Markets and prices:
- Development of stress tests for retail banks
- Modelling and calibration of interest rate dynamics
- Regime-switch models for financial markets
Risk management in banking:
- Analysis of dependencies among different products
- Liquidity risks in the deposits business
- Management and hedge of the consolidated balance sheet of a large bank
- Models for customer's interest rates
- Models for the development of the volumes of different positions of a bank
- Management of non-maturing bank products
- Risk-adjusted optimization of the maturity transformation for retail banks
- Valuation of hybrid financial instruments
- Valuation of prepayment options
- Valuation of trade credits
- Volume risks at savings deposits and mortgages
Strategic Asset Allocation:
- Coherent measuring of financial risks
- FX influences in the strategic Asset Allocation
- Sensitivity analyses with respect to regime switches for the Asset Allocation
- Strategic Asset Allocation integrating liability dynamics