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Master thesis

What you need to know

As a general rule, the fourth semester of MScF programme is devoted to the realisation of the Master thesis (30 ECTS). The thesis can take either an individual research (research thesis) or an internship (internship thesis).

Important: the student cannot start his/her thesis before acquiring at least 30 ECTS (see Rules and regulation).

Supervisors

  • Ardia David
    • Smart beta strategies
    • Quantitative methods in risk management
    • Quantitative methods in asset allocation
  • Bolliger Guido

    Potential topics for the master thesis may include but are not limited to:

    • Measuring liquidity risk of corporate bonds
    • Pricing of Swiss corporate bonds with structural credit models (Merton)
    • Volatility forecasts with high-frequency data
    • Developing and testing trading strategies with volatility futures
    • Comparing the efficiency of various tail-hedging strategies (e.g. put protection, volatility futures, volatility targeting, stop-losses, etc.)
    • Systemic risk measurement: a qualitative and quantitative comparison of the existing measurement methodologies
    • Measuring liquidity risk: Extending the Pastor and Stambaugh (2002) approach to international equity markets
  • Dubois Michel
    • Stock returns anomalies
    • Agregate earnings, macroeconomic variables and stock returns
    • Commodities markets
  • Fiechter Peter

    Potential topics for the master thesis may include but are not limited to:

    • Economic consequences of changes in or adoption of accounting standards, accounting regulation, or accounting rules (e.g., market reactions, cost of capital, or liquidity)
    • Determinants of accounting choices
    • Effects of heterogeneous accounting standards or accounting choices on information asymmetry or information precision
    • Earnings management, discretionary accounting, and disclosure quality (e.g., earnings smoothing, small positive gains, value relevance, large negative net income, timely loss recognition, or target accounting)
    • (Economic) consequences of fair value accounting
    • Effects of banking regulation and “Too-big-to-fail” issues
    • Economic consequences of (U.S.) cross-listings
  • Salva Carolina
    • Corporate and international finance
    • Valuation
    • Financial markets
  • Sonney Frédéric

    Topics for the Master thesis will be related to Asset Management and/or Capital Markets. Below are a few themes or ideas that I would be happy to discuss further:

    • The Global Minimum Variance portfolio and Risk Budgeting techniques
    • The determinants of "intra-market" correlations
    • The value of financial analysts' forecasts for portfolio managers
    • Financial analyst forecasts: skill, luck, or...?
    • Stock market: do "crowded names" behave differently from the rest of the market?
    • Hedge fund indices: are they representative of the industry?
    • Hedge fund replication: could an "indexed" product do a good job?
    • Hedge funds before and after the financial crisis. What has changed?

Quick links

  • Courses: information and registration
  • Exams: information and registration
  • IS-Academia
  • Pidho: course schedules
  • Moodle: platform to access course material, lecture notes, etc.

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