Quantitative Finance Director wins prize for outstanding research

Dr Markus Leippold, the director of the Centre for Quantitative Finance, has been awarded a prize for a presentation he delivered in March last year.

Since 1990 Inquire, a group of investment quantitative finance professionals has met twice a year to discuss new research.  Dr Leippold presented a paper entitled “Variance Risk Dynamics, Variance Risk Premia, and Optimal Variance Swap Investments” at the 2nd 2007 conference last October in Oslo.  Inquire's judges recently agreed that the presentation was worthy of the organization’s annual prize.

The paper reviews data from more than a decade of variance swaps – a bet based on the volatility in a given market - to examine the various influencing factors as well as proposing strategies for maximising returns with this type of financial product.

Andrew Rudd, Chairman of Inquire Europe’s Prize Committee said the paper was “truly outstanding and deserving of this recognition,” adding, “It’s the quality of research such as yours, which contributes so much to our organisation.”

The prize will be awarded in March at a dinner in Zurich.  Last year the Business School’s Andrea Buraschi collected a prize from Inquire Europe for his presentation on “Correlation risk and Optimal Portfolio Choice”.

Dr Leippold was appointed director of the Centre for Quantitative Finance last December, replacing Nicos Christofides who had been running the Centre for 17 years. Dr Leippold acknowledged the work of his predecessor and plans to build the Centre’s reputation through publication in prominent journals, whilst increasing contact with top City firms in the coming years.

The paper can be downloaded from:

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=903728

About Markus

Markus Leippold is a Senior Lecturer/Associate Professor in Finance at Tanaka Business School. Until 2007, he was an assistant professor at the Swiss Banking Institute of the University of Zurich.   In 2005, he was a visiting professor at the Federal Reserve Bank of New York. Prior to moving back to academia in 2002, he was working for Sungard, Trading and Risk Management Systems, and the Zurich Cantonal Bank. During his PhD studies, he was a research fellow at the Stern School of Business in New York. He obtained his PhD in financial economics from the University of St.Gallen, Switzerland, in 1999.

Markus' main research interests are term structure modelling, asset pricing, and risk management. He has published in several Journals such as Review of Financial Studies, Journal of Financial and Quantitative Analysis, Review of Finance, and Journal of Banking and Finance. In 2003, he and his colleagues were awarded by the German Finance Association with the best paper award for their paper on equilibrium impacts of Value-at-Risk regulation and with an achievement award from RISK for their paper on Operational Risk. In 2004, their research paper on credit contagion won the STOXX Gold Award at the annual conference of the European Financial Management Association. In 2006, they were awarded a research grant from INQUIRE Europe for their work on variance swaps.