Andreas Grünbichler
Title
Prof. Dr.
Last Name
Grünbichler
First name
Andreas
Email
andreas.gruenbichler@unisg.ch
6 results
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Item type:Publication, Pricing Geopolitical Risk: Closed-Form Valuation of Futures and Options on the GPR IndexOn July 31, 2026, the European Central Bank (ECB) published the results of its thematic reverse stress test on geopolitical risk, in which 110 directly supervised banks identified scenarios severe enough to deplete CET1 capital by 300 bps. The exercise delivered narratives but not probabilities: without a market price of geopolitical risk, it has no quantitative anchor. This article closes that gap by applying the Grünbichler-Longstaff (1996) square-root, mean-reverting state-variable model directly to the Caldara-Iacoviello Geopolitical Risk (GPR) index, yielding closed-form prices for GPR futures and European options. Exact maximum-likelihood estimation on the monthly series from 1985 to June 2026 delivers a mean-reversion half-life of about two months toward a long-run mean of approximately 104, with the Feller condition satisfied with substantial slack, so the non-central chi-square pricing structure applies without modification. Applied to the ECB exercise, the framework converts the supervisory threshold into a tail-probability statement. Under the physical measure, the 12-month exceedance probability is approximately 12 percent, the answer a historical-simulation stress test would report. Under the risk-neutral measure it lies between 29 percent and 79 percent across the range of the market price of geopolitical risk motivated by analogy to inflation-swap risk premia, a bandwidth that is wide precisely because no traded GPR instrument yet identifies this parameter. Because the modeling techniques are deliberately standard, the article's contribution is the practical layer: specification tests grounding the process choice in the data, confidence intervals around the physical anchor, a sensitivity analysis over the loss-channel mapping, and an explicit model-risk map organized for supervisory validation. The wedge between the physical probability and the risk-neutral band is the geopolitical risk premium, and a single observed transaction price on a cash-settled GPR contract, exchange-listed in the VSTOXX/VIX mold or OTC in the inflation-swap mold, would collapse the bandwidth to a point.Type:journal articleJournal:The Journal of Derivatives - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Aktienbörsen und die Grenzen der paneuropäischen KonsolidierungStock exchanges have become listed, for-profit platforms that remain critical public-interest infrastructures. This article uses that tension to address the longest-running open question in European market infrastructure: why Deutsche Börse and Euronext have not merged in twenty-five years of trying, and whether they will now. We compare the two groups as contrasting archetypes (the globally diversified data and workflow platform versus the federal pan-European consolidator), reconstruct the consolidation record from 2000 to 2026, and read it through the political economy lenses of regulation. The market priced the consolidation approaches in the past immediately and positively, yet every formal attempt has failed. What binds is not competition economics but the governance of indivisible control: the holding seat, the sovereignty premium, national veto players. The realistic corridor is partial integration through joint ventures, index cooperation and post-trade convergence, not a full merger.Type:journal articleJournal:Österreichisches BankArchiv (ÖBA)Volume:74Issue:9 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Equity Investments and the Third Pillar of Retirement Provision(2026)Broadly diversified equity investments are a suitable building block for the third pillar of retirement provision. Since 1987, Austrian equities have returned 4.46 percent per year in real terms after Austrian tax on investment income (KESt), modeled for a direct investment, and before costs, European equities 4.18 percent, and savings invested at the money-market rate (the savings proxy) -0.25 percent. In the sample starting in 1970, no window of 20 years or more ends in a real loss for Austrian equities, compared with more than 40 percent of the twenty-year windows for the savings proxy. The series extended back to 1958 returns 4.07 percent per year in real terms after KESt but also shows seven twenty-year windows that end in a real loss. Austria's own subsidized product, the Zukunftsvorsorge, combines a mandatory capital guarantee with an equity allocation invested mainly in the home market. Its number of contracts has more than halved since 2012. This purchasing-power analysis for Austrian investors under today's tax rules, the Austrian experience, and an international comparison of account models yield criteria for an Austrian retirement savings account.Type:working paper - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Nixed in Nippon: Index Deletions, the TOPIX Reform, and the Upside of Getting Dumped in Japan(2026)Japan's TOPIX reform turns index deletion from a surprise into pre-announced policy. In October 2022 the exchange designated 493 small constituents for a phase-down in ten quarterly steps ending in January 2025. A second stage begins with the review announced on 7 October 2026. This paper uses the reform, together with thirty years of Nikkei 225 deletions, to test the thesis of Arnott and Henslee (2024) that stocks discretionarily deleted from major indexes outperform for years after their removal. The Nikkei 225 evidence replicates the US anatomy. Among 87 tradable deletions since 1995, 65 have complete five-year windows. These 65 lose 26 percent against the market in the year before removal at the mean and 31 percent at the median. They leave at 0.78 times the universe median price-to-book, against 2.14 times for the stocks that replace them. A yen invested at the effective date grows to 1.97 times its TOPIX-relative value within five years, with a median of 1.73. One episode, the April 2000 overhaul, accounts for four fifths of the summed excess. Against a control matched on size and book-to-market with point-in-time fundamentals the premium is smaller: a mean excess ratio of 1.20, a median of 1.00 and a ratio of mean wealth of 1.19, about 3.5 percent per year. Most of the deletion premium in Japan is the premium of what deleted stocks have become. The TOPIX evidence is descriptive. The designated issues trailed size-matched non-designated peers by 8 to 12 points during the phase-down. About a quarter of that shortfall accrued inside the step windows, the rest between the steps. After final removal the cohort rebounded by 3 points in one month and has led by 5 to 8 points since. The control is twice the cohort's size, so the shortfall is measured, not identified. For the second stage the paper screened 605 likely transitional issues on the actual review window and registered five falsifiable predictions before the list was published. The list of 7 October 2026 names 683 transitional issues. The screen held 585 of them, and the misses sit just above its full-capitalization boundary, where the exchange ranks on free float. A first addendum records cohort, control and reference prices before any outcome is known.Type:working paper - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Credit Mispricing In Japan: Repurposing the Zombie-Firm Literature for the Nikkei 225(2026); Elinger, SamuelThe academic zombie-firm literature counts distressed firms and measures their macroeconomic costs. It pays far less attention to what happens next. On the Tokyo Stock Exchange, classified firms rarely exit, and most recover. This paper turns that recovery gap into an investment strategy. We convert ten published zombie classifications into continuous credit-quality scores and form equally weighted portfolios of the most zombie-like decile of the Nikkei 225, rebalanced annually under a strict point-in-time protocol. Over 2000–2025, the three headline classifications deliver compound annual returns of 7.2 to 10.2 percent against 3.8 percent for the benchmark, net of a 50 basis point transaction-cost charge. Spanning tests against identically constructed value portfolios isolate the credit component: the coverage-based classifications retain 2.3 to 3.0 percentage points per annum over the value placebos, with a joint estimate of 2.7 points (t = 1.8). This premium is economically meaningful, statistically moderate on its own, and doubly concentrated: it sits precisely where classified firms show no elevated exit risk, and it is confined to the bank-connected blue-chip segment. On the broad TOPIX universe the same deciles are fully spanned by generic value. Both patterns are the signature of credit mispricing rather than compensation for default. The signal remains investable even in years when binary zombie counts are low.Type:working paper - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Performance Persistence: Evidence for the European Mutual Funds Market(1999-06); Pleschiutschnig, UlfUsing a sample of 333 European equity mutual funds, we show that persistence in risk adjusted returns is present in funds with investment objective European equity. We demonstrate that persistence is neither caused by Fama/French (1996) related anomalies nor disappears if we correct for the European momentum effect documented in Rouwenhorst (1998). Persistence is not induced by mutual fund style related issues either, since we control for style issues using the Sharpe (1992) Asset Class Factor model. We find evidence in favour of persistent performance to be a robust phenomenon not very sensitive to different methodologies for testing persistence or adjusting for risk.Type:working paper