Prof. Walter Farkas
SFI Faculty Member, Professor of Quantitative Finance, ETH Zurich, University of Zurich
Walter Farkas is Associate Professor of Quantitative Finance at the University of Zurich. Professor Farkas is also an associated faculty member at the Department of Mathematics of ETH Zurich and is the Program Director of the Master of Science in Quantitative Finance, a specialized degree jointly offered by ETH Zurich and the University of Zurich.
Expertise
Professor Farkas focuses, among other topics, on the benefits and costs of capital requirements for market risk. On the one hand, the ability to prevent bank failure is beneficial not only for the bank itself but also for the financial sector and the entire economy. On the other, capital requirements entail significant private costs for every bank in terms of taxes. Regulators need to walk a fine line here. To determine where this line should be placed he develops his own capital requirement model, and testing it with US equity data shows that the Basel 4 capital requirements are superior to those of Basel 2.5 as they not only require less capital of financial institutions but are also proven to contain losses better in normal and stressed times.
Expertise Fields
- Portfolio Management and Asset Classes
- Options and Other Derivatives
- Corporate Finance and Governance
- Financial Risk and Risk Management