Wegelin Managing Partner Otto Bruderer highlights trust at Executive Program graduation ceremony

The 70 graduates of the 2008 Executive Program assembled this afternoon to receive their diplomas, and to learn who had won this year's award for the best diploma thesis.

Dr Bruderer gave an erudite presentation on the importance of trust in banking based on his personal experiences before launching into a sure-footed description of interdisciplinary research, conducted by leading economist Ernst Fehr, on the neurobiological basis of trusting behaviour.

The Executive Program Alumni Prize went to Credit Suisse computer science expert René Keller for his research "Web 2.0 in Private Banking: The impact of Internet services on the client advisory process".

A graduate of the ETH computer science department, René has held various IT management positions and currently heads CS's IT Core Banking Solutions division. Last year, the Alumni prize went to Dr Haibo Wunderli-Ye for her research on wealth management in China.

Novel method to reveal true performance of US mutual funds

A highlight of this year's Annual Meeting was a presentation by Olivier Scaillet (pictured at the Meeting) on the application of false discovery rate (FDR) statistics to the estimation of mutual fund performance.

Scaillet uses FDR to reveal when good fund performance can be attributed to chance alone, and is therefore likely to deteriorate in the long term.

The Geneva-based faculty member of the SFI become interested in the application of FDR statistics to finance after attending a presentation by Berkeley statistician John Rice at a statistics conference in Brazil.

Though Rice applies the method to the detection of stellar occultations, Scaillet recognized the application to mutual fund selection when Rice stated:
We face the problem of searching for needles in a haystack when we do not know what the needles look like. How do we automate serendipity?

At this point on a Friday afternoon I am glad to entrust Scaillet to select the correct statistical test for this particular application.

The end result is that the private banking industry will benefit from an objective and relatively simple method to select wisely among the estimated 2100 US domestic mutual funds available to today's investor.

Forward look from Institute guest Professor Tom Cooley

What is the benefit of drawing upon academic research in the teaching of executive education? "Research is inherently forward looking and it is that inherent forward looking habit of mind that singles out a manager for success".

Dean Tom Cooley made these comments during a roadshow for the NYU Stern/Institute's new Executive MBA in Banking and Financial Institutions Management (EMBA), held today at Zurich's stylish Widder Hotel.

He and other representatives from the EMBA program Harry Hurzeler and Claudia Pfenniger offered answers to some pressing questions posed by the assembled graduate-level professionals in banking and finance.

"It is hard to imagine how someone can prepare to get to the next level in Management just by studying the way business is being done," said Professor Cooley. "If you do that alone you will always be backward looking".

Executive education programs that are embedded in strong research faculties, like the Swiss Finance Institute and NYU Stern School, enrich the conventional case study approach to business education with an academic basis that can better sustain a manager's career.

I will be reporting more from Professor Cooley and our other international guests in the coming weeks. For more information about the EMBA click here.

Third Annual Meeting assembles CEO's and top finance professors to reflect on solutions to financial instability

Tomorrow is the annual highlight in the Institute's knowledge transfer calendar with a day-long meeting that will assemble our faculty, invited academics from around the world, and special guests UBS Group CEO Marcel Rohner and NYU Dean Tom Cooley.

There's more information about the event here.

I will be reporting on the research presentations at the event shortly, including Professor Michael Brennan's presentation on agency and asset pricing, Olivier Scaillet's presentation on his work on false discoveries in US mutual fund manager performance and Amit Goyal's first major public presentation for the Institute since he took up his Senior Chair in August.

The image, above, shows Visiting Professor Darrell Duffie giving the plenary presentation at the Second Annual Meeting last year.

New challenges for Swiss market maker

As part of our regular Alumni Lunch meetings held at the elegant Zunfthaus to Saffran, the Institute had the honour of hearing a presentation by SIX Group CEO Urs Ruegsegger (pictured).

Dr Ruegsegger spoke about recent developments at SIX Group, the organization responsible for Switzerland’s financial market infrastructure. We will hold our Annual Meeting at the HQ of the SIX Group in Zurich next year.

Swiss Finance Institute Foundation Board member Philipp Halbherr was recently elected to the Board of Directors for the SIX Group AG, and I try to keep up to date with the Group's activities.

Reason and emotions in executive pay

Institute Director Jean-Pierre Danthine is presenting his research on executive compensation at the University of Amsterdam this afternoon. The research, performed jointly with John Donaldson of Columbia Business School, examines the "pay for luck" puzzle that is so much in the news these days.

Earlier, Swiss-based French-speaking press interviewed Professor Danthine about the work.

Two sides of the coin

Two events this week saw a keen audience assemble to discuss and hear the latest facts and research from the world of finance. First came the Swiss Finance Industry Seminar by Swiss National Bank (SNB) Board Member Thomas Jordan. Professor Jordan addressed a capacity audience of more than 220 people on Tuesday morning (photo) to talk about the SNB Transaction.

And yesterday FINRISK research project leaders gave an all day presentation on the current state of their research. I'll be posting on some of those presentations in the coming days, including an excellent presentation on neurofinance by Kerstin Preuschoff. Dr Preuschoff presented some very compelling evidence that the human brain encodes important financial concepts, including expected reward, in a systematic and predictable fashion.

Economics of uncertainty

The Swiss Finance Institute found its way into several recent media discussions in the midst of this extraordinary time for the field of finance. Among others, Institute managing director Professor Jean-Pierre Danthine and Professor Martin Hoesli gave interviews and the Institute cropped up in several discussions about the Swiss financial centre.

An expert of property finance, Martin Hoesli has advised governments and pension funds on how to assess risk adjusted returns in the real estate sector and brings an empirical eye to the housing market in Switzerland and abroad. His timely new book "Real estate investment - Decision and Risk Management" has just been published by Paris-based Economica.

Jean-Pierre Danthine has given numerous interviews for print and radio in recent weeks, most recently on the Swiss approach to supporting the financial system through research and education. The goal, according to Danthine, is to strengthen Europe's research culture in the field of finance to be commensurate with its economic significance internationally.

Geneva based daily Le Temps claims that research is acutely needed as ballast in the seas of economic uncertainty. And Zurich based Finanz und Wirtschaft believes that new initiatives such as the Swiss Finance Institute cannot come soon enough in a financial system seeking an alternative to the specific forms of intervention coming from Washington and Brussels.

Professor Michael Brennan presents wake up call on stock return bias

Early risers in Zurich were treated to an impressive research presentation by Professor Michael Brennan (left) this morning entitled "The Mispricing Return Premium".

The substantial size of the positive bias in stock prices estimated by Brennan's empirical study of NYSE, AMEX and Nasdaq data was all the more startling for the audience given the time-slot of the event: 7am at Zuercher Kantonalbank's gleaming offices in Zurich West.

Professor Emeritus at UCLA Anderson School and London Business School, Michael Brennan's research covers a broad topic range in finance and the Institute will see another facet of his current work when he presents on agency and asset pricing at our Annual Meeting in November.

The next seminar in the Swiss Finance Industry Seminar series, held on October 28th at 7am, will be given by Thomas Jordan, Member of the Governing Board of the Swiss National Bank and University of Berne. Professor Jordan's presentation is entitled Geldpolitik und Liquiditaet. Click here to register.

Also pictured: Didier Sornette (middle) and Paolo Vanini (right). Professor Vanini is director of knowledge transfer at the Swiss Finance Institute. The presentation was followed by a lively discussion from the assembled experts in banking and finance.

Financial market losses and research gains

Institute Foundation Board member Dr Philipp Halbherr addressed this year's newly minted graduates of the Master in Advanced Studies in Finance today with a positive take on the credit crisis, - at least from a research perspective!

Addressing the graduates, he explained that he did not wish to add to the sense of financial gloom, and wanted instead to encourage talented people to research financial systems. "The crisis will provide a rich body of data and experiences, giving us a new basis for risk management in the future".

Recently elected as representative of the cantonal banks on the Board of Directors for the SIX Group AG, Dr Halbherr is Head of Investment Banking, and a member of the Executive Board, at Zürcher Kantonalbank.

Countries must not go it alone in terms of banking laws and regulations

I have just attended the Swiss Bankers Association annual press conference, where Association Chairman Pierre Mirabaud spoke about the importance of the strong connections between Swiss banks for weathering financial turmoil.

Mirabaud was keen to emphasize the number of Swiss banks that are not directly affected by the liquidity problems that continue to grip the headlines. He saw a way forward for Switzerland's banking system based on agreed international regulation and cooperation. "Global crises cannot be solved or prevented on a national level," he explained.

Held at the Zurich's Hotel Savoy, the press conference was attended by journalists from throughout Europe and representing all the major agencies. Later in the day Mirabaud announced new elections to the board of the Swiss Bankers Association, including Swiss Finance Institute Foundation Board member Patrick Odier.

Institute's rising activity with Stern

The Institute went public about its joint program with NYU Stern School yesterday and the story was reported in FT.com here with a piece by FT Business Education Editor Della Bradshaw. Briefly, the new executive MBA in banking and financial institutions management will commence in August 2009 with residential modules taking place in New York, Zurich and Singapore.

From FT.com
"As researchers and educators, we must promote a greater understanding of the risks and opportunities confronting our financial institutions," says Thomas Cooley, dean of NYU Stern. "Future executives graduating from this programme will require broader and more integrated financial knowledge, and will need to know how to manage financial institutions in a global context".

The news also received excellent cover in the Swiss press, with reports in Finanz und Wirtschaft and Le Temps.

We are looking forward to hearing more from Dean Cooley at this year's Annual Meeting, where he will participate in a round table discussion about finance in the wake of the credit crisis.

Certificate FAME evening session with BCV Executive Board Member

The challenges and opportunities for universal banks offering wealth management services was a key theme in an evening session of CFAME held last Thursday during the final week of the Certificate program.

Participants heard a presentation by BCV Executive Board Member and head of wealth management Christopher Preston (photo, right), who demonstrated that success is not simply correlated with an institutions's size. Founded in 1845 to contribute towards the economic development of the Swiss Canton of Vaud, BCV has solidly outperformed the Swiss stock exchange Banks index during the past 5 years.

Mr Preston described how BCV met challenges such as increasing competition, regulation and client sophistication with a strategy of client focus, team work and an eye for performance.

Zurich credit crisis conference assembles researchers from Europe, US and Asia

Lending behaviour, securitization and credit rating practices will be the focus of an upcoming conference organized by the BSI Gamma Foundation in Zurich. "The Credit Crisis: Causes, effects and lessons", September 2nd, is jointly organized with Finrisk and the SFI and will be hosted at the Swiss Exchange convention center.

Researchers from the IMF, University of Chicago, Hong Kong University and the Bank of England will present their findings on the crisis that initially, or at least officially, started in 2007 as a problem in the US subprime mortgage market.

The picture shows the results of a google trends search for the terms "credit crisis" and "easy credit". I offer this picture lightly, of course. But it acts as a nice heuristic for the relatively recent recognition of the crisis, and even suggests a weak anti-correlation between the two terms. For a more substantial SFI posting on the credit crisis click here.

Click here to register for the conference (deadline is next Monday, August 25th). I will post a report shortly after the event. Note that the conference academic director René Stulz will stay on in Switzerland the following week to teach a week-long course in integrated risk management in Geneva.

Princeton Professor Shin kicks off Industry Seminars

Last Friday, the Institute staged the first of its new Swiss Finance Industry Seminars with a presentation by Princeton's Professor Hyun Song Shin, who described his research on understanding the credit crisis.

Professor Shin's views on the credit crisis have been published recently in the Washington Post and he had just spent the week participating at a conference held at Study Centre Gerzensee, near Berne.

Professor Shin focuses on three 'puzzles' associated with the crisis. Namely, Why the crisis apparently affects some markets but not others? How a financial problem ostensibly limited to a mere portion of the home mortgage market could come to assume such global financial significance? And finally, How is it that subprime credit risk came to be so concentrated among such sophisticated financial players as the major banks?

He points the finger at excessive leverage and the problems that can arise when financial intermediaries significantly raise leverage during booms and then attempt to lower their leverage during downturns.

When will the crisis end? Shin believes that perceptions of financial risks will not decline anytime soon. Conditions will remain as they are, he claims, until aggregate balance sheets decline, and new capital is raised, to ultimately arrive at a situation in which corporate balance sheets are adequately supported.

The next seminar in the series, held on October 7th at 7am, will be given by Michael Brennan, University of California and London Business School. Prof Brennan's presentation is entitled The mispricing return premium. Click here to register.

Midway to CFAME

Participants in the 2008 Certificate in Financial Asset Management and Engineering course (CFAME) have reached the mid point of the 5 week program this week with presentations on Market and Credit Risk Management.

Institute Senior Chair Erwan Morellec and Assistant Professor Tony Berrada presented the tools needed to size up the risks facing financial institutions large and small. Earlier in the week saw presentations by Olivier Scaillet, whose work on estimating outperformance among fund managers featured recently in the New York Times.

CFAME's Class of 2008 displays the international mix so characteristic of program, with two thirds of the class coming from outside Switzerland. I spoke with financial planner Philip Amery (pictured, right), who'd made the journey from Adelaide, Australia and medical graduate Ahmed Alsaleh, and learned about the opportunities available to numerically-savvy financial folks around the globe. Both saw great opportunities in these challenging times.

Very refreshing.

ETH Member of Institute gives lecture on parallels between financial crashes and disturbances in nature

Professor Didier Sornette (photo) presented insights into the workings of financial crises at a special presentation to ETH Alumni last Thursday evening.

Sornette, who is a member of the Swiss Finance Institute faculty, holds the ETH Chair of Entrepreneurial Risk at the Department of Management, Technology and Economics.
The Department is one of several ETH research departments involved in an agreement with the Swiss Finance Institute, signed last December, that enables selected ETH faculty to become affiliated with the Institute.

Originally trained in the physical sciences, Didier Sornette's ideas about financial crises appear regularly in the press. He recently commented on the involvement of Swiss banks in the credit crisis that continues to affect the stability of global financial markets.

Launch of the Senior Management Program in Geneva

Next week marks the official start of the Institute's new executive education offering, the Senior Management Program in Banking. The first study block of the program starts on Monday and takes place in Geneva at the Hotel de la Paix.

Patrick Odier, Managing Partner at Lombard Odier Darier Hentsch, will give the plenary lecture at a special opening event next Monday evening that is jointly hosted by Geneva Financial Center and the Swiss Finance Institute.

Held at Restaurant du Parc des Eaux Vives, Geneva, the invitation-only event will assemble banking director generals and CEOs from international banks and other leading financial service organizations.

Over the next 6 months, the 25 participants of the program will meet again in London, Frankfurt and Madrid where they will attend week-long study blocks on the latest strategic thinking in the banking industry.

The program will open on Monday morning with an introductory lecture by SFI Director of Executive Education Dr Harry Hurzeler (photo) and Program Director Dr Silvia Gerber.

Mathematician’s move to finance yields place at prestigious Duke University

More news of our doctoral graduates achieving the critical first rung on the finance faculty ladder as Lukas Schmid joins the Fuqua School of Business, Duke University.

With a background in pure mathematics from ETH Zurich, Lukas made the move to finance with a desire to apply quantitative methods to real-world problems. His research aims to integrate corporate finance and asset pricing literatures with a focus on quantitative aspects.

Lukas entered the job market at this year’s American Finance Association meeting in January following a similar path to Sébastien Michenaud, whom I mentioned in a previous posting.

At the Meeting, Lukas was invited for a staggering 38 interviews, which he managed to translate into 19 so-called “flyout offers”: invitations for on-campus interviews at top tier universities in Europe and North America.

I first met Lukas at the 2006 Doctoral Workshop just before he set off for a visiting scholarship at the Wharton School. He went on to win the 2007 Grandchamp prize for best PhD thesis.

Lukas completed his PhD at the University of Lausanne supervised by Professor Jean-Pierre Danthine.

He will take up his position at Duke on July 1.

Second opinions in finance at Gerzensee doctoral workshop

By day's end of the opening of the 2008 Gerzensee meeting, the busy meeting schedule saw 6 research presentations from faculty, 18 doctoral presentations, a meeting of the General Assembly and a plenary lecture by Felix Kubler on robust computational experiments in finance.

The focus of the 2 day event is the doctoral workshop. Students are encouraged to present relatively early drafts of their research, rather than work that is nearer to publication. Each early draft paper is distributed to a single student discussant and to a member of faculty that is not directly supervising the research.

Students are very positive about this arrangement. They gain a critical review of their research from a fellow student, and insights from faculty. These second opinions (this is how one student described the process) can bring focus to preliminary results and can identify blind spots in otherwise well made research plans.

I’ll be following up this post with posts about individual attendees at the meeting, including students and professors who presented their work, and from other finance researchers that assembled at Gerzensee during the these intense two days past.

There is a full photo gallery of the event posted here.

Photos courtesy of Adrian Wipf.

Annual research meeting opens at Gerzensee

During the next few days, students and faculty of the Swiss Finance Institute will assemble at Gerzensee Study Centre, near Bern, for an annual research workshop.

The two-day meeting is largely devoted to research presentations, but also features a general assembly meeting of the Swiss Finance Institute, and of Finrisk, the Swiss National Science Foundation’s research project on Financial Valuation and Risk Management.

An important part of the meeting is the Doctoral Workshop. Students of the SFI doctoral program present their research and receive feedback from fellow students and faculty.

The student presentations are much anticipated events. Each student will not only present their own work, but also make a presentation on the work of fellow students in the program.

Prizes are awarded for the best research presentation, and also for the best presentation on a fellow student’s work, the so-called “best discussant” award.

The photo shows the first group of students shortly after they arrived on Sunday evening.

Founded by the Swiss National Bank, the Gerzensee Study Centre is an education and training centre for central bankers and economists. Though only 18 minutes by train from Bern, the Centre offers a kind of isolated splendor with fantastic views of the Swiss Alps.

I will reporting on the event during the next few days.

Certificate FAME welcomes enrollees to the 2008 program

Organizers of the Certificate in Financial Asset Management and Engineering (CFAME) program would like to welcome participants in the 2008 program.

Program manager Laura Skerrett has been evaluating the applicants and is looking forward to the program getting underway on July 21st.

Last year's CFAME coincided with the onset of the global credit crisis, and participants enjoyed an expert narration of financial events as they unfolded. Participant Mohammed AlQatari commented, "When the subprime crisis started, we were studying credit default probabilities and CDS. It was tangible...".

You might be interested to visit the photo gallery of last year's program. The photo shown left was taken at the 2007 graduation event, held at the Olympic Museum Lausanne.

Automated trading and the doctoral work of former Zurich Stock Exchange CEO

Earlier, I mentioned that former Zurich Stock Exchange CEO Dr Richard Meier (pictured) had given an excellent presentation at the 2008 Zurich SFI Doctoral Dinner about the development of automated trading.

Dr Meier described his research as a finance doctoral student in the 1960s, a period when the finance industry began in earnest to harness computers in financial trading. As a doctoral student, Meier found himself writing an important report about the feasibility of automated trading.

His research was revealing that a key challenge for the development of automated trading was the cumbersome interface between man and machine. "The automated trading technologies seen later, in the 1980s, were the product of a lengthy period of development in the field of man-machine interaction," he said.

Globalization has also shaped the evolution of automated trading. As financial trading became more global, connecting traders at a global level came to be more important than sustaining the extremely high level of interconnectivity between traders at a local level, explained Meier.

"Automation became a necessity in this context, so globalization has really helped the development of automated trading", he said.

The next event on the SFI Doctoral calendar is the Swiss Doctoral Workshop in Finance, Study Centre Gerzensee, June 2-3 2008.

Institute-affiliated ETH Professor says response to banking crisis must apply across entire industry

ETH Professor Didier Sornette, a member of the Swiss Finance Institute, is interviewed in a recent news report (AFP) about the credit crisis and warns that actions to address such issues as subprime banking losses would necessitate wide-spread involvement of the international banking community.

"You can't blame Credit Suisse or UBS [only]... because they were playing the same game as the rest of the sector", he explained in the AFP interview published on April 26th.

These sentiments are echoed by Financial Times journalist Dr Haig Simonian in a news item on Swiss banking regulation published earlier last month. Swiss Federal Banking Commissioner Daniel Zuberbühler believes that the priority should be for regulators around the world to collectively learn lessons from the crisis.

Professor Sornette became a member of the Swiss Finance Institute following an agreement made last year between the Swiss Finance Institute and the Swiss Federal Institute of Technology (ETH), Zurich. His research focuses on the prediction of crises in complex systems.

2008 wealth and tax planning Retreat begins

Top finance experts from throughout Europe and beyond assembled this morning for the first day of the Swiss Finance Institute's International Wealth and Tax Planning Retreat in Lucerne, central Switzerland.

Participants in the 5 day residential seminar came to deepen their knowledge of international taxation and exchange experiences about serving the wealth management needs of high net worth individuals.

Leading the first day of the seminar was Marc-Etienne Pache (pictured, right), Partner at Oberson Avocats in Lausanne and Geneva. In the course of an interactive discussion with fellow Oberson tax expert Fouad Sayegh, Dr Pache detailed solutions for double taxation conflicts, including an up to the minute review of international wealth taxation law.

Later this week, the Retreat will hear presentations from various wealth and tax specialists including Dr. Kurt Moosmann, an expert in advising private entrepreneurs and business owners, and tax law polymath Philip Marcovici. CEO of Zurich-based LawInContext and Partner at Baker & McKenzie, Marcovici is an active member of the American and the Canadian bar association, and of the Canadian Tax Foundation in Switzerland.

Photograph courtesy of Adrian Wipf.

Professors predict changes in approach to risk management

Finance magazine Bilan interviewed Institute director Jean-Pierre Danthine (left) and visiting professor Darrell Duffie about the changes that we can expect to see in the management of financial risks.

Danthine predicts a two way evolution in which Bankers become more familiar with quantitative aspects of risk management, and Quants become better-versed in the economics and the social context in which banking is conducted.

Duffie emphasized that Swiss Banks were not alone in having misjudged the risks that have cost the financial sector so dearly.

Attempts by risk managers to persuade their employers to scale down risk, and with that scaling down, to reduce their profits, "would obviously not have been very well appreciated", said Duffie.

Barclays Wealth, London, is the destination for recent Zurich doctoral graduate

Preferring the conceptual diversity and lateral mindset of wealth management to a traditional role in asset management, recent graduate Dr Benoit Metayer has been appointed as an associate director at Barclays Wealth in London.

Benoit (pictured), whose doctoral work was supervised by Professor Rajna Gibson in Zurich, is now working in a team of 13 Quants. 'In order to serve clients, the team develops cutting-edge methods in four major areas - risk profiling, portfolio optimisation, machine learning and the pricing of structured products,' explained Benoit.

‘From a quantitative point of view, the role is really exciting as we often have to provide sophisticated solutions in a completely bespoke way’, he said, pointing out that his employer is taking a highly scientific approach to the investment process.

‘In the current context of difficult markets, Quants bring significant value by helping private bankers and advisors to deal with clients more actively, accurately and efficiently,' he said.

Zurich Doctoral Dinner 2008

Zurich members of the Swiss Finance Institute Doctoral Program met for their annual dinner last Tuesday, April 15th.

NCCR-Finrisk managing director Eckart Jaeger was MC for the event, held at the Restaurant zum Grünen Glas in the centre of Zurich's Altstadt (old town).

As you can see from the photo gallery of the event, there was lively discussion throughout the evening and a presentation by former CEO of the Zurich Stock Exchange, Dr Richard Meier, charting the history of automated trading in Switzerland. More on that later.

Eckart congratulated recent graduate Dr Leon Stacescu for his appointment to a faculty position at the BI/Norwegian School of Management in Oslo and presented the doctoral students with their new SFI business cards (photo).

Letter by Professor Barone-Adesi in Financial Times

The Financial Times has published a letter by SFI Professor Giovanni Barone-Adesi in the April 15th edition of the paper in which he comments that the ‘current debate on the adequacy of Basel II [should pay] more attention to incentives and education rather than to more regulation’.

Barone-Adesi’s comments follow recent statements by Basel II chairman Nout Wellink that banks should adopt more ‘forward looking approaches to assessing, managing and holding adequate capital for risks’.

Echoing Baroni-Adesi’s sentiments was another letter arguing that Wellink's statement reflects a ‘continued obsession with regulatory capital to the exclusion of a focus of what really goes wrong.’

Barone-Adesi calls for an improvement in ‘risk culture’, including better education for banking directors and managers in the complex risk measures proposed by the Basel II directive.

SFI managing director professor Danthine interviewed about UBS

Professor Jean-Pierre Danthine has given an interview with Philippe Gumy of Le Temps about news of further calls for external capital at the Swiss bank UBS.

He emphasized UBS's capital sufficiency, quoting Swiss Federal Banking Commission spokesperson Alain Bichsel that "Internationally, UBS is very well capitalized and far above the average".

Danthine highlighted the persistent mistrust between banks at the current time, and the impact that this is having on the functioning of interbank loans.

Indeed, Danthine believes that the level of interdependence between banks worldwide is a key issue. He spoke about how global regulators such as the Bank for International Settlements are actively considering this issue as they develop future policy on bank capital requirements.

International researchers meet to discuss finer points in quantitative finance

With presentations by researchers from England, Austria, Germany and France, as well as the major finance research centres in Switzerland, the Doctoral Quantitative Finance Day is a boutique international event for card-carrying Quants.

Doctoral students, finance faculty and financial practitioners arrived to fill a seminar room at the Swiss Banking Institute at 9:30 am on Saturday April 5th for the day long workshop.

The workshop is informal with 10 out of the 30 or so attendees making presentations on their own research. Powerpoint presentations are sprinkled with simulations run live from R-scripts and Mathematica.

The workshop is organized by doctoral student Miret Padovani, Swiss Banking Institute, and sponsored by NCCR Finrisk, the Swiss Structured Products Association and EFG Financial Products.

I've posted some pictures taken at the event here.

Lessons from the banking crisis

The Corriere del Ticino has published a commentary by Swiss Finance Institute Senior Chair in Finance Professor Giovanni Barone-Adesi, in which he describes the limitations of global banking regulation and how these limitations contribute to the ongoing turmoil in the world financial markets.

Barone-Adesi argues that risk management strategies tend to monitor risk rather than actually managing it. He explains that regulatory laws developed in a different era, designed for different purposes, fail to price the risks taken by our financial institutions.

"The architecture of the banking system, created with the best intentions after the Great Depression, is now showing cracks," writes Barone-Adesi.

Connections with UC Berkeley and beyond for Graduate of Zurich Doctoral Program

A discussion with a visiting researcher last summer ultimately led Florian Peters (pictured), who graduated from the Swiss Finance Institute doctoral program at the end of 2007, to follow up his doctoral research at the Department of Economics, University of California, Berkeley.

Florian's doctoral work had initially focused on so-called agency problems that arise when a company takes on significant debt. But more recently he shifted to another issue in corporate finance, namely executive compensation.

"My latest paper investigates whether part of the [rise in] CEO pay can be attributed to an increased risk of getting fired," explains Florian. Results from this work were included in a research presentation at the Swiss Finance Institute 2007 Annual Meeting.

A visit last summer to Zurich by UC Berkeley Assistant Professor Ulrike Malmendier marks the start of Florian's journey to the West Coast. Malmendier, who has published widely on the impact of senior executives on corporate decisions, advised Florian on his recent research work and invited him over to Berkeley earlier this year.

Florian will continue his research at UC Berkeley until the end of the year and start applying for US faculty positions in January 2009.

Singapore MSc in Wealth Management collaboration set to develop further

The Institute just issued a brief press release about the visit, during the first half of this month, of more than 50 graduate students from the Singapore Wealth Management Masters course.

During the visit I spoke with students and with two senior faculty from Singapore Management University.

I will be publishing interviews with Professors Francis Koh (pictured) and Annie Wee in the next edition of the Swiss Finance Institute newsletter, but one point deserves mention here and now.

On the final evening of the 2 week program, Professor Koh mentioned to me that he was keen to see the collaboration with the Institute develop further. Koh mentioned the possibility of a joint research collaboration with the Institute in the field of finance and wealth management.

This is an exciting development and you can be sure I will post news about this collaboration as it arrives. Watch this space!


Press release
Wealth Management Program Brings 52 Singapore Graduate Visitors to Swiss Finance Institute

Photos
Welcome photo gallery

Related postings
A night at the Rosengart Museum

Mutual Exchange of interests in Lucerne

Arrival of Singapore MSc in wealth management participants

Swiss Finance Institute Doctoral Prize Winner Chooses Freely Among Top North American Schools

The job market for academic positions in finance is focused on the annual American Finance Association meeting in January. Newly minted Finance PhDs use the conference, which was held this year in New Orleans, to meet face to face with potential employers.

Sébastien Michenaud was pleasantly surprised to receive a positive response to roughly half his applications. Indeed, he received so many interview offers he could narrow his sights and focus only on the very top Schools in the US and Europe.

Those interviews resulted in no fewer than 7 offers for assistant professorships in North America alone. Sébastien set out on a 4 week interview tour before finally choosing the Jones Graduate School of Management at Rice University in Houston.

How did he decide, given such a wide field of choice? "I preferred [the Rice offer] over the alternatives because of the young, dynamic faculty and the prestige of this small private university".

Last year, Sébastien won the Swiss Finance Institute Doctoral Prize for his work on the impact of financial analysts on corporate decision making. His doctoral work is supervised by Professor François Degeorge, Swiss Finance Institute Research Fellow and professor of Finance at the University of Lugano.

A night at the Rosengart museum

I joined our visitors from the Singapore Masters in Wealth Management faculty for their private tour of the Rosengart Collection, Lucerne, on Friday March 7th.

The collection of classic modernist artists includes 125 works by Paul Klee and more than 50 by Pablo Picasso, including a portrait of Rosengart Foundation Co-founder and President Angela Rosengart, painted by Picasso in 1964.

Tomorrow evening the students will hear a presentation entitled "Art as an investment" by UBS art investment expert and Managing Director, Head of Art Banking, Gold & Numismatics Dr. Karl Schweizer.

Arrival of Singapore Wealth Management MSc participants

Mutual exchange of interests in Lucerne

Mutual exchange of interests in Lucerne

The Swiss study block of the Singapore Masters in Wealth Management MSc is now well under way.

SFI Director of Executive Education Harry Hurzeler began the study block with a presentation on business and marketing strategies in wealth management.

Geoff Marsh of Dansam LTD is currently presenting on the client advisory process.

The students bring great enthusiasm. In addition to course work, they have already had to prepare group presentations and have evaluated and discussed these presentations.

The students have also been enjoying the elements. Snow falls during the middle of the week have turned Lucerne into the image of a traditional Swiss chocolate box.

As they enjoyed a brief outing into the snow during the afternoon coffee break yesterday, the students had a look of surprise that can only be experienced when one has been living in 30 degree heat and high humidity just days before.

This program is about mutual understanding. It is an opportunity to learn from one another and to discuss the demands of professional wealth management.

Arrival of Singapore Wealth Management MSc participants

Arrival of Singapore Wealth Management MSc participants

On March 2nd, more than 50 participants of the Singapore MSc in Wealth Management program arrived in Switzerland for a two week study block jointly organised by Singapore Management University, Singapore-based Wealth Management Institute and the Swiss Finance Institute.

Program Director Professor Francis Koh and Wealth Management Institute CEO Annie Wee have also made the journey to Lucerne, where most of the Swiss program will be held.

The visitors attended a welcome event (see picture) at the Lucerne Culture Centre (KKL) sponsored by Bank Julius Baer.

I'll be reporting on the visit throughout the next two weeks.

Accumulated wealth continues

McKinsey analysts Miklos Dietz, Robert Reibestein and Cornelius Walter recently published a forecast for the future fortunes of the banking industry, and predict further growth.

Despite recent corrections in the financial services sector, the authors believe an ongoing accumulation in wealth will double banking revenues and profits by 2016.

Banking outpaced the effusive energy sector in after tax profits in 2006 ($788B versus $617B).

My eyes are on the shift in the historical trend for global banking profits as a percentage of total corporate profits.

The 70s, 80s and early 90s drew the line at 6%, yet McKinsey's forecast sees a continuation of better times for banking, with a 9%+ share in global profits holding steady for the foreseeable future (insert).

The Economist mentions SFI Energy and Emission Trading Course

Economist.com refers to our new energy and emission trading course, part of the Geneva Executive Courses in Finance, in its monthly feature about News from the Schools.

"The emergence of markets for carbon-dioxide emissions, signalled by the European Union’s launch of an emissions-trading scheme in 2005, has resulted in a knock-on market for executive-education courses on the anticipated trade. ...Another notable emissions-trading programme is a four-day course at the Swiss Finance Institute"

The Swiss Finance Institute Energy and Emission Trading course was launched in January with a presentation by emissions trading expert Andrei Marcu.

Everybody needs good neighbours

Corriere del Ticino have published a letter by SFI Professor Giovanni Barone-Adesi about recent frictions between Germany and Liechtenstein.

Barone-Adesi comments that Germany's approach to obtaining bank account information from Liechtenstein will do nothing for neighbourly relations between the two countries.

Swiss banking in the balance

Weltwoche Economics Editor Claude Baumann discusses Switzerland's banking reputation in the wake of the UBS writedowns in a recent opinion piece.

Baumann is a frequent international commentator on Swiss banking. "Switzerland's banking tradition is about preserving and protecting wealth; it's not about doing deals," explained Baumann last year in the International Herald Tribune.

A pillar in Switzerland's banking pantheon, no one could have predicted that UBS was conducting its US investment banking activities with such imprudence as to lose 16 billion francs.

Baumann invites us to consider: Can a bank expect a second chance to deal with this kind of loss?

Financial Times on Swiss private banking prospects

Published: February 13 2008

Despite stormy headlines about US sub prime losses, the outlook for most of Switzerland's banks is bright; and even sunny for private banking.

So says Financial Times Haig Simonian in a piece published today in which he interviews Credit Suisse analyst Thomas Kalbermatten and Swiss Finance Institute Professor Giovanni Barone-Adesi (photo).

Net new money in private banking at Julius Baer grew by SFr12bn last year.

Barone-Adesi highlights deficiencies in risk management methods that allowed banks to over expand their US investment banking activities.

Permalink

Eric Sarasin interview about private banking

Executive Committee member of the Switzerland-Germany Chamber of Commerce, Eric Sarasin, discusses private banking in Switzerland in a recent interview published in the CH-D Chamber of Commerce journal.

Sarasin was special guest at the 20th Anniversary celebrations of the Swiss Finance Institute Executive Program on December 7th 2007 (photo). A graduate of the Executive Program, Sarasin is active in the promotion of Switzerland as a world-class competence centre in investment advice and asset management.

Visit the SFI photo-gallery of the 20th Anniversary celebrations.

Science to the rescue!

Radio Suisse Romande interview Jean-Pierre Danthine about the world's still panic-seized financial markets.

Must our financial markets be made simpler, or could sophisticated tools be developed to better manage the financial risks we face?

Quantitative finance, a discipline at the cross-roads between economics, mathematics and computer science, offers a powerful approach to understand financial markets and manage risk.

In the interview, Professor Danthine talks about Switzerland's moves to strengthen the quantitative skills of financial professionals.

Listen to the interview (French)

Deutsche Welle radio interview Darrell Duffie about UBS write-downs

Deutsche Welle radio will broadcast an interview of Visiting Professor Darrell Duffie (Stanford) today about the further write-downs at UBS.


Listen to interview (Deutsche Welle site)

Listen (Permalink)

SocGen employee causes market crash?

L'Hebdo interview SFI managing director Jean-Pierre Danthine is interviewed about whether financial products have become impossible to master.

With universities increasing their educational offerings in quantitative finance, Danthine believes there is hope that crises such as that seen at Societe Generale can be avoided in future.

IETA CEO inaugurates course on energy and emissions trading

Andrei Marcu, CEO of the International Emissions Trading Association, was special guest at the launch of the Institute's new course on energy and emissions trading (Tuesday January 29th).


Marcu spoke about using markets to deal with environmental scarcity. Markets offer flexibility, encourage innovation and create the possibility to monetize the transition to a low emissions economy.

According to Marcu, Finance has been late to the table in the development of emissions trading. In the past, the main drivers behind emission trading have been the companies involved in manufacturing and energy.

Likewise, traditional names in finance and executive education do not yet offer specialized training in emissions trading. Marcu congratulated the Institute for taking the initiative with the new emissions trading course, which will assemble energy and trading experts Mark Holder, James Kharouf and Peter Fusaro.

More than 50 people attended the inauguration event at the Swiss Finance Institute's new offices in 9 Rue de Gare.

Notable attendees included Michel Chevallier, Geneva State Head of Cabinet, senior representatives from Swiss and international banks, journalists from Le Temps and L'AGEFI, several Swiss Finance Institute professors and even a few hedge fund managers.

Our new Geneva office is accessible by low carbon public transport courtesy of Geneva main station, which is situated directly across the road.

So do drop in if you are in town!

(and for those further afield, visit our Gallery)

We will issue a press release about the event on February 6th.