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.