Position

Lecturer at the University of Basel since fall 2001.

Education

Research Interests

Risk Management, Asset Pricing

Publications and Working Papers

"Covariance Timing, Return Predictability, and Performance Measurement"; Working Paper, 2001.
"Time-Varying International Equity Market Integration"; Working Paper, 2001.
"The Rationale of the International Equity Return Correlation Structure"; Working Paper, 2001.
"Alle Probleme gelöst?"; Schweizer Bank 00/4, pp. 50 - 53 (with Manuel Ammann and Christian Schmid).
"Eigenmittelvorschriften überholt?"; Schweizer Bank 00/3, pp. 48 - 51 (with Manuel Ammann and Christian Schmid).
"Gesucht: Das beste Kreditportfolio-Modell"; Schweizer Bank 00/1, pp. 42 -46 (with Manuel Ammann and Christian Schmid).
"Verwirrung im Pricing?"; Schweizer Bank 99/12, pp. 54 - 56 (with Manuel Ammann and Christian Schmid).
"An der Realität vorbei?"; Schweizer Bank 99/11, pp. 60 - 64 (with Manuel Ammann and Christian Schmid).
"Aktuell in wissenschaftilichen Zeitschriften: Estimating the Price of Default Risk"; Finanzmarkt und Portfolio Management 13, 1999, Nr. 3, pp. 339-342 (with Jacqueline Henn).
"Optimal segmentieren und diversifizieren"; Schweizer Bank 99/9, pp. 62-64 (with Samy Amara).
"Mean Reversion on International Stock Markets"; Working Paper, 1999 (with Wolfgang Drobetz).
"Zinsderivate: Einsatz und Bewertung"; in: Gehrig, B. and H. Zimmermann (eds.), Fit for Finance, NZZ, 1999.
"Lower Partial Moments und Value-at-Risk: Eine Synthese"; Finanzmarkt und Portfolio Management 12, 1998, Nr. 3, pp. 326-341 (with Thomas Portmann).
"Aktuell in wissenschaftlichen Zeitschriften: Kreditrisikomanagement"; Finanzmarkt und Portfolio Management 12, 1998, Nr. 1, pp. 95-101 (with Jacqueline Henn).
"A Markov Implementation of the Heath-Jarrow-Morton Model"; Graduate Thesis, University of St.Gallen, 1997.

Teaching

10133-01: VWL 2b) Einführung in die Finanzmärkte 10664-01: Risikomanagement

Activities, Membership and Interests

COO of Riskmanagement Concepts Systems RCS AG, Zurich
Member of Deutsche Gesellschaft für Finanzwirtschaft (DGF)
Member of Global Association of Risk Professionals (GARP)
Member of Bankers' Club der Universität St. Gallen

Sports (running, mountain bike, cross country skiing), playing violin