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Affiliation: University of Zurich
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Don't Rely on VaR 2004
Leippold, Markus
Belief that a single number can capture the degree of risk being taken within a bank or an investment is mistaken – especially when that number is val...
Quantile Estimation with Adaptive Importance Sampling 2007
Egloff, Daniel
Leippold, Markus
We introduce new quantile estimators with adaptive importancesampling. The adaptive estimators are based on weighted samplesthat are neither independe...
Optimal Importance Sampling for Credit Portfolios With Stochastic Approximation 2005
Egloff, Daniel
Leippold, Markus
Jöhri, Stephan
We introduce an adaptive importance sampling method for the loss distribution of creditportfolios based on the Robbins-Monro stochastic approximation ...
A Simple Model of Credit Contagion 2004
Egloff, Daniel
Leippold, Markus
Vanini, Paolo
We propose a simple and implementable model of credit contagion where we in- clude macro- and microstructural dependencies among the debtors within a ...
The Quantification of Operational Risk 2003
Leippold, Markus
Vanini, Paolo
We examine the quantification of operational risk for banks. We adopt a financial economics approach and interpret operational risk management as a me...
From Operational Risk to Operational Excellence 2003
Dobeli, Barbara
Leippold, Markus
Vanini, Paolo
In this paper operational risk is considered from a purely business or profitability point of view. We show for quantifiable operational risk that the...
Half as Many Cheers - The Multiplier Reviewed 2003
Leippold, Markus
Vanini, Paolo
The financial industry puts the Basle Committee under strain to align regulatory capital with economic capital. This could be reached by allowing mor...
Equilibrium Impact of Value-at-Risk 2003
Leippold, Markus
Trojani, Fabio
Vanini, Paolo
We study in a general perspective the partial equilibrium incentives and the general equilibrium asset pricing implications of Value-at-Risk (VaR) reg...
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