Christoph Frei

University of Alberta

Christoph Frei is a Professor of Mathematical Finance at the University of Alberta. He has served as Chair of its Department of Mathematical and Statistical Sciences since 2022, including one year as Interim Chair.

He grew up in Switzerland and studied mathematics at ETH Zurich, where he completed his PhD in mathematical finance. During his doctoral studies, he gained industry experience in the financial sector. He subsequently held a research position at École Polytechnique in Paris before joining the University of Alberta in 2010. He has also served as a visiting professor at ETH Zurich.

His research lies at the intersection of mathematical finance, risk management, and financial regulation, with applications to credit risk, market microstructure, and systemic risk. His work has benefited from close engagement with industry and policy institutions, including research collaborations with the U.S. Federal Reserve Board and work at UBS on independent validation of risk models in the U.S. regulatory context.

Articles by Christoph Frei

Original research

Bayesian clustering for portfolio credit risk

The authors put forward a Bayesian clustering model for constructing homogeneous risk buckets directly from loan credit histories which assigns weighted memberships across multiple clusters.

30 Jul 2026

Original research

Moment estimators for autocorrelated time series and their application to default correlations

In this paper, the authors analyze how autocorrelation affects MoM estimators commonly used in the industry to determine the latent asset return correlation, and propose a new estimator that includes correction terms to account for the autocorrelation…

14 Mar 2018

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