My main areas of interest are
risk
and
portfolio management.
In my current position at Credit Suisse, my focus is
on
credit portfolio management
including the quantitative part of it, namely
credit risk modeling,
for instance,
credit risk models (single-name)
- ratings and default probabilities (PD)
- migration matrices
- term structure modeling for default probabilities, e.g.,
non-homogeneous Markov chain techniques
- loss given default (LGD) and recovery rates
- exposure at default (EAD) and components of it, e.g.,
credit conversion factors
credit portfolio models,
e.g.,
- threshold models and first passage times
- default time models
- latent variable and mixture models (Bernoulli mixtures,
Poisson mixtures)
- dependence modeling (correlations and, more general,
copula functions, tail dependence, etc.)
structured
credit portfolios analysis,
e.g.,
-
asset backed securities (ABS) in general
- collateralised debt obligations (CDO) and baskets
- single-tranche CDOs, bespoke and index-based
- investments and securitizations
- implied correlations
- pricing and valuation models, e.g., cost-to-securitize
- structured portfolios in general, capital structure and
subordination
In general, I am interested in
probability theory
with a focus on
- stochastic processes and random fields
- interplay of analysis and probability theory
- random number generation and simulation techniques
In order to give an example, please have a look at the
following chart illustrating the effect of using different
copula functions in so-called latent variable models in
credit risk.
At the right-hand side you find the combined simulated
scatterplot of two dependent latent variables, used for
instance in a threshold default model.
At the left-hand side you find the simulation of default
times based on such underlying latent variables and a zoom
into the extreme default side tail.
I used this chart in a presentation on dependence modeling.
Reference in a publication is:
Copula Impact on Default Timing (with L. Overbeck);
Copulas. From Theory to Application in
Finance;
edited by J. Rank, RISK Books (2006)
