CV Long Form

Positions in Finance Industry

Zanders

  • Manager in Risk Advisory Group (RAG) in Zurich, Switzerland
  • Since September 2023

Projects

UNIQA Insurance Group

  • Market Risk Modeling Expert in Vienna, Austria
  • April 2021 - June 2023

Responsibilites:

  • Lead for remediation model changes in the Partial Internal Model (PIM) for market risk; including responsibility for reports and presentation to Financial Market Supervision in Austria (FMA) and the Austrian National Bank (OeNB).
    • Major model changes in (Credit-Metrics like) migration model and spread curve model
    • Several minor model changes related to portfolio composition
      • Successfully resolving remediation issues in PIM made Full Internal Model (FIM) application possible
  • Lead in development of UNIQA’s R package for market risk modeling
    • including risk dasboard creation in shiny and automatisation of monthly, quarterly, sensitivity and several other risk calculations and reports (comparison of Solvency Capital Requirements (SCR) and sensitivities)
  • Responsible for Level 2 and Level 3 documentation, as well as internal technical documentation, on PIM
  • Quarterly reporting and presentation to the Internal Model Committee (IMCO)

Credit Suisse

  • Analyst, Global Arbitrage Trading division (proprietary trading) in London, UK
  • October 2009 - April 2010

Responsibilities:

  • Quantitative support for the Long-Short Equity investment team

Positions in Start-Up Environment

QuantiCo KG

  • CEO, Advisory services in the fields of statistics and applied mathematics in Vienna, Austria
  • January 16 - December 19

Projects:

  • Forecasting of aggregate electricity load demand of 10,000 industry customers for a large German utilities company using dynamic factor models
  • Software development for outlier detection to flag suspicious leasing contracts for a German automotive manufacturer

Mantigma GmbH

  • Statistical consulting and software development in Vienna, Austria
  • June 14 - December 16

Projects:

  • Account balance prediction of retail customers for a large Austrian bank

Positions in Academia

University of Helsinki

Principal Investigator

  • Faculty of Social Sciences, Discipline of Economics in Helsinki, Finland
  • January 2018 - December 2020
  • Funded by Research Foundation of University of Helsinki: 150,000 EUR + own position
  • Supervision of PhD thesis

Project: Macroeconomic and financial time series models with informational asymmetries between outside observers and economic agents

  • Development of SVARMA models driven by non-Gaussian and independent shocks that use only data to identify the economic shocks driving the model and that allow for the informational structure of fiscal policy models.
  • Development of stochastically singular models. Their applications are twofold: On the one hand these models are important for capturing a large number of variables (connected to the “big data” paradigm) and on the other hand they serve as benchmark models for stochastically singular DSGE models.
  • Improving on existing solution methods for DSGE models as well as to improve on methods for assessing their fit to observed data.
  • Implementation: All new contributions to methodology will be implemented in R, Python, or Julia and made available as downloadable packages.

Postdoctoral researcher

  • University of Helsinki, Faculty of Social Sciences, Discipline of Economics, Helsinki, Finland
  • May 16 - December 17

TU Dortmund

  • W3 Professorship (Chair for Econometrics and Statistics), TU Dortmund, Faculty of Statistics, Dortmund, Germany
  • April 18 - March 19
  • Teaching BA (introductory statistics lecture for 1,200 students), MSc, and PhD level classes in statistics and time series analysis.

TU Vienna

Principal Investigator

  • Institute of Mathematical Methods in Economics, Vienna, Austria
  • March 18 - December 19
  • Funded by “Anniversary Fund of the Austrian National Bank (OeNB)”: 125,000 EUR
  • Supervision of PhD thesis and MSc thesis (forecasting with factor models).

Research Objectives:

We intend to contribute to the area of theoretical time series econometrics by obtaining identifiability results, and deriving and analyzing consistent and asymptotically normal estimators for structural singular VAR models (i.e. structural factor models). We provide software for applied researchers by developing, implementing, and documenting our estimation algorithms in the open-source statistical software R and making them openly available. The methods to be developed are expected to not only have an impact on macroeconometrics (and thus in economic policy analysis) and financial econometrics, but they are also promising for short-term forecasting.

Postdoctoral researcher

  • Institute of Statistics and Mathematical Methods in Economics, Vienna, Austria
  • September 15 - January 16

Education

Professional Certificates

Aufsichtsrat Next Generation

Two-semester course held by Kunz Wallentin Rechtsanwälte GmbH aiming to prepare young professionals for serving on supervisory boards. Special attention is given to the opportunities and challenges faced by a young supervisory board member, taking into account the current developments in this field. The relevant content is not only covered theoretically but also through interactive role-playing, short presentations, and exchange with renowned speakers.

Chartered Financial Analyst (CFA)

PhD in Econometrics

  • passed with distinction at University of Vienna, Vienna Graduate School of Economics, Vienna, Austria
  • October 11 - April 15
  • Topics: Multivariate time series analysis (spectral representations, rational expectations models, identifiability issues, factor models, mixed frequency data, Kalman filtering, state space models) and its applications to economic theory
  • Advisors: Manfred Deistler and Benedikt Pötscher
  • Research visits:
    • University of Pennsylvania (Department of Economics, 6 months, invited by Frank Schorfheide)
    • Australian National University (Research School of Information Sciences and Engineering, twice for one month, invited by B.D.O Anderson, author of “Optimal Filtering”)

Ingénieur centralien

  • 3 year degree, Ecole Centrale Paris (in Châtenay-Malabry, France)
  • Promotion 2010 (on campus from September 2007 - June 2009)
  • Specialisation in financial mathematics
    • Final project: Analysis of financial time series with factor-GARCH models under supervision of Frédéric Abergel

Diplom-Ingenieur, Vienna University of Technology

  • 5 year degree, Vienna, Austria
  • Technical Mathematics with a concentration in econometrics passed with distinction

IT and Languages

Languages

  • German: mother tongue
  • English: fluent (TOEFL-iBT score: 115/120 (Oct 2010))
  • French: fluent (C1-certificate of the Alliance Franaise)
  • Spanish: basic knowledge
  • Finnish: very very basic knowledge

Programming

  • R, Python, Julia, MATLAB, C++, Git(-hub), HPC/SLURM: advanced knowledge; developed several R packages (e.g. Rational Linear Dynamic Models); fluent in tidyverse, data.table, shiny, Rcpp, as well as other commonly used packages; most projects are version controlled by git
  • SQL, PostgreSQL, Spark; advanced knowledge
  • Excel, PowerBI, MS Office: advanced knowledge

Publications

See Publications

Selected Presentations

  • NBER Time Series Conference, Hong Kong, August 2019: “Semi-Parametric Estimation of Multivariate Possibly Non-Causal and Possibly Non-Invertible Time Series Models”
  • Asian meeting of the Econometric Society, Xiamen (China), June 2019: “Semi-Parametric Estimation of Multivariate Possibly Non-Causal and Possibly Non-Invertible Time Series Models”
  • Invited talk at TU Braunschweig, December 2017: “Multivariate All-Pass Time Series Models: Modelling and Estimation Strategies”
  • North American Summer Meeting of the Econometric Society, WUSTL Juni 2017: “Identification and Estimation of Structural VARMA Models with Independent and Non-Gaussian Inputs”
  • Invited talk at TU Dortmund, June 2017: “Identification and Estimation of Structural VARMA Models with Independent and Non-Gaussian Inputs”

Extra-Curricular Activities

Forum Alpbach

Several participations in the European Forum Alpbach between 2011 and 2016 (www.alpbach.org), member of board of ``Club Alpbach Burgenland’’ (2015-2016)

Academic Forum for Foreign Affairs

Participation and co-organization of the Global Advancement Program (GAP) between 2011 and 2013 (www.afa.at)