Selected publications and conference papers

• Event Risk – Parametrization and estimation in a generalized Pareto model with time-varying thresholds (in cooperation with Melanie Frick) in: Quantitative Finance, 2009.
• Eventrisiko – Modellierung, Parametrisierung, Simulation, dissertation, Verlag Dr. Kovač, Hamburg, 2010.
• Event Risk Modelling for Equities (with Carsten S Wehn and Melanie Frick, revised version) in: Life and Pension Risk, April 2011, pp 34-39.
• Event Risk Modelling for Equities (with Carsten S Wehn and Melanie Frick) in: Asia Risk, March 2011, pp 50-56.
• Event Risk Modelling for Equities (with Carsten S Wehn and Melanie Frick) in: Risk Magazine, Vol 24, No 2, February 2011, pp 90-95.
• Market Risk – Parametrization and Estimation in a Generalized Pareto Model with Time-Varying Thresholds, Conference on Extreme Value Analysis, Fort Collins, Colorado, USA, 2009.
• Market Risk – Parametrization and Estimation in a Generalized Pareto Model with Time-Varying Thresholds, Conference on Quantitative Methods in Finance, Sydney, Australia, 2009.
• Event Risk Modeling for Equities, CEQURA conference on quantitative finance, Munich, 2010.
• Financial Modelling – Workshop with Robert C. Merton, Eduardo Repetto, Peng Chen, Sunil Wahal, Bank of Korea, Seoul, Korea, 2015.