Petersplatz 1
Basel, CH-4003
Switzerland
University of Basel
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Operational Risk, Risk Management, Extreme Value Theory, VaR
Operational Risk Management, Stochastic Systems, Diversification, Profitability
Asset management methods, growth of wealth, portfolio construction, factor investing, asset pricing, FinTech, big data, demographics, pension system
Operational Risk, Risk Management, VaR
Credit Portfolio Risk Management, Contagion, Macroeconomic Deependencies, Microstructural Dependencies, Value-at-Risk, Expected Shortfall
Assets and Liabilities Portfolios, Minimum-Variance Frontiers, Dynamic Programming, Markowitz Model
Profitability, Operational Risk Management, IT-networks, Stochastic Systems
Value-at-Risk, Stochastic Opportunity Set, Regulatory Policy, Dynamic Financial Equilibria, Perturbation Theory
Credit Migration Risk, Point-In-Time, Migration Matrix, Regime Shifting Markov Mixture Model, Credit Dreivatives
Asset Pricing, Collateralized Derivatives, Time Value of Money, Basel III, Systemic Risk, FATCA, Dodd-Frank, Innovation, Complete and Incomplete Markets, Uncertainty, Complexity, Technology
Field Experiment, Behavioral Finance, Structured Products, Revealed Preferences, Stated Preferences
Stochastic Volatility, Heston Model, Fourier Theory, Complex Analysis, Pricing Equations, Generalized Functions
Financial equilibria, knightian uncertainty, model misspecification, robust decision making
G1, G11, G12
Credit risk management, optimal limit policy, partial information, adverse selection
Levy processes, Stochastic Volatility, Fourier Theory, Fast Fourier Analysis, Error Bounds, Time Change, Variance Gamma Model, Option Pricing
House Price Risk, Mortgage Default Risk, Rent or Buy, Hedonic Index
house price risk, mortgage default risk, rent or buy, hedonic index
Hamilton-Jacobi Bellman Equations, Model Misspecification, Perturbation Theory, Robust Decision Making
Loan Pricing, Stochastic Collateral, Credit Risk, Earnings Management
IMF lending, sequential moral hazard model
Cross-Sectional Risk, Intertemporal Risk-Smoothing, Risk-Sharing, Time Diversification and Incomplete Financial Markets
Assets and Liabilities, Mean-Variance Frontiers, Markowitz Model, Endogenous Liabilities, Grassmann Algebra
Financial Equilibria, Knightian Uncertainty, Model Misspecification, Perturbation Theory, Robust Decision Making
Transaction Costs, Portfolio Matching, Portfolio Selection
Structured Products, Costs, Performance, Investor Behaviour, Event Driven Investments
Dividend Risk, Option Pricing, Forecasting
Ambiguity, Financial Equilibria, Knightian Uncertainty, Model Misspecification, Perturbation Theory, Robust Decision Making
Implied Volatility, Stochastic Volatility, Local Volatility, Volatility Statics, Mixing Theorem, Asymptotic Expansions, Option Pricing
Digital disruption, financial industry, customer centricity, big data, labour markets
Credit risk management, portfolio management, risk measurement, coherence, VaR, expected shortfall, factor model
Balance and Off Balance Sheet Analysis, Interest Rate Risk, Dynamic Mean Variance Optimization
Property derivatives, Property spread, Arbitrage free price bounds, Market frictions, Halifax House Price Index
Property Derivatives, Property Spread, Arbitrage Free Price Bounds, Market Frictions, Halifax House Price Index
Taxation, Axiomatic Tax Law, Incentive Compatability
Addictions, Habits, Endogenous Time Preferences
Asset pricing, network dependence models, contagion, buyer-supplier networks, credit risk.
Balance and Off Balance Sheet, Analysis, Interest Rate Risk, Dynamic Mean Variance Optimization
Pension funding gap, Demographic and societal challenges, Valuation of pension liabilities, Economic and regulatory capital models, Role of financial markets
Unemployment, Skill Degradation, Retraining, Unemployment Benefits, Welfare Assistance, Present-Biased Preferences
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Unemployment, skill degradation, retraining, unemployment benefits, welfare assistance, present-biased preferences
Financial innovation, longevity risk, population ageing, old-age dependency ratio, growth risk, exponential-utility-based pricing, intergenerational risk-sharing, international risk-sharing
Real Options, Noise Derivatives, Aircraft, Pricing, Equilibrium Pricing
Multi Asset Classes Derivatives; Wishart Process; Semi Analytical Pricing; Fast Fourier Transform and Laplace Theory Transform, Laplace Theory
Merton's model, Knightian uncertainty, Model contamination, Model misspecification, Robust decision-making
