RAJNA GIBSON BRANDON

Transcription

1 RAJNA GIBSON BRANDON Professional Address Private Address Swiss Banking Institute Seegartenstrasse 61 University of Zurich CH-8810 Horgen, Switzerland Plattenstrasse 14 CH-8032 Zurich, Switzerland Tel: +41 (0) Tel: +41 (0) Fax: +41 (0) EDUCATION 1987 Ph.D., summa cum laude, Economic and Social Sciences (Specialization in Finance), University of Geneva, Switzerland Licence en Sciences Commerciales et Industrielles (Business Administration), University of Geneva, Switzerland Baccalaureat Type C, Collège du Léman, Versoix, Geneva, Switzerland. Languages : French, English, German, Croatian. ACADEMIC EXPERIENCE March Full Professor of Finance, Swiss Banking Institute, University of Zurich, and Honorary Professor at Ecole des HEC, University of Lausanne. Director of the National Centre of Competence in Research, Financial Valuation and Risk Management (FINRISK) since November Director of Research of the Swiss Finance Institute (SFI) since January Sept Full Professor of Finance, Ecole des HEC, University of Lausanne. March 2000 Since 1999, Director of the IBFM (Institute of Banking and Financial Management). From 1993 to 1997 Director of the MBF (Master in Banking and Finance). In , Director of the FAME (Financial Asset Management and Engineering) Research Program in Finance. Undergraduate Courses taught: Corporate Finance I and II, Financial Management, International Corporate Finance, Options and Futures, Investments. Graduate Courses : Options and Derivatives Instruments, Financial Theory. Feb Aug Assistant Professor of Finance, Groupe HEC, Jouy-en-Josas, France.

2 Courses taught : Capital Markets and Financial Risk Management, Options, Portfolio Management, Investments, Financial Management, and Special Seminar on the application of Option Pricing Theory to the investment selection process. Other Responsibilities: Follow-up of study fields and research dissertations of Master students; Member of the Committee in charge of reorganizing the finance courses of the MBA program at Groupe HEC; Member of the Committee in charge of recruiting students for the International Exchange Program of HEC. Oct Jan Sept Sept Postdoctoral Scholar, UCLA. Visiting Scholar, NYU. Funded by the Swiss National Science Foundation, researched on the pricing of real options and oil contigent claims (in collaboration with Professor Eduardo Schwartz, UCLA). Assistant in Finance, Department of Commercial and Industrial Sciences, University of Geneva, Geneva, Switzerland. This position was mainly dedicated to the research activity that led to my Ph.D. dissertation in Finance. Also taught seminars in Corporate Finance, Investments, and Financial Theory, as well as publications on bond portfolio performance measurement aimed at students and at the professional community. Summers Teaching Assistant at the Center of Monetary and Banking Studies, Geneva, Switzerland. COURSES CURRENTLY TAUGHT - Course on Real Options, Winter 07 - Financial Theory and Asset Pricing, Summer 07 (For the Doctoral programme in Finance and the Master of Advanced Studies in Finance). CURRENT RESEARCH INTERESTS Asset Pricing, Risk Management, Real Options, Financial Integration, Corporate Governance. PROFESSIONAL EXPERIENCE 1987 Created the financial and legal structure of Athina S.A., a Geneva-based numismatic corporation. March - June Part-time trainee in the trading, research, and institutional Portfolio Management 1983 departments of Lombard Odier & Cie. Summers Training in the trading and legal departments of an oil trading company based in Geneva.

3 REGULATORY BODIES January Dec January Dec Member of the Swiss Federal Banking Commission Member of the Swiss Takeover Board BOARD MEMBERSHIPS Member of the Board of Directors of Swiss Re since June PROFESSIONAL MEMBERSHIPS Member of the Scientific Council of the TCIP (Training Center for Investment Professionals), Bülach, Switzerland. ACADEMIC MEMBERSHIPS AFA (American Finance Association) EFA ( European Finance Association): President AFFI ( French Finance Association) EFMA (European Financial Management Association) EDITORIAL ACTIVITIES Occasional referee for the Journal of Banking and Finance, The Journal of Finance, The Journal of Financial & Quantitative Analysis, The Review of Financial Studies, The Review of Finance and Revue Finance. ACADEMIC HONORS Latsis Prize, 1988, for Ph.D. dissertation, «A Model for the pricing of Default-Free Callable Bonds: The Case of Swiss Government Bonds». Greenwich Capital Markets Investments Prize, 1990, for the paper, «Stochastic Convenience Yield and the Pricing of Oil Contingent Claims», The Journal of Finance, Vol.45, No. 3, 1990, (co-authored with Eduardo Schwartz.) Iddó Sarnat Prize, 1990, awarded jointly by the European Finance Association and the Journal of Banking and Finance for the best paper published every year in that journal. It awards the article: «Valuing Swiss Default-Free Callable Bonds: Theory and Empirical Evidence». Journal of Banking and Finance, Vol. 14, 1990.

4 The Finance Award of the Year 1995, for her research on option pricing theory and the creation of the Master in Banking and Finance (MBF) at Ecole des HEC, University of Lausanne. This price was awarded by the Finance Symposium of Interlaken. The SWX Best Paper Award 2004, for the paper titled: Stock Market Performance and the Term Structure of Credit Spreads (in collaboration with A. Demchuk) presented at the 7 th SGF Conference: Financial Markets and Portfolio Management and published in the Journal of Financial and Quantitative Analysis, RAJNA GIBSON RESEARCH AND PUBLICATIONS BOOKS Model Risk: Concepts, Calibration and Pricing., edited by Rajna Gibson for Risk Books, London Obligations et Clauses Optionnelles: Principes d Evaluation. Paris: Presses Universitaires de France, Collection Finance, Option Valuation: Analyzing and Pricing Standardized Option Contracts. New York: McGraw-Hill, L Evaluation des Options, Presses Universitaires de France. Paris, ARTICLES Les Modèles d Equilibre de la Structure des Taux d Intérêt: Un Essai de Synthèse, Finance, Vol. 8, No. 2, Stochastic Convenience Yield and the Pricing of Oil Contingent Claims, Journal of Finance, Vol. 45, Nr. 3, July 1990, pp (in collaboration with Eduardo Schwartz). Valuing Swiss Default-Free Callable Bonds: Theory and Empirical Evidence, Journal of Banking and Finance, Vol. 14, 1990, pp Valuation of Long-Term Oil-Linked Assets, in Stochastic Models and Option prices: Applications to Resources, Environment and Investment Problems, Diderick Lund, et North Holland, 1991 (in collaboration with Eduardo Schwartz). The Pricing of Crude Oil Futures Options Contracts, Advances in Futures and Options Research, 1993, pp (in collaboration with Eduardo Schwartz). Analytical Solution for the Pricing of American Bond and Yield Options, Mathematical Finance, 1993, Vol. 3, Nr. 3, July, pp , (in collaboration with Marc Chesney and R.J. Elliott). The Impact of Investment Contraints on Portfolio Performance Measurement: The Power Utility Function Case, The Financial Review, 1995, Vol. 30, Nr.2, May, pp (in collaboration with Nils Tuchschmid).

5 Arbitrage Trading and Index Option Pricing at Soffex: An Empirical Study Using Daily and Intradaily Data, Finanzmarkt und Portfolio Management, 1995, Vol. 9, Nr. 1, pp (in collaboration with Marc Chesney and Henri Loubergé). State Space Symmetry and Two Factor Option Pricing Models, Advances in Futures and Options Research, 1995, Vol. 8, (in collaboration with Marc Chesney). Analyzing and Monitoring Derivatives Risk: An Economic Perspective, Derivatives Use, Trading and Regulation, Vol. 2, Nr. 1, 1996, (in collaboration with H. Zimmermann). Analyzing and Monitoring Derivatives Risks - Part 2, Derivatives Use, Trading and Regulation, Vol. 2, Nr. 2, 1996, (in collaboration with H. Zimmermann). Dual Class Shares Firms and Seasoned Equity Offerings: Empirical Evidence From the Swiss Stock Market, Advances in Finance, Investment and Banking Series, volume: Empirical Issues in Raising Equity Capital, edited by Mario Levis, North-Holland, pp , 1996, (in collaboration with B. Caramanolis and N. Tuchschmid). Long Term Options on the Swiss Market Index and Portfolio Insurance Strategies, Derivatives Quarterly, Vol. 3, Nr. 1, 1996, (in collaboration with H. Zimmermann and S. Tolle). Risiko Kontrolle und Regulierung der Derivativen Finanzmarkte aus Ökonomischer Sicht, Revue de Droit Suisse, Band. 137, 1996, (in collaboration with H. Zimmermann). A Comment on «Derivatives and Privatisation, Evidence from the Telecommunications Industry in Europe and Implications for Switzerland, written by W. Wasserfallen and St. Müller, in Economic Policy in Switzerland, edited by Ph. Bacchetta and W. Wasserfallen, MacMillan Press LTD, London, Are Liquidity and Corporate Control Priced by Shareholders? Empirical Evidence From the Swiss Dual Class Shares, Journal of Corporate Finance, Vol. 3, 1997, pp , (in collaboration with L. Gardiol and N. Tuchschmid). Forecasting Stock Market Volatility : Does History Matter?, European Financial Management, Vol. 4, Nr. 3, pp , November 1998 (in collaboration with K. Adjaoute and M. Bruand). Options, Futures and Stock Market Interactions : Empirical Evidence From the Swiss Stock Market, Review of Derivatives Research, Vol. 2, Nr. 1, pp , 1998 (in collaboration with M. Bruand). Interest Rate Model Risk in Asset and Liability Management : A Synthesis, edited by Risk Books, 1998 (in collaboration with François-Serge Lhabitant, Nathalie Pistre and Denis Talay). The Investment Policy and the Pricing of Equity in a Levered Firm : A Reexamination of the Contingent Claims Valuation Approach», (in collaboration with M. Chesney), European Financial Journal, 5, , A Theoretical Analysis of the Liquidity Risk Premium Embedded in the Prices of Voting and Non-Voting Stocks, (in collaboration with N. Beiner), Journal of Corporate Finance, pp , Interest Rate Risk : An Overview, Journal of Risk, Vol. 1, Nr. 3, pp , 1999 (in collaboration with F.-S Lhabitant, N. Pistre and D. Talay). Are Investors sensitive to the Quality and the disclosure of Financial Statements?, European Finance Review, vol. 3, no. 2, pp , 1999 (in collaboration with B. Caramanolis, L. Gardiol and N. Tuchschmid).

6 Rethinking The Quality of Risk Management Disclosure, Derivatives Use, Trading and Regulation, vol. 5, no. 3, pp , A Large Deviation Approach to Portfolio Management, International Journal of Theoretical & Applied Finance, vol. 3, no. 4, pp , (in collaboration with P.-A. Bares, R. Cont, L. Gardiol and S. Gyger). Recovery Risk in Stock Returns, Journal of Portfolio Management, vol. 27, no. 2, pp , Fall (in collaboration with A. Agkun). Do Newly Listed Derivatives Affect the Market Risk Premia in a Thin Stock Market?, European Finance Review, vol. 4, pp , (in collaboration with N. Clerc). Volatility Model Risk Measurement Against Worst Case Volatilities, Journal de la Société Française de Statistique, tome 141, no. 1-2, (in collaboration with M. Bossy, F.-S. Lhabitant, N. Pistre, D. Talay and Z. Zheng). Reducing Asset Substitution with Warrant and Convertible Debt Issues, The Journal of Derivatives, vol. 9, no. 1, pp , Fall (in collaboration with M. Chesney). The Pricing of Systematic Liquidity Risk: Empirical Evidence from the US Stock Market, Journal of Banking and Finance, 1-74, (in collaboration with N. Mougeot). Performance in the Hedge Funds Industry: An Analysis of Short and Long-Term Persistence, The Journal of Alternative Investments 6 (3), (in collaboration with P.-A. Barès and S. Gyger). Analyzing Firms Strategic Investment Decisions in a Real Options Framework, Journal of International Financial Markets, Institutions & Money, 1-29, (in collaboration with P. Botteron and M. Chesney). Technical Analysis Techniques versus Mathematical Models: Boundaries of their Validity Domains, Monte- Carlo and Quasi-Monte Carlo Methods 2004, edited by Niederreiter Harald and Talay Denis, Springer Verlag, Berlin, (in collaboration with E. Tanré, C. Blanchet-Scaillet, A. Diop and D. Talay). Stock Market Performance and the Term Structure of Credit Spreads, Journal of Financial and Quantitative Analysis, vol. 1, no. 4, December (in collaboration with A. Demchuk). Technical Analysis Compared to Mathematical Models Based Methods under Parameters Mis-Specification, (shorter version of NCCR FINRISK Working Paper No. 253), forthcoming in The Journal of Banking and Finance, (in collaboration with C. Blanchet-Scaillet, A. Diop, D. Talay and E. Tanré). The Style Consistency of Hedge Funds, Special Issue on Hedge Funds, European Financial Management, vol. 13, no. 2, (in collaboration with and S. Gyger). Model Risk for European-Style Stock Index Options, The Journal IEEE Transactions on Neural Networks, vol. 18, no. 1, January (in collaboration with R. Gencay). Model Misspecification Analysis for Bond Options and Markovian Hedging Strategies, The Review of Derivatives Research, forthcoming (in collaboration with M. Bossy, F.-S. Lhabitant, N. Pistre and D. Talay). Financial Intergration, Economic Instability And Trade Structure in Emerging Markets, Journal of International Money and Finance, forthcoming (in collaboration with A. Chambet)

7 WORKING PAPERS «Volatilité du Cours des Obligations et Duration», Etudes et Recherches en Finance, Université de Genève, 1983/2 (in collaboration with P.-A. Dumont). «La Mesure de la Rentabilité Ex Post d un Portefeuillle Obligataire», Etudes et Recherches en Finance, Université de Genève, 1983/1 (in collaboration with A. Bender). «Rendement à l Echéance, Structure des Taux et Effets du Coupon», Etudes et Recherches en Finance, Université de Genève, 1983/1 (in collaboration with A. Bender). «La Théorie de l Immunisation», Etudes et Recherches en Finance, Université de Genève, 1984/2 (in collaboration with P.-A. Dumont). «Apports de Modèles d Arbitrage à la Détermination de la Structure des Taux d Intérêt et à la Gestion du Risque Systématique», Etudes et Recherches en Finance, Université de Genève, 1985/1. «Conception et Spécification d une Base de Données Pour l Analyse du Marché Obligatoire Suisse», Base de Données Boursières de l Université de Genève, Faculté des Sciences et Economiques et Sociales, Genève, 1986 (en collaboration avec P.-A. Dumont et J.-J. Snella). «L Evaluation des Options sur Indice en Univers non Stationnaire», Cahier de Recherche, Université de Genève, Département d Economie Politique, mai 1993 (en collaboration avec M. Chesney et H. Loubergé). «Modeling the Term Structure of Interest Rates : A Review of the Literature», Working Paper Nr. 9801, Ecole des HEC, Lausanne University, April 1998 (in collaboration with F.-S. Lhabitant and D. Talay). «The Determinants and Effects of Voluntary Versus Market driven Disclosure Policies in Switzerland», Working Paper, Ecole des HEC. Lausanne University, First draft 1998, last revision January 2000 (in collaboration with P. Tamburini and N.S. Tuchschmid). «Systematic Credit Risk and Asset Pricing: Empirical Study on the US Stock Market», Working Paper, University of Zurich, January (in collaboration with T. Berrada and N. Mougeot). Financial Integration And Domestic Sovereignty In European Stock Markets, NCCR Working Paper, IP 2, No. 28, (in collaboration with A. Chambet). The Pricing of Interest Rate and Credit Risks in Equity Returns: An Empirical Cross-Country Comparison, NCCR Working Paper, IP 2, No. 183, (in collaboration with A. Chambet). Sovereign Borrowing and Yield Spreads, Working Paper, University of Zurich, latest revised version September 2005 (in collaboration with S. Sundaresan). «Hedge Funds Portfolios under Liquidation Risk and Investment Constraints», (originally NCCR Working Paper, IP 2, No. 13), latest revision, September (in collaboration with S. Gyger). Stock Options and Managers Incentives to Cheat, NCCR Working Paper, IP 2, No. 184, latest version March (in collaboration with M. Chesney). The Price of Protection: Derivatives, Default Risk, and Margining, NCCR FINRISK Working Paper Series, No. 255, revised (in collaboration with C. Murawski).

8 Why Have Exchange-Traded Catastrophe Instruments Failed to Displace Reinsurance?, NCCR FINRISK Working Paper Series, No. 371, (in collaboration with M. Habib and A. Ziegler). Ph.D. DISSERTATION «Un Modèle d Evaluation en Univers Incertain des Obligations Assorties d une Clause de Remboursement Anticipé: Le Cas des Titres Emis par la Confédération Helvétique», Ph.D. Dissertation, University of Geneva, July PROFESSIONAL PUBLICATIONS Assessing and Managing Model Risk in Risk and Risky Management, edited by the National Center of Competence in Research Financial Valuation and Risk Management, (NCCR FINRISK), Zurich, «Grandeur et déclin de la gestion de fortune en Suisse à l aube du 21e siècle», in: Genève 21 siècle, 21 défis, 21 talents pour les relever, Geneviève Armleder et Georges Naef Editeurs, Genève, Suisse, «Long Term Options (LTO S) on the Swiss Market Index and Portfolio Insurance Strategies», SOFFEX EXTRA, 1/94, pp. 1-20, (in collaboration with Steffen Tolle and Heinz Zimmermann). «Major Economic Impacts Associated to the Use of Index Options: An Overview», Swiss Options and Financial Futures Exchange Information Bulletin, Fall «La Mesure de la Performance des Fonds de Pension», Cahier Nr. 5 of the Association Suisse des Analystes Financiers (ASAF), Genève, Novembre 1986 (in collaboration with Pierre-André Dumont and André Bender). «Introduction à la Théorie de l Immunisation», Cahier No. 3 of the Association Suisse des Analystes Financiers (ASAF), Genève, Octobre 1985, (in collaboration with Pierre-André Dumont). «Evaluation des Obligations, Structure des Taux d Intérêt et Risque Systématique», Cahier No. 2 of the Association Suisse des Analystes Financiers (ASAF), Genève, Juin 1985, (in collaboration with Pierre-André Dumont). «Aspects Récents de l Analyse des Obligations: Volatilité, Duration et Risque Systématique», Cahier No 1 of the Association Suisse des Analystes Financiers (ASAF), Genève, Juin 1984, (in collaboration with Pierre-André Dumont).