Zvi Wiener is the Sanger Family Chair in Banking and Risk Management at Hebrew University Business School. He is a finance expert with an extensive track record in risk management, financial engineering, investments, and valuations of complex financial instruments.
Wiener has developed key methodologies that are widely used in financial markets, including a risk management model used by several major Israeli institutional investors; and analytical, binomial, and Monte Carlo-type models used by many Israeli and international firms. Additionally, he created analytical models for valuation of employee stock options, margin models for trading rooms, pension consulting models for banks and insurance companies, and valuation models for complex derivatives and structures.
Prof. Wiener served as dean of the Hebrew University Business School between 2016-2020. Previously; and he was head of the Finance Department and academic director of the Executive MBA program in Finance at the Business School. In addition, he is a founder of the Professional Risk Managers International Association (PRMIA, www.prmia.org), a non-profit professional association with tens of thousands of members worldwide. He founded and served as co-chair of PRMIA’s global Education and Standards Committee, and currently serves as regional director of PRMIA in Israel.
Wiener has published in many academic journals, including Journal of Finance, Review of Financial Studies, Journal of Fixed Income, Journal of Money, Credit, and Banking, Journal of Corporate Finance, Journal of Banking and Finance, Journal of Applied Finance, Review of Derivatives Research, Games and Economic Behavior, Journal of Derivatives, Journal of Risk and Uncertainty, Financial Management, and many others. In addition, he has published and edited books on financial instruments and contingent claims analysis in corporate finance.
Prof. Wiener has continuously been ranked among the top 10% of researchers by SSRN (Social Sciences Research Network). He won the Teva Prize and PRMIA Award for Outstanding Service and Leadership. Zvi was a recipient of the Alon, VATAT, and Rothschild Fellowships. He has received several Israeli, European, and American research grants, including five grants from the Israeli Science Foundation.
In addition to his academic experience, Prof. Wiener has developed methodologies and models that have been implemented by the Bank of Israel, the Israeli Finance Ministry, and the Israeli Securities Authority. He has presented fintech developments to a United Nations special committee, and served on the Investment Committee at the Bank of Israel Foreign Reserves. He wrote expert opinions that have played a key role in many court cases, including magistrate, district, and High Court cases in Israel; and legal and regulatory procedures in Israel and abroad.
Prof. Wiener earned his Ph.D. from the Weizmann Institute of Science. He teaches the courses Investment Fund Management, and Innovation in Fintech.
- Research Summary
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Zvi Wiener's areas of expertise are Financial modeling, Risk Management, Options and other derivatives with Applications to Corporate finance, Structured product, Stochastic process, Monte Carlo Simulation and Game Theory.
- Publications
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FinTech: The impact of fintechs on financial intermediation, Journal of FinTech, forthcoming 2021
Stock Markets and Female Participation in the Labor Force, Journal of International Financial Markets, Institutions and Money, forthcoming 2021
By the Light of Day: The Effect of the Switch to Winter Time on Stock Markets, Journal of International Financial Markets, Institutions and Money, 65 (2020), 1-18
On the Failure of Mutual Fund Industry Regulation, Emerging Markets Review, 38 (2019), 51-72
Contingent Claims Analysis in Corporate Finance - 4 volumes reference monograph published by World Scientific, 2019
Israeli Treasury Auction Reform, Israel Economic Review, 16:1, (2018), 41-63
Dividend Policy Relevance in a Levered Firm - The Binomial Case, Economics Letters, 172, (2018), 78-80
Special Issue on Risk Management, Quarterly Journal of Finance, 8:4, (2018), 1-4
Duration and Globalization, The Journal of Fixed Income, 28:2, (2018), 31-43
Flow Auctions, International Journal of Game Theory, 46:3, (2017), 655-665
How Homeowners Choose Between Fixed and Adjustable Rate Mortgages? Quarterly Journal of Finance, 6:4, (2016), 1-21
Counterparty Risk in Exchange-Traded Notes (ETNs), Journal of Fixed Income, 23:1, (2013), 76-101
Prospect Theory and Utility Theory: Temporary and Permanent Attitude Toward Risk, Journal of Economics and Business, 68, (2013), 1-23
The Value of Value-at-Risk: A Theoretical Approach to the Pricing and Performance of Risk Measurement Systems, Journal of Economics and Business, 64, (2012), 199-213
Bad Days and Good Nights: A re-examination of Non-Traded and Traded Period Returns
Credit Risk Spreads in Local and Foreign Currencies, International Monetary Fund publications, 09/110, Journal of Money, Credit and Banking, 44:5, (2012), 883-901
Brokerage Commissions and Institutional Trading Patterns, The Review of Financial Studies, 22:12 (2009), 5175-5212
Solvency II and the Solvency Capital Requirements for Insurance Firms in Israel, Israel Economic Review, 5:2, (2008), 33-53
Stakeholders and the composition of the voting rights of the board of directors, Journal of Corporate Finance, 14:2, (2008), 107-117
Analytic pricing of the ESO, The Review of Financial Studies, 21:2, (2008), 683-724. For a simple implementation of the analytical formulas for ESO, click here
Liquidation Triggers and Valuation of Debt and Equity, the Journal of Banking and Finance, 36:12, (2007), 3604-3620
The Estimation of Nominal and Real Yield Curves from Government Bonds, the Journal of Risk Finance, 7:5, (2006), 488-502
The Domestic Elasticity of Default-Free Foreign Bonds, the Journal of Applied Finance, 16:2, (2006), 174-182
Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models, Review of Derivatives Research, 7, (2004), 213-239
Bargaining with an agenda, Games and Economic Behavior, 48:1, (2004), 139-153
Government support of Investments, Financial Management, 32:3, (2003), 33-50
On the Use of Numeraires in Option Pricing, Journal of Derivatives, 10:2, (2002), 43-58; working paper
Integrating Pension Funds into the capital Market: A Proposal to Guarantee Returns Using Market Instruments, The Economic Quarterly, 50:1, (2003), 162-189, in English.
Differences Between Forward and Futures Prices, International Financial Markets, Institutions and Money, 10:2, (2000), 151-161
Value-at-Risk as a risk management tool in Israel, Banking Review, 7 (1999), 61-87
Comment on Non-Linear Value-at-Risk, European Finance Review, 2:2 (1999)
An Investigation of the Cheapest to Deliver on Treasury Bond Futures Contracts, The Journal of Computational Finance, 2:3, (1999)
Introduction to VaR, Risk Management and Regulation in Banking, Kluwer, 1999, 47-63
The Analysis of Deltas, State Prices and VaR: A New Approach
Stochastic Dominance and Prospect Dominance with Subjective Weighting Functions, Journal of Risk and Uncertainty, 16:2 (1998), 147-163
Value-at-Risk (VaR), Mathematica in Education and Research, 7:4, (1998), 39-45
Binomial Term Structure Models, Mathematica in Education and Research, 7:3, (1998), 11-19
Term Structure of Interest Rates, Mathematica in Education and Research, 7:2, (1998), 13-22
Dynamic Hedging Strategies, Mathematica in Education and Research, 7:1, (1998), 12-16
Binomial Option Pricing, the Black-Scholes Option Pricing Formula, and Exotic Options, Mathematica in Education and Research, 6:4, (1997), 11-14
The Binomial Option Pricing Model, Mathematica in Education and Research, 6:3, (1997), 27-34
An interesting matrix exponent formula, Linear Algebra and its Applications, 257 (1997), 307-310
General Properties of Option Prices, The Journal of Finance, 51:5, (1996), 1573-1610
From formal numerical solutions of elliptic PDE's to the true ones, Mathematics of Computation 69:229, (2000), 197-235
Instability with two zero frequencies, Journal of Differential Equations, 103:1, (1993), 58-68
Instability of a non-isolated equilibrium, Archive for Rational Mechanics and Analysis, 116, (1991), 301-305
Mechanism of Instability of an Equilibrium of Natural Systems, Functional Analysis and Applications, 23:1, (1989), 55-57
- Awards & Honors
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Awards
Teva Prize for research on dividend policy, 2014
PRMIA award for Outstanding Service and Leadership as a Founder of the Professional Risk Managers’ International Association, 2012
Fellowships
Alon Fellowship
VATAT Fellowship
Wolfram Fellowship
Rothschild Fellowship