Marco studied Mathematics in Valencia, Spain and Augsburg, Germany. He holds a doctor's degree from the Department of Finance of the University of Regensburg. Since 2012 he has been working as a risk controller at HypoVereinsbank, UniCredit in Munich. Areas of practical expertise include credit portfolio risk modeling, ICAAP, stress testing, liquidity risk and asset liability management. Marco has published two papers on correlation modeling in a credit portfolio.
Articles by Marco Geidosch
Liquidity stress testing: a model for a portfolio of credit lines
This paper demonstrates how cash outflows due to credit lines can be modeled in a liquidity stress test.