Dennis Schoeneborn, Leonhard Dobusch, Lessons in Fluidity: Anonymous and the Communicative Formation of Organizational Identity, In: UZH Business Working Paper, No. 335, 2013. (Working Paper)
Most research on organizational identity tends to take an essentialist perspective, differentiating between an identity construed internally by members of the organization and an image construed by external actors. However, the duality of identity and image struggles with capturing more fluid, open, or partial organizational arrangements, where it is difficult to uphold this distinction. Looking at the case of the hacker collective Anonymous as an extreme example of organization, this paper proposes to adopt a communicationcentered perspective in order to better understand the formation of organizational identity. Drawing on the emerging “communicative constitution of organizations” (CCO) framework, we transcend both an essentialist and a membercentered view by arguing that organizational identity is achieved through communicative events that demarcate the boundaries between actions attributed either to the organization or to the organizational environment. 

Markus Leippold, Lujing Su, Collateral Smile, In: Swiss Finance Institute Research Paper Series, No. 1151, 2013. (Working Paper)


Markus Leippold, Jürg Syz, The Trend is Your Friend: Absence of Pin Risk in Trend Options and Time Diversification, In: SSRN, No. 796070, 2005. (Working Paper)
Options whose payoff are linked to the trend of an underlying rather than to the underlying itself have many advantages, both for investors and hedgers. We describe the properties of trend options and show how the pin risk of these contracts is withdrawn. 

Markus Leippold, Daniel Egloff, Curdin Dalbert, Stephan Jöhri, Optimal Importance Sampling for Credit Portfolios with Stochastic Approximation, In: SSRN, No. 693441, 2005. (Working Paper)
We introduce an adaptive importance sampling method for the loss distribution of credit portfolios based on the RobbinsMonro stochastic approximation procedure. After presenting the subtle construction of the algorithm, we apply our adaptive scheme for calculating the risk figures of a typical mediumsized credit risk portfolio with 2000 obligors. Simulating the tail of the loss distribution, we can improve significantly the variance reduction and outperform other recently proposed importance sampling approaches that are based on deterministic methods providing asymptotically optimal importance sampling distributions. Furthermore, the simple structure of the algorithm not only allows a straightforward implementation, but also offers a lot of flexibility for extensions to more complex models. Therefore, our numerical results motivate interesting future research paths for the application of stochastic approximation methods in risk management. 

Markus Leippold, Fabio Trojani, Asset Pricing with Matrix Jump Diffusions, In: SSRN, No. 1274482, 2008. (Working Paper)
We introduce a new class of flexible and tractable matrix affine jumpdiffusions (AJD) to model multivariate sources of financial risk. We first provide a complete transform analysis of this model class, which opens a range of new potential applications to, e.g., multivariate option pricing with stochastic volatilities and correlations, fixedincome models with stochastically correlated default intensities, or multivariate dynamic portfolio choice with volatility and correlation jumps. We then study in more detail some of the new structural features of our modeling approach in two applications to option pricing and dynamic portfolio choice. First, we find that a threefactor matrix AJD model can generate variations of the implied volatility skew term structures that are largely unrelated to the level and composition of the spot volatility. This feature can allow the model to improve on benchmark AJD settings in reproducing the overall shape of the smile of equity index options. Second, we find that volatility and correlation jumps can imply an economically relevant intertemporal hedging demand in optimal dynamic portfolios, when jump intensities exhibit comovement with the returns’ covariance. 

Markus Leippold, Andreas Bloechlinger, Basile Maire, Are ratings the worst form of credit assessment apart from all the others?, In: Swiss Finance Institute Research Paper, No. 1209, 2013. (Working Paper)


Markus Leippold, Meriton Ibraimi, The Fundamental Theorem of Asset Pricing on Measurable Spaces under Uncertainty, In: SSRN, No. 2257882, 2013. (Working Paper)


Chris Bardgett, Elise Gourier, Markus Leippold, Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets, In: Swiss Finance Institute Research Paper, No. 1340, 2015. (Working Paper)


Laurent E Calvet, Adlai J Fisher, Markus Leippold, What's Beneath the Surface? Option Pricing with Multifrequency Latent States, In: HEC Paris Research Paper, No. 969/2013, 2013. (Working Paper)
We introduce a tractable class of nonaffine price processes with multifrequency stochastic volatility and jumps. The specications require few xed parameters and deliver fast option pricing. One key ingredient is a tight link between jumps and volatility regimes, as asset pricing theory suggests. Empirically, the model matches implied volatility surfaces and their dynamics without requiring parameter recalibration. A variety of metrics show improvements over traditional benchmarks in and outofsample. 

Markus Leippold, Don't Rely on VaR!, In: SSRN, No. 981134, 2004. (Working Paper)
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 value at risk. Markus Leippold explains why the measure is flawed, points to the dangers of its widespread acceptance by regulators and investors, and suggests an alternative. 

Andreas Hefti, Martin Grossmann, Lang Markus, Aggregative contests with heterogeneous agents, In: ISU working paper, No. 161, 2013. (Working Paper)


Gregor Philipp Reich, Divide and Conquer: A New Approach to Dynamic Discrete Choice with Serial Correlation, In: SSRN, No. ?, 2013. (Working Paper)
In this paper, we develop a method to efficiently estimate dynamic discrete choice models with AR(n) type serial correlation of the errors. First, to approximate the expected value function of the underlying dynamic problem, we use Gaussian quadrature, interpolation over an adaptively refined grid, and solve a potentially large nonlinear system of equations. Second, to evaluate the likelihood function, we decompose the integral over the unobserved state variables in the likelihood function into a series of lower dimensional integrals, and successively approximate them using Gaussian quadrature rules. Finally, we solve the maximum likelihood problem using a nested fixed point algorithm. We then apply this method to obtain point estimates of the parameters of the bus engine replacement model of Rust [Econometrica, 55 (5): 999–1033, (1987)]: First, we verify the algorithm's ability to recover the parameters of an artificial data set, and second, we estimate the model using the original data, finding significant serial correlation for some subsamples. 

Jacob Stromberg, Markus Leippold, TimeChanged Levy LIBOR Market Model for the Joint Estimation and Pricing of Caps and Swaptions, In: SFI Research Paper Series, No. 1223, 2012. (Working Paper)


Philipp Johannes Renner, Karl Schmedders, A polynomial optimization approach to principalagent problems, In: Swiss Finance Institute Research Paper, No. 1235, 2013. (Working Paper)
This paper presents a new method for the analysis of moral hazard principalagent problems. The new approach avoids the stringent assumptions on the distribution of outcomes made by the classical firstorder approach and instead only requires the agent's expected utility to be a rational function of the action. This assumption allows for a reformulation of the agent's utility maximization problem as an equivalent system of equations and inequalities. This reformulation in turn transforms the principal's utility maximization problem into a nonlinear program. Under the additional assumptions that the principal's expected utility is a polynomial and the agent's expected utility is rational in the wage, the final nonlinear program can be solved to global optimality. The paper also shows how to first approximate expected utility functions that are not rational by polynomials, so that the polynomial optimization approach can be applied to compute an approximate solution to nonpolynomial problems. Finally, the paper demonstrates that the polynomial optimization approach, unlike the classical approach, extends to principalagent models with multidimensional action sets. 

Johannes Brumm, Michael Grill, Felix Kübler, Karl Schmedders, Margin Regulation and Volatility, In: Swiss Finance Institute Research Paper, No. 1359, 2013. (Working Paper)
In this paper we examine the quantitative effects of margin regulation on volatility in asset markets. We consider a general equilibrium infinitehorizon economy with heterogeneous agents and collateral constraints. There are two assets in the economy which can be used as collateral for shortterm loans. For the first asset the margin requirement is exogenously regulated while the margin requirement for the second asset is determined endogenously. In our calibrated economy, the presence of collateral constraints leads to strong excess volatility. Thus, a regulation of margin requirements may have stabilizing effects. However, in line with the empirical evidence on margin regulation in U.S. stock markets, we show that changes in the regulation of one class of assets may have only small effects on these assets' return volatility if investors have access to another (unregulated) class of collateralizable assets to take up leverage. In contrast, a countercyclical margin regulation of all asset classes in the economy has a very strong dampening effect on asset return volatility. 

János Mayer, Thorsten Hens, Theory matters for financial advice!, In: NCCR FINRISK Working Paper, No. 866, 2013. (Working Paper)
We show that the optimal asset allocation for an investor depends crucially on the theory with which the investor is modeled. For the same market data and the same client data different theories lead to different portfolios. The market data we consider is standard asset allocation data. The client data is determined by a standard risk profiling question and the theories we apply are meanvariance analysis, expected utility analysis and cumulative prospect theory. 

Hanna Hottenrott, Cindy LopesBento, (International) R&D Collaboration and SMEs: The effectiveness of targeted public R&D support schemes. , In: ZEW Discussion Paper No. 12086, Mannheim; CEPS Working Paper No. 201236, EschsurAlzette, Luxembourg, No. 12086, 2013. (Working Paper)
This study analyses the impact and effectiveness of targeted public support for R&D investment at the firm level. We test whether the policy design aiming at incentivizing (international) collaboration and R&D in SMEs achieves input as well as output additionality. Our results show that the targeted public subsidies trigger R&D spending, especially so in internationally collaborating SMEs. We further evaluate the different impact of privately financed and publiclyinduced R&D investment on innovation performance. The results confirm that the publiclyinduced R&D is productive as it translates into marketable product innovations. While both types of R&D investments trigger significant output effects, the effect of policyinduced R&D investment on sales from market novelties is highest for international collaborators as well as for SMEs. 

Hanna Hottenrott, Cindy LopesBento, Quantity or Quality? Knowledge alliances and their effect on patents., In: ZEW Discussion Paper No. 12047, Mannheim, Germany; CEPS Working Paper No. 201229, EschsurAlzette, Luxembourg, No. 12047, 2013. (Working Paper)
This study shows for a large sample of R&Dactive manufacturing firms over the period 20002009 that knowledge alliances have a positive effect on patenting in terms of both quantity and quality. However, when distinguishing between alliances that aim at joint creation of new knowledge and alliances that aim at the exchange of knowledge, results suggest that creation alliances lead to more valuable patents as they receive significantly more forward citations per patent. Knowledge exchange alliances, on the other hand, are associated with patent quantity, but not quality. 

Dirk Czarnitzki, Cindy LopesBento, Innovation subsidies: Does the funding source matter for innovation intensity and performance? , In: ZEW Discussion Paper No. 11053, Mannheim, Germany; CEPS Working Paper No. 201142, EschsurAlzette, Luxembourg, No. 11053, 2013. (Working Paper)
In this paper we consider European and national funding for corporate innovation projects as heterogeneous treatments and analyze their effect on innovation input and output at the firm level. In terms of innovation input, we do not find evidence that one policy crowds out the effect of the other. Instead the policies are complements. In terms of output, we find that subsidy recipients are more active with respect to patenting. A citation analysis of patents reveals that the subsidy recipients file patents that are more valuable (in terms of forward citations) than those filed in the counterfactual situation of receiving no public support. These results suggest that public funding actually triggers socially beneficial research projects and that the coexistence of national and European policies does not lead to crowdingout effects when compared to a hypothetical world of a closed economy with no supplemental European policies. 

Stephan Nüesch, Delegation and value creation, In: University of Konstanz, Working Paper Series, No. 13, 2013. (Working Paper)
Many scholars argue that the delegation of decision rights to independent institutions promotes trust and specific investments. We test this conjecture with variations of the trust game in which the back transfer decision is delegated to a third party. A randomly chosen third party with a fixed payment induces larger investments over time although the experimental design rules out reputation building. Changes in the third party’s selection procedure eliminate this benefit. If the third party gets a reward for the appointment, delegation actually destroys trust. Investors (unwarrantedly) fear a diffusion of responsibility and lower back transfers in this case. 
