Christoph Wunderer

Christoph Wunderer obtained his PhD in Applied Mathematics from the University of Cambridge (UK) in 2004. Subsequently, he worked for 9 years as a consultant with Oliver Wyman in London and Madrid advising banks in the area of financial risk management. He now heads the Risk & Capital division at Sparkassen Rating & Risikosysteme GmbH, a central expert unit of the German Savings Banks Finance Group.

Articles by Christoph Wunderer

Original research

Asset correlation estimation for inhomogeneous exposure pools

This study investigates the systematic error that is made if the exposure pool underlying a default time series is assumed to be homogeneous when in reality it is not.

16 Sep 2019