{"id":454,"date":"2020-06-15T15:30:59","date_gmt":"2020-06-15T15:30:59","guid":{"rendered":"http:\/\/manuelammann.ch\/?page_id=454"},"modified":"2023-09-12T10:06:21","modified_gmt":"2023-09-12T08:06:21","slug":"journals","status":"publish","type":"page","link":"http:\/\/manuelammann.ch\/de\/journals\/","title":{"rendered":"Journals"},"content":{"rendered":"<ul>\n<li><b>Pricing, Issuance Volume, and Design of Innovative Securities: The Role of Investor Information<\/b>, <a href=\"https:\/\/www.sciencedirect.com\/science\/article\/abs\/pii\/S1042957323000244?via%3Dihub\">Journal of Financial Intermediation 55, 2023<\/a>, <i>with<\/i><em><i> <\/i>Marc Arnold and Simon Straumann.<\/em><\/li>\n\n\n\n<li><b>Commodity Tail Risks<\/b>, <a href=\"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/fut.22381\">Journal of Futures Markets 43(2), 2023<\/a>, 168-197, <i>with<\/i><em><i> <\/i>Mathis M\u00f6rke, Marcel Prokopczuk, Christoph Matthias W\u00fcrsig.<\/em><\/li>\n\n\n\n<li><b>Credit Variance Risk Premiums<\/b>, <a href=\"https:\/\/onlinelibrary.wiley.com\/doi\/10.1111\/eufm.12394\">European Financial Management, 29, 2023, 1304-1335<\/a>, <i>with<\/i><em><i> <\/i>Mathis M\u00f6rke<\/em>.<\/li>\n\n\n\n<li><b>Do Individual Investors Trade on Investment-related Internet Postings?<\/b>, <a href=\"https:\/\/pubsonline.informs.org\/doi\/10.1287\/mnsc.2020.3733\">Management Science, 67(9), 2021, 5679-5702<\/a>, <i>with Nic Schaub<\/i>.<\/li>\n\n\n\n<li><strong>Factor Exposure Variation and Mutual Fund Performance<\/strong>, <a href=\"https:\/\/www.tandfonline.com\/doi\/full\/10.1080\/0015198X.2020.1809224\"><em>Financial Analysts Journal<\/em>, 76(4), 101-118, 2020<\/a>, <em>with Sebastian Fischer and Florian Weigert<\/em>.<\/li>\n\n\n\n<li><b>Robust Estimation of Risk-Neutral Moments<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1002\/fut.22020?af=R\" target=\"_blank\">Journal of Futures Markets, 39 (9), 2019, pp. 1137\u20131166<\/a>,  <i>with Alexander Feser<\/i>.<\/li>\n\n\n\n<li><b>Option-Implied Value-at-Risk and the Cross-Section of Stock Returns<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/link.springer.com\/article\/10.1007\/s11147-019-09154-z\" target=\"_blank\">Review of Derivatives Research, 22 (3), 2019, pp.  449-474 <\/a>,  <i>with Alexander Feser<\/i>.<\/li>\n\n\n\n<li><b>The Impact of the Morningstar Sustainability Rating on Mutual Fund Flows<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1111\/eufm.12181\" target=\"_blank\">European Financial Management, 25 (3), 2019, pp. 520-553<\/a>,  <i>with Christopher Bauer, Sebastian Fischer and Philipp M\u00fcller<\/i>.<\/li>\n\n\n\n<li><b>Announcement Effects of Contingent Convertible Securities: Evidence from the Global Banking Industry<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1111\/eufm.12092\" target=\"_blank\">European Financial Management, 23 (1), 2017, pp. 127-152<\/a>,  <i>with Kristian Blickle and Christian Ehmann<\/i>.<\/li>\n\n\n\n<li><b>Is Governance Related to Investment Performance and Asset Allocation? Empirical Evidence from Swiss Pension Funds<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/link.springer.com\/article\/10.1007\/BF03399510\" target=\"_blank\">Swiss Journal of Economics and Statistics, 153 (3), 2017, pp. 293-339<\/a>,  <i>with Christian Ehmann<\/i>.<\/li>\n\n\n\n<li><b>Characteristics-based Portfolio Choice with Leverage Constraints<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S0378426616300516\" target=\"_blank\">Journal of Banking and Finance, 70 (9), 2016, pp. 23-37<\/a>,  <i>with Guillaume Coqueret and Jan-Philip Schade<\/i>.<\/li>\n\n\n\n<li><b>Competing with Superstars<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/pubsonline.informs.org\/doi\/10.1287\/mnsc.2015.2266\" target=\"_blank\">Management Science, 62 (10), 2016, pp. 2842-2858<\/a>,  <i>with Philipp Horsch and David Oesch<\/i>.<\/li>\n\n\n\n<li><b>Do Newspaper Articles Predict Aggregate Stock Returns?<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/www.tandfonline.com\/doi\/full\/10.1080\/15427560.2014.941061\" target=\"_blank\">Journal of Behavioral Finance, 15 (3), 2014, pp. 195-213<\/a>,  <i>with Roman Frey and Michael Verhofen<\/i>.<\/li>\n\n\n\n<li><b>Hedge Fund Characteristics and Performance Persistence<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1111\/j.1468-036X.2010.00574.x\" target=\"_blank\">European Financial Management, 19 (2), 2013, pp. 209-250<\/a>,  <i>with Otto Huber and Markus Schmid<\/i>.<\/li>\n\n\n\n<li><b>Product Market Competition,  Corporate Governance, and Firm Value: Evidence from the EU-Area<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1111\/j.1468-036X.2010.00605.x\" target=\"_blank\">European Financial Management, 19 (3), 2013, pp. 452-469<\/a>,  <i>with Markus Schmid and David Oesch<\/i>.<\/li>\n\n\n\n<li><b>Variance Risk Premiums in Foreign Exchange Markets<\/b>, <a href=\"https:\/\/www.sciencedirect.com\/science\/article\/abs\/pii\/S0927539813000297\">Journal of Empirical Finance, 23, 2013, pp. 16-32<\/a>,  <i>with Ralf Buesser<\/i>.<\/li>\n\n\n\n<li><b>Disposition Effect and Mutual Fund Performance<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/www.tandfonline.com\/doi\/full\/10.1080\/09603107.2011.595676\" target=\"_blank\">Applied Financial Economics, 22 (1), 2012, pp. 1-19<\/a>,  <i>with Alexander Ising and Stephan Kessler<\/i>.<\/li>\n\n\n\n<li><b>An Alternative Three-factor Model for International Markets: Evidence from the European Monetary Union<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S0378426612000350\" target=\"_blank\">Journal of Banking and Finance, 36 (7), 2012, pp. 1857-1864<\/a>,  <i>with Sandro Odoni and David Oesch<\/i>.<\/li>\n\n\n\n<li><b>Is There Really No Conglomerate Discount?<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1111\/j.1468-5957.2011.02261.x\" target=\"_blank\">Journal of Business Finance and Accounting, 39 (1-2), 2012, pp. 264-288<\/a>,  <i>with Daniel Hoechle and Markus Schmid<\/i>.<\/li>\n\n\n\n<li><b>Demographic Change and Pharmaceuticals\u2019 Stock Returns<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1111\/j.1468-036X.2009.00521.x\" target=\"_blank\">European Financial Management, 17 (4), 2011, pp. 726-754 <\/a>,  <i>with Rachel Berchtold and Ralf Seiz<\/i>.<\/li>\n\n\n\n<li><b>Feasible Momentum Strategies in the US Stock Market<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/link.springer.com\/article\/10.1057%2Fjam.2010.22\" target=\"_blank\">Journal of Asset Management, 11 (6), 2011, pp. 362-374<\/a>,  <i>with Marcel M\u00f6llenbeck and Markus Schmid<\/i>.<\/li>\n\n\n\n<li><b>Corporate Governance and Firm Value: International Evidence<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S0927539810000757\" target=\"_blank\">Journal of Empirical Finance, 18 (1), 2011, pp. 36-55<\/a>,  <i>with David Oesch and Markus Schmid<\/i>.<\/li>\n\n\n\n<li><b>Has Hedge Fund alpha Disappeared?<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/www.joim.com\/article\/has-hedge-fund-alpha-disappeared\/\" target=\"_blank\">Journal of Investment Management, 9 (1), 2011, pp. 50-71<\/a>,  <i>with Otto Huber and Markus Schmid<\/i>.<\/li>\n\n\n\n<li><b>Performance and Governance of Swiss Pension Funds<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/www.cambridge.org\/core\/journals\/journal-of-pension-economics-and-finance\/article\/performance-and-governance-of-swiss-pension-funds\/D065FE2B0E568826666EF8D621F467B2\" target=\"_blank\">Journal of Pension Economics and Finance, 9 (1), 2010, pp. 95-128<\/a>,  <i>with Andreas Zingg<\/i>.<\/li>\n\n\n\n<li><b>What Drives the Performance of Convertible-Bond Funds? <\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S0378426610001779\" target=\"_blank\">Journal of Banking and Finance, 34 (11), 2010, pp. 2600-2613<\/a>,  <i>with Axel H Kind and Ralf Seiz<\/i>.<\/li>\n\n\n\n<li><b>The Impact of Prior Performance on the Risk-Taking of Mutual Fund Managers<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/link.springer.com\/article\/10.1007\/s10436-007-0093-z\" target=\"_blank\">Annals of Finance, 5 (1), 2009, pp. 69-90<\/a>,  <i>with Michael Verhofen<\/i>.<\/li>\n\n\n\n<li><b>Intra-Day Characteristics of Stock Price Crashes<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/www.tandfonline.com\/doi\/full\/10.1080\/09603100802481804\" target=\"_blank\">Applied Financial Economics, 19 (15), 2009, pp. 1239-1255<\/a>,  <i>with Stephan Kessler<\/i>.<\/li>\n\n\n\n<li><b>Asymmetric Dependence Patterns in Financial Time Series<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/www.tandfonline.com\/doi\/full\/10.1080\/13518470902853368\" target=\"_blank\">European Journal of Finance, 15 (7-8), 2009, pp. 703-719<\/a>,  <i>with Stephan S\u00fcss<\/i>.<\/li>\n\n\n\n<li><b>Implied and Realized Volatility in the Cross-Section of Equity Options<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/www.worldscientific.com\/doi\/abs\/10.1142\/S0219024909005440\" target=\"_blank\">International Journal of Theoretical and Applied Finance, 12 (6), 2009, pp. 1-21<\/a>,  <i>with David Skovmand and Michael Verhofen<\/i>.<\/li>\n\n\n\n<li><b>Do Implied Volatilities Predict Stock Returns?<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/link.springer.com\/article\/10.1057\/jam.2009.14\" target=\"_blank\">Journal of Asset Management, 10 (4), 2009, pp. 222-234<\/a>,  <i>with Stephan S\u00fcss and Michael Verhofen<\/i>.<\/li>\n\n\n\n<li><b>The Performance of Actively and Passively Managed Swiss Equity Funds<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/link.springer.com\/article\/10.1007\/BF03399273\" target=\"_blank\">Swiss Journal of Economics and Statistics, 1 (1), 2009, pp. 1-36<\/a>,  <i>with Michael Steiner<\/i>.<\/li>\n\n\n\n<li><b>Tactical Industry Allocation and Model Uncertainty<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1111\/j.1540-6288.2008.00194.x\" target=\"_blank\">Financial Review, 4382), 2008, pp. 273-302<\/a>,  <i>with Michael Verhofen<\/i>.<\/li>\n\n\n\n<li><b>Simulation-Based Pricing of Convertible Bonds<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S0927539807000618\" target=\"_blank\">Journal of Empirical Finance, 15 (2), 2008, pp. 310-331<\/a>,  <i>with Axel Kind and Christian Wilde<\/i>.<\/li>\n\n\n\n<li><b>Impact of Fund Size and Fund Flows on Hedge Fund Performance<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/jai.pm-research.com\/content\/11\/1\/78\" target=\"_blank\">Journal of Alternative Investments, 11 (1), 2008, pp. 78-96<\/a>,  <i>with Patrick Moerth<\/i>.<\/li>\n\n\n\n<li><b>Performance of Funds of Hedge Funds<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/jwm.pm-research.com\/content\/11\/1\/46\" target=\"_blank\">Journal of Wealth Management, 11 (1), 2008, pp. 46-63<\/a>,  <i>with Patrick Moerth<\/i>.<\/li>\n\n\n\n<li><b>Testing Conditional Asset Pricing Models Using a Markov Chain Monte Carlo Approach<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1111\/j.1468-036X.2007.00359.x\" target=\"_blank\">European Financial Management, 14 (3), 2008, pp. 391-418<\/a>,  <i>with Michael Verhofen<\/i>.<\/li>\n\n\n\n<li><b>Investment Performance of Swiss Pension Funds and Investment Foundations<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/link.springer.com\/article\/10.1007\/BF03399252\" target=\"_blank\">Swiss Journal of Economics and Statistics, 144 (2), 2008, pp. 153-195<\/a>,  <i>with Andreas Zingg<\/i>.<\/li>\n\n\n\n<li><b>Risk Factors for the Swiss Stock Market<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/link.springer.com\/article\/10.1007\/BF03399247\" target=\"_blank\">Swiss Journal of Economics and Statistics, 144 (1), 2008, pp. 1-35<\/a>,  <i>with Michael Steiner<\/i>.<\/li>\n\n\n\n<li><b>Die \u201eFair Value\u201c-Bewertung von Finanzinstrumenten Waren die Konditionen der UBS-Pflichtwandelanleihe fair?<\/b>, <a rel=\"noreferrer noopener\" href=\"http:\/\/vahlen.becksche.de\/asp\/e_admin\/zeitschriften\/upload\/irz_2008_07_8.pdf\" target=\"_blank\">Zeitschrift f\u00fcr Internationale Rechnungslegung, 8 (1), 2008, pp. 355-357<\/a>,  <i>with Ralf Seiz<\/i>.<\/li>\n\n\n\n<li><b>Prior Performance and Risk-Taking of Mutual Fund Managers: A Dynamic Bayesian Network Approach<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/www.tandfonline.com\/doi\/full\/10.1080\/15427560709337014\" target=\"_blank\">Journal of Behavioral Finance, 8 (1), 2007, pp. 20-32<\/a>,  <i>with Michael Verhofen<\/i>.<\/li>\n\n\n\n<li><b>The Effect of Market Regimes on Style Allocation<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/link.springer.com\/article\/10.1007\/s11408-006-0018-2\" target=\"_blank\">Financial Markets and Portfolio Management, 20 (3), 2006, pp. 309-337<\/a>,  <i>with Michael Verhofen<\/i>.<\/li>\n\n\n\n<li><b>The Conglomerate Discount: A New Explanation Based on Credit Risk<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/www.worldscientific.com\/doi\/abs\/10.1142\/S0219024906004025\" target=\"_blank\">International Journal of Theoretical and Applied Finance, 9 (8), 2006, pp. 1201-1214<\/a>,  <i>with Michael Verhofen<\/i>.<\/li>\n\n\n\n<li><b>Pricing and Hedging Mandatory Convertible Bonds<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/jod.pm-research.com\/content\/13\/3\/30\" target=\"_blank\">Journal of Derivatives, 13 (3), 2006, pp. 30-46<\/a>,  <i>with Ralf Seiz<\/i>.<\/li>\n\n\n\n<li><b>New Evidence on the Announcement Effect of Convertible and Exchangeable Bonds<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S1042444X05000423?via%3Dihub\" target=\"_blank\">Journal of Multinational Financial Management, 16 (1), 2006, pp. 43-63<\/a>,  <i>with Martin Fehr and Ralf Seiz<\/i>.<\/li>\n\n\n\n<li><b>Analyzing Active Investment Strategies<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/jpm.pm-research.com\/content\/33\/1\/56\" target=\"_blank\">Journal of Portfolio Management, 33 (1), 2006, pp. 56-67<\/a>,  <i>with Stephan Kessler and J\u00fcrg Tobler<\/i>.<\/li>\n\n\n\n<li><b>Nennwertr\u00fcckzahlungen am Schweizer Aktienmarkt und ihre Auswirkungen auf den Unternehmenswert<\/b>, <a href=\"https:\/\/sjes.springeropen.com\/\">Swiss Journal of Economics and Statistics, 142 (4), 2006, pp. 447-477<\/a>,  <i>with Ralf Seiz<\/i>.<\/li>\n\n\n\n<li><b>An IFRS 2 and FASB 123 (R) Compatible Model for the Valuation of Employee Stock Options<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/link.springer.com\/article\/10.1007\/s11408-005-6458-2\" target=\"_blank\">Financial Markets and Portfolio Management, 19 (4), 2005, pp. 381-396<\/a>,  <i>with Ralf Seiz<\/i>.<\/li>\n\n\n\n<li><b>Impact of Fund Size on Hedge Fund Performance<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/link.springer.com\/article\/10.1057\/palgrave.jam.2240177\" target=\"_blank\">Journal of Asset Management, 6 (3), 2005, pp. 219-238<\/a>,  <i>with Patrick Moerth<\/i>.<\/li>\n\n\n\n<li><b>Eigenschaften von Verwaltungsr\u00e4ten und Unternehmensperformance<\/b>, <a href=\"https:\/\/sjes.springeropen.com\/\">Swiss Journal of Economics and Statistics, 141 (1), 2005, pp. 1-22<\/a>,  <i>with Markus Leuenberger and Rico von Wyss<\/i>.<\/li>\n\n\n\n<li><b>Valuing Employee Stock Options: Does the Model Matter?<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/www.tandfonline.com\/doi\/abs\/10.2469\/faj.v60.n5.2654\" target=\"_blank\">Financial Analysts Journal, 60 (5), 2004, pp. 21-37<\/a>,  <i>with Ralf Seiz<\/i>.<\/li>\n\n\n\n<li><b>Information Processing on the Swiss Stock Market<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/link.springer.com\/article\/10.1007%2Fs11408-004-0303-x\" target=\"_blank\">Financial Markets and Portfolio Management, 18 (3), 2004, pp. 256-284<\/a>,  <i>with Stephan Kessler<\/i>.<\/li>\n\n\n\n<li><b>Performance Schweizerischer Verwaltungsr\u00e4te anhand der Aktienkursentwicklung<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/link.springer.com\/article\/10.1007%2Fs11408-003-0103-8\" target=\"_blank\">Financial Markets and Portfolio Management, 17 (1), 2003, pp. 43-75<\/a>,  <i>with Daniel Matti and Rico von Wyss<\/i>.<\/li>\n\n\n\n<li><b>Are Convertible Bonds Underpriced? An Analysis of the French Market<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S0378426601002564?via%3Dihub\" target=\"_blank\">Journal of Banking and Finance, 27 (4), 2003, pp. 635-653<\/a>,  <i>with Alexander Kind and Christian Wilde<\/i>.<\/li>\n\n\n\n<li><b>Tactical Asset Allocation mit genetischen Algorithmen<\/b>, <a href=\"https:\/\/sjes.springeropen.com\/\">Swiss Journal of Economics and Statistics, 139 (1), 2003, pp. 1-40<\/a>,  <i>with Christian Zenkner<\/i>.<\/li>\n\n\n\n<li><b>Return guarantees and portfolio allocation of pension funds<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/link.springer.com\/article\/10.1007%2Fs11408-003-0301-4\" target=\"_blank\">Financial Markets and Portfolio Management, 17 (3), 2003, pp. 277-283<\/a>,  .<\/li>\n\n\n\n<li><b>Relative Implied Volatility Arbitrage with Index Options<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/www.tandfonline.com\/doi\/abs\/10.2469\/faj.v58.n6.2485\" target=\"_blank\">Financial Analysts Journal, 58 (6), 2002, pp. 42-55<\/a>,  <i>with Silvan Herriger<\/i>.<\/li>\n\n\n\n<li><b>Performance Schweizerischer Anlagestiftungen<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/link.springer.com\/article\/10.1007\/s11408-002-0402-5\" target=\"_blank\">Financial Markets and Portfolio Management, 16 (4), 2002, pp. 446-466<\/a>,  <i>with Corinne H\u00e4ller and Rico von Wyss<\/i>.<\/li>\n\n\n\n<li><b>Tracking Error and Tactical Asset Allocation<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/www.tandfonline.com\/doi\/abs\/10.2469\/faj.v57.n2.2431\" target=\"_blank\">Financial Analysts Journal, 57 (2), 2001, pp. 32-43<\/a>,  <i>with Heinz Zimmermann<\/i>.<\/li>\n\n\n\n<li><b>VaR for Nonlinear Financial Assets: Linear Approximation or Full Monte Carlo?<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/link.springer.com\/article\/10.1007\/s11408-001-0306-9\" target=\"_blank\">Financial Markets and Portfolio Management, 15 (3), 2001, pp. 363-378<\/a>,  <i>with Christian Reich<\/i>.<\/li>\n\n\n\n<li><b>The Credit Model Risk of Interest-Rate Derivatives and Regulatory Implications<\/b>, <a rel=\"noreferrer noopener\" href=\"https:\/\/www.alexandria.unisg.ch\/12594\/1\/PubsAmmann2000CreditVaRDerivativesUseTradingRegulation.pdf\" target=\"_blank\">Derivatives Use Trading, 6 (3), 2000, pp. 217-229<\/a>,  <i>with Heinz Zimmermann<\/i>.<\/li>\n\n\n\n<li><b>Evaluating the long-term risk of equity investments in a portfolio insurance framework<\/b>, <a rel=\"noreferrer noopener\" href=\"http:\/\/dx.doi.org\/10.1111\/1468-0440.00074\" target=\"_blank\">Geneva Papers on Risk and Insurance, 25 (3), 2000, pp. 424-438<\/a>,  <i>with Heinz Zimmermann<\/i>.<\/li>\n\n\n\n<li><b>Portfolioabsicherung mit konstanter Indexpartizipation<\/b>, <a href=\"https:\/\/sjes.springeropen.com\/\">Schweizerische Zeitschrift f\u00fcr Volkswirtschaft und Statistik, 134 (4), 1998, pp. 499-526<\/a>,  <i>with Heinz Zimmermann<\/i>.<\/li>\n\n\n\n<li><b>Bemerkungen zum Zeithorizonteffekt<\/b>, <a href=\"https:\/\/www.springer.com\/journal\/11408\">Finanzmarkt und Portfolio Management, 11 (2), 1997, pp. 205-210<\/a>,  <i>with Heinz Zimmermann<\/i>.<\/li>\n<\/ul>","protected":false},"excerpt":{"rendered":"","protected":false},"author":1,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"","meta":{"_uag_custom_page_level_css":"","_lmt_disableupdate":"no","_lmt_disable":"","footnotes":""},"uagb_featured_image_src":{"full":false,"thumbnail":false,"medium":false,"medium_large":false,"large":false,"1536x1536":false,"2048x2048":false,"trp-custom-language-flag":false},"uagb_author_info":{"display_name":"Manuel Ammann","author_link":"http:\/\/manuelammann.ch\/de\/author\/mammann\/"},"uagb_comment_info":0,"uagb_excerpt":null,"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v15.7 - https:\/\/yoast.com\/wordpress\/plugins\/seo\/ -->\n<title>Homepage Prof. Manuel Ammann &ndash; 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