Paul Schneider

University of Lugano - Institute of Finance

Via Buffi 13

CH-6900 Lugano

Switzerland

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

SCHOLARLY PAPERS

25

DOWNLOADS
Rank 3,007

SSRN RANKINGS

Top 3,007

in Total Papers Downloads

15,728

SSRN CITATIONS
Rank 4,106

SSRN RANKINGS

Top 4,106

in Total Papers Citations

201

CROSSREF CITATIONS

129

Scholarly Papers (25)

1.
Downloads 3,646 ( 3,697)
Citation 42

Low Risk Anomalies?

Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 19-50
Number of pages: 113 Posted: 13 Apr 2015 Last Revised: 28 Sep 2019
Paul Schneider, Christian Wagner and Josef Zechner
University of Lugano - Institute of Finance, WU Vienna University of Economics and Business and Vienna University of Economics and Business
Downloads 2,861 (5,481)
Citation 29

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low risk anomaly, coskewness, skewness, risk premia, equity options

Low Risk Anomalies?

CFS Working Paper, No. 550
Number of pages: 71 Posted: 26 Oct 2016 Last Revised: 11 Jan 2018
Paul Schneider, Christian Wagner and Josef Zechner
University of Lugano - Institute of Finance, WU Vienna University of Economics and Business and Vienna University of Economics and Business
Downloads 785 (39,864)
Citation 7

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Low risk anomaly, skewness, credit risk, risk premia, equity options

2.
Downloads 2,364 ( 7,643)
Citation 30

The Skew Risk Premium in the Equity Index Market

Review of Financial Studies (2013), 26, 2174-2203, AFA 2011 Denver Meetings Paper, WBS Finance Group Research Paper No. 139
Number of pages: 34 Posted: 18 Mar 2010 Last Revised: 23 Dec 2019
Roman Kozhan, Anthony Neuberger and Paul Schneider
University of Warwick - Warwick Business School, City University London - Faculty of Finance and University of Lugano - Institute of Finance
Downloads 2,246 (8,126)
Citation 11

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skew risk premium, variance risk premium, index options

The Skew Risk Premium in the Equity Index Market

WBS Finance Group Research Paper No. 228
Number of pages: 34 Posted: 18 Feb 2015
Roman Kozhan, Anthony Neuberger and Paul Schneider
University of Warwick - Warwick Business School, City University London - Faculty of Finance and University of Lugano - Institute of Finance
Downloads 118 (298,880)
Citation 19

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3.

Fear Trading

Swiss Finance Institute Research Paper No. 15-03
Number of pages: 74 Posted: 30 Jan 2012 Last Revised: 03 Feb 2015
Paul Schneider and Fabio Trojani
University of Lugano - Institute of Finance and Swiss Finance Institute
Downloads 1,370 (18,182)
Citation 5

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Skew, Variance Swap, Realized Variance, Trading Strategy, Disaster, Robust, Jumps

4.

(Almost) Model-Free Recovery

Journal of Finance, Forthcoming
Number of pages: 102 Posted: 10 Aug 2015 Last Revised: 05 Jan 2018
Paul Schneider and Fabio Trojani
University of Lugano - Institute of Finance and Swiss Finance Institute
Downloads 969 (30,196)
Citation 21

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Pricing Kernel, Model-Free, Projection, Risk Premia, Moments, Recovery Theorem, Trading Strategy

5.
Downloads 860 ( 35,671)
Citation 34

Properties of Foreign Exchange Risk Premiums

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 86 Posted: 24 Aug 2009 Last Revised: 27 Apr 2016
Lucio Sarno, Paul Schneider and Christian Wagner
University of Cambridge - Judge Business School, University of Lugano - Institute of Finance and WU Vienna University of Economics and Business
Downloads 856 (35,357)

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term structure, exchange rates, forward bias, predictability

Properties of Foreign Exchange Risk Premiums

Number of pages: 89 Posted: 12 Aug 2011
Lucio Sarno, Paul Schneider and Christian Wagner
University of Cambridge - Judge Business School, University of Lugano - Institute of Finance and WU Vienna University of Economics and Business
Downloads 4 (804,346)
Citation 4
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exchange rates, forward bias, predictability, term structure

6.
Downloads 738 ( 43,985)
Citation 11

Generalized Risk Premia

Journal of Financial Economics (JFE), Forthcoming, Swiss Finance Institute Research Paper No. 14-29
Number of pages: 21 Posted: 27 Apr 2014 Last Revised: 08 Jan 2015
Paul Schneider
University of Lugano - Institute of Finance
Downloads 398 (94,108)

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Preference trading, pricing kernel, model risk, trading strategy, model-free, variance premium, equity premium, skew premium, kurtosis premium.

Generalized Risk Premia

Swiss Finance Institute Research Paper No. 14-29
Number of pages: 53 Posted: 14 Dec 2012 Last Revised: 14 Jul 2014
Paul Schneider
University of Lugano - Institute of Finance
Downloads 340 (112,687)
Citation 9

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Predictability, pricing kernel, model risk, trading strategy, model-free, variance premium, skew premium, kurtosispremium

7.

Density Approximations for Multivariate Affine Jump-Diffusion Processes

Swiss Finance Institute Research Paper No. 11-20
Number of pages: 42 Posted: 26 May 2011 Last Revised: 17 Mar 2013
Ecole Polytechnique Fédérale de Lausanne, University of Limerick - Department of Mathematics and Statistics and University of Lugano - Institute of Finance
Downloads 643 (52,818)
Citation 9

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Affine Processes, Asymptotic Expansion, Density Approximation, Orthogonal Polynomials

8.

An Anatomy of the Market Return

Swiss Finance Institute Research Paper No. 15-61
Number of pages: 75 Posted: 22 Oct 2015 Last Revised: 01 Apr 2018
Paul Schneider
University of Lugano - Institute of Finance
Downloads 632 (54,011)
Citation 11

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equity premium, model-free, risk aversion, skewness, signal processing

9.

The Economic Value of Predicting Bond Risk Premia

Number of pages: 77 Posted: 15 Feb 2012 Last Revised: 27 Apr 2016
Lucio Sarno, Paul Schneider and Christian Wagner
University of Cambridge - Judge Business School, University of Lugano - Institute of Finance and WU Vienna University of Economics and Business
Downloads 605 (57,045)
Citation 19

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term structure of interest rates, expectations hypothesis, affine models, risk premia, statistical predictability, economic value

10.

The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 60 Posted: 19 Mar 2008 Last Revised: 21 May 2009
Paul Schneider, Leopold Sögner and Tanja Veza
University of Lugano - Institute of Finance, Institute for Advanced Studies (IHS) and WU Vienna (Vienna University of Economics and Business)
Downloads 575 (60,799)
Citation 1

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credit default swaps, credit risk, loss given default, stochastic intensity, jump-diffusion, Markov chain Monte Carlo estimation

11.

Divergence and the Price of Uncertainty

Swiss Finance Institute Research Paper No. 15-60
Number of pages: 90 Posted: 25 Nov 2015
Paul Schneider and Fabio Trojani
University of Lugano - Institute of Finance and Swiss Finance Institute
Downloads 497 (72,976)
Citation 11

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divergence, risk premia, information theory, dispersion, options

12.

The Risk Microstructure of Corporate Bonds: A Case Study from the German Corporate Bond Market

EFA 2006 Zurich Meetings
Number of pages: 45 Posted: 27 Feb 2006 Last Revised: 15 Oct 2008
Manfred Frühwirth, Paul Schneider and Leopold Sögner
Vienna University of Economics and Business, University of Lugano - Institute of Finance and Institute for Advanced Studies (IHS)
Downloads 385 (98,647)

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Credit risk, Liquidity risk, Duffie/Singleton framework, Markov Chain Monte Carlo estimation, Density approximation

13.

Dispersion of Beliefs Bounds: Sentimental Recovery

Swiss Finance Institute Research Paper No. 19-57
Number of pages: 83 Posted: 31 Oct 2019 Last Revised: 07 Oct 2021
Altan Pazarbasi, Paul Schneider and Grigory Vilkov
Frankfurt School of Finance & Management, University of Lugano - Institute of Finance and Frankfurt School of Finance & Management
Downloads 356 (107,711)
Citation 1

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Recovery, sentiment, market views, agent heterogeneity, volatility trading, market spanning, disagreement, beliefs

14.

Bayesian Versus Maximum Likelihood Estimation of Term Structure Models Driven by Latent Diffusions

Number of pages: 9 Posted: 19 Aug 2005
Paul Schneider, Manfred Frühwirth and Leopold Sögner
University of Lugano - Institute of Finance, Vienna University of Economics and Business and Institute for Advanced Studies (IHS)
Downloads 348 (110,476)

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Estimation, Markov Chain Monte Carlo, maximum likelihood, latent diffusion

15.

Mispricing and Uncertainty in International Markets

Swiss Finance Institute Research Paper No. 21-14
Number of pages: 45 Posted: 16 Feb 2021 Last Revised: 10 Mar 2021
Mirela Sandulescu and Paul Schneider
University of Michigan, Ross School of Business and University of Lugano - Institute of Finance
Downloads 294 (132,604)

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stochastic discount factor, residual mispricing, financial uncertainty, exchange rates, machine learning.

16.

On the Nature of (Jump) Skewness Risk Premia

Swiss Finance Institute Research Paper No. 19-31
Number of pages: 73 Posted: 06 Jun 2019 Last Revised: 28 Jul 2021
Piotr Orłowski, Paul Schneider and Fabio Trojani
HEC Montréal, University of Lugano - Institute of Finance and Swiss Finance Institute
Downloads 282 (138,412)
Citation 2

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market crashes, jump risk premium, options, high-frequency data

17.

Option trading under uncertainty

Swiss Finance Institute Research Paper No. 18-02
Number of pages: 52 Posted: 18 Jan 2018 Last Revised: 06 Aug 2020
Paul Schneider
University of Lugano - Institute of Finance
Downloads 251 (155,841)

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uncertainty, option trading, ambiguity

18.

Empirical Asset Pricing with Nonlinear Risk Premia

Number of pages: 30 Posted: 01 Nov 2009 Last Revised: 02 Apr 2013
Aleksandar Mijatovic and Paul Schneider
Imperial College London and University of Lugano - Institute of Finance
Downloads 230 (169,572)
Citation 2

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risk premia, diffusion processes, forecasting

19.

Approximations of Transition Densities for Nonlinear Multivariate Diffusions with an Application to Dynamic Term Structure Models

Number of pages: 34 Posted: 21 Mar 2006
Paul Schneider
University of Lugano - Institute of Finance
Downloads 169 (224,069)
Citation 2

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Multivariate Nonlinear Diffusion, Estimation, MCMC

20.

Flexing the Default Barrier

Number of pages: 33 Posted: 16 Feb 2009
University of Augsburg - Department of Statistics and Mathematical Economic TheoryUniversity of Regensburg - Department of Finance, University of Lugano - Institute of Finance and WU Vienna (Vienna University of Economics and Business)
Downloads 141 (260,166)
Citation 5

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credit default swap, structural model, default boundary, the Green function, calibration

21.

Globally Optimal Parameter Estimates for Non-Linear Diffusions

Number of pages: 26 Posted: 19 Mar 2008 Last Revised: 14 May 2009
Aleksandar Mijatovic and Paul Schneider
Imperial College London and University of Lugano - Institute of Finance
Downloads 102 (328,959)

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Maximum likelihood, global optimization, non-linear diffusion, EM algorithm, estimation

22.

Constrained Polynomial Likelihood

Swiss Finance Institute Research Paper No. 21-45
Number of pages: 32 Posted: 24 May 2021 Last Revised: 12 Oct 2021
Caio Almeida and Paul Schneider
Princeton University and University of Lugano - Institute of Finance
Downloads 20 (648,936)

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Likelihood ratio, positive polynomial, Reproducing Kernel Hilbert Space (RKHS)

23.

Optimal Investment and Equilibrium Pricing under Ambiguity

Number of pages: 29 Posted: 24 Nov 2021
Michail Anthropelos and Paul Schneider
University of Piraeus - Department of Banking and Financial Management and University of Lugano - Institute of Finance
Downloads 14 (700,909)

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ambiguity,equilibrium,asset pricing

24.

The Risk Microstructure of Corporate Bonds: A Case Study from the German Corporate Bond Market

European Financial Management, Vol. 16, Issue 4, pp. 658-685, September 2010
Number of pages: 28 Posted: 24 Aug 2010
Manfred Frühwirth, Paul Schneider and Leopold Sögner
affiliation not provided to SSRN, University of Lugano - Institute of Finance and Institute for Advanced Studies (IHS)
Downloads 2 (789,095)
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25.

Sparse economic scenarios

Swiss Finance Institute Research Paper No. 19-17
Number of pages: 55 Posted: 22 Mar 2019
Paul Schneider
University of Lugano - Institute of Finance
Downloads 235

Abstract:

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options, dimension reduction, factor model, moment problem, scenario analysis, machine learning, RKHS