsTim Bollerslev35

The Swiss Finance Institute gratefully acknowledges the precious supportof its founding members:36

ImpressumThe Swiss Finance Institute Activity Report is published once a year.A publication of the Swiss Finance Institute.Editor: Jean-Pierre Danthine.Contributors to this issue: Anita Belitz-Krasniqi, Theresia Büsser Stalder, Rebecca Frank.The Activity Report can be obtained free of charge from:Swiss Finance InstituteBd. du Pont d‘Arve 401211 Geneva 4 - SwitzerlandTel +41(0)22 379 84 71 - Fax +41(0)22 379 82 77www.SwissFinanceInstitute.ch - research@sfi.ch

Bd. du Pont d’Arve 401211 Geneva 4SwitzerlandT +41 22 379 84 71F +41 22 379 82 77research@sfi.chwww.SwissFinanceInstitute.ch