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Michael Rockinger
SFI Faculty Member
Professor of Finance
Michael Rockinger is Professor of Finance at the University of Lausanne and has been an SFI Faculty Member since 2006. Prof. Rockinger has published extensively on computational finance and financial econometrics, and is an active member of the Center for Risk Management, Lausanne – a group that focuses on diffusing independent and transparent decision-making tools for banks, insurance companies, and industrial firms. Prof. Rockinger also acts as a research fellow of the Society of Financial Econometrics and is a regular speaker at leading conferences in his areas of expertise.
Research Interests:
His main research interest lies in financial econometrics and computational methods for finance.
Recent Research:
Prof. Rockinger and his coauthor have recently focused on how to improve long-term allocation for pension funds, but from a defined-contributions perspective. To do so they build a macroeconomic model for Switzerland, the euro area, and the US, which drives the dynamics of several asset classes and the liabilities of a representative Swiss pension fund. When exploiting the correlations between returns on assets and liabilities, the researchers are able to invest in a liabilities-hedging portfolio that outperforms an assets-only strategy by five percent to 15 percent per year during the period 1985 to 2013. Such a difference stems from the fact that the optimal assets-only portfolio is typically long in cash, whereas hedging liabilities require the pension fund to be short in cash. The authors’ research suggests that allowing pension funds to hedge their liabilities through borrowing cash and investing in a diversified bond portfolio could help enhance global portfolio return and retirement perspectives.