About
- Quantitative Analyst at the European Atability Mechanism, Luxembourg
- Lecturer at Frankfurt School of Applied Sciences
- Member of the Fintech Advisory Committee of the International Capital Markets Organisation (ICMA)
- Review Editor of the Journal for Artificial Intelligence in Finance
- Award winner of the Professional Risk Managers International Association (PRMIA)
Since 2013: Quantitative Analyst, European Stability Mechanism (ESM), Luxembourg. Funding and derivatives, capital market analytics, business innovation
2009-2013: Risk Officer, Deutsche Finanzagentur (German Finance Agency), Frankfurt. Development of a credit risk strategy for the money market portfolio (e25 bn) of Deutsche Finanzagentur
2007-2009: Quantitative Analyst, Sal. Oppenheim/Equity Derivatives Trading, Frankfurt. Development of pricing tools (e 7 bn portfolio) and technical trading strategies
2007: Quantitative Analyst, Deutsche Bank/Risk Analytics, Frankfurt. Development of scorecards for retail banking
2004-2007: Research Associate, Technical University of Munich, Munich. Research on credit derivatives pricing and risk analysis
Publications and Supervised Theses
Peer-Reviewed Articles
„Sentiment analysis of European bonds 2016 – 2018” (with Peter Schwendner and Martin Schüle), Frontiers in Artificial Intelligence 2 (20), 2019
”European Government Bond Dynamics and Stability Policies: Taming Contagion Risks” (with Peter Schwendner, Martin Schüle, Thomas Ott), Journal of Network Theory in Finance 1 (4), 2015
”Dynamic credit risk modeling” (with Ashay Kadam), working paper, 2009
”Interaction of Market And Credit Risk: An Analysis of Inter-Risk Correlation and Risk Aggregation” (with Klaus Böcker), Journal of Risk Vol 11 No 4, 2009
”On Robust Corner-Preserving Smoothing in Image Processing”, monograph, Verlag Dr. Müller, 2008
”Outlier robust corner-preserving methods for reconstructing noisy images” (with Christine Müller), Annals of Statistics 2007, Vol.35 No. 1, 132-165
”Modelling and estimating dependent loss given default”’ RISK, September 2006
”On consistency of redescending M-kernel smoothers” (with Christine Müller), Metrika 2006, Vol. 63 No. 1, 71-90
”On Robust Corner-Preserving Smoothing in Image Processing” (Dissertation, 2003)
Further Publications
- "Showing how EU solidarity calmed markets over Brexit" (with Peter Schwendner), ESM Blog, 19/01/2021
- "Neues vom Referenzemittenten Was bringt die erste grüne Bundesanleihe?" (mit Christian Thier), Börsenzeitung, 07/11/2020
"The Investor Structure of Green Bonds - an Analysis in comparison to Non-Green Bonds", bachelor thesis of Tanja Nickel, 2020 (with Prof. Christian Thier, UAS Frankfurt, in German)
"Appearance of Blockchain Bonds: An Assessment of Blockchain Impact on Bond Issuance Process in European Debt Capital Market", double master thesis of Wanli Chen and Qianxia Wang, 2019 (with Prof. Philipp Sandner, Frankfurt School of Finance) Download (pdf)
“Pricing CDOs with CreditRisk+”, diploma thesis of Yan Ge, 2007 (with Prof. Claudia Klüppelberg, TU München)
“Calibration of a CreditRisk+ model, a methodical comparison”, diploma thesis of Stefan Teubler, 2007 (with Prof. Claudia Klüppelberg, TU München)
“Credit Risk Modeling and Valuation: The reduced Form Approach and Copula Models”, diploma thesis of Stephanie Höfling, 2006 (with Prof. Claudia Klüppelberg, TU München)