Main areas of teaching

• Mathematics
• Stochastics
• Derivative financial instruments
• Quantitative methods in banking supervision and risk control

Lectures

• G1-3 Introduction to financial mathematics I
• A 1-2 Introduction to financial mathematics II
• A 4-1 Credit portfolio models
• V 1-1 Rating procedures and their validation
• V 1-1 Present value management of the interest book
• V 2-2 Valuation and risk measurement of credit derivatives
• V 5-1 Market risk models

Special functions

• Member of the University Senate

Curriculum vitae

• Bachelor of Science in mathematics with economics as a subsidiary subject, focus: finance and bank management, Bachelor’s thesis on the modelling of dependence structures using Copulas
• Master of Science in mathematics with economics as a subsidiary subject, focus: risk modelling, Master’s thesis on the modelling of market risk
• Various internships and mentoring programmes in the area of risk control in the banking and management consultancy sector as well as student assistant in the Statistics, Risk Analysis and Computing (SR&C) Department, Professor R D Reiss, University of Siegen
• Participation in a variety of workshops (HSH Nordbank, DGVFM, Fraunhofer Institut, Deutsche Bundesbank, DekaBank) on topics relating to financial mathematics
• Management of a third-party-funded project on the parameterisation in extreme value models, SR&C Department of the University of Siegen in cooperation with DekaBank, Frankfurt
• Awarded PhD by the University of Siegen, PhD thesis on the modelling of event risks and their parameterisation

Research interests

• Extreme value theory and statistics
• Risk control and risk management
• Modelling of market and credit risk
• Modelling and parameterisation of jump-diffusion processes