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