Gregor Weiss
Professor of Finance
Chair in Sustainable Banking
Contact:
Faculty of Business and Economics
Email: gregor.weiss -at- uni-leipzig.de
Phone: +49 341 97 33821
Fax: +49 341 97 33829
Handelsblatt ranking (2014) / WiWo-Ranking (2019/2020)
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Recent research:
CyRISK - A Capital Shortfall Measure of Cyber Risk in the Financial System,
with Martin Eling, Niklas Häusle, and Felix Irresberger.
We develop a market-based, forward-looking measure of cyber-related capital shortfall for the global banking system. The framework incorporates a tradable cybersecurity factor into a dynamic systemic risk model with time-varying exposures estimated via conditional betas. Applied to a broad panel of banks, the measure reveals that conventional market-only stress tests materially understate system-wide capital needs, with incremental cyber-related shortfalls amounting to roughly one quarter of conventional shortfalls at their peak. A small set of globally active banks accounts for the bulk of marginal cyber risk exposure, identifying a dimension of systemic importance that is largely orthogonal to size, leverage, and market beta.
Characteristic Portfolios, Conditional Quantile Curves, and the Cross-Section of Option Returns,
with Simon Fritzsch and Felix Irresberger
Portfolio sorts and cross-sectional regressions are standard tools to test the pricing of asset characteristics. We propose the alternative use of non-parametric machine learning methods to estimate quantile curves of the characteristic of interest conditional on a set of controls. Building portfolios based on conditional quantile curves yields characteristic portfolios that should only reflect the priced risk associated with the characteristic. We apply our procedure to the pricing of volatility risk in the cross-section of option returns. The Sharpe ratio of the resultant characteristic portfolios are up to 30% higher than those of comparable strategies.
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