Welcome to my website!
Here, you will find information on my professional and academic background.
I have a strong background in quantitative risk analysis, mathematics, econometrics/statistics, and programming, see my CV and my github profile.
In January 2024, my final single-authored article Identifiability and Estimation of Possibly Non-Invertible SVARMA Models: The Normalised Canonical WHF Parametrisation has been accepted for publication in the Journal of Econometrics.
At the end of 2023, I have made two long-term programming projects on multivariate time series analysis public on github:
- Rational Matrices including documentation and examples
- Collects classes, methods and tools for creating and manipulating rational matrices, i.e. matrices whose entries are rational functions.
- Rational Linear Dynamic Models including documentation and examples
- Provides models for stationary processes with a rational spectral density and methods for their estimation.
Zurich Insurance Group
I am working at Zurich Insurance Group as Senior Market Risk Modeling Expert on the internalisation of the SST market and credit risk model.