Friedrich-Alexander Universität (FAU)
Since 2008, Matthias Fischer is working at Bayerische Landesbank (BayernLB) in Munich. Currently, he is Head of Credit Portfolio and Operational Risk (Measurement & Methodology) being responsible – amongst others - for the measurement and modeling of credit portfolio risk and operational risk (OpVaR model). He also gathered experience in LGD and EAD modeling, Early Warning Systems, Rating Migration Matrices, modeling Expected Losses over Lifetime (ELL) and development of Stress Tests.
Above that, Matthias Fischer – who originally studied mathematics in Erlangen - is working as an extraordinary Professor at the Department of Statistics and Econometrics in Nürnberg, where he both earned his PhD thesis (Dr. rer. pol.) in 2001 and his Habilitation in 2005. His research interests cover quantitative risk modeling with focus on credit risk, distribution and dependence modelling as well as different aspects of modeling financial time series. Her has published numerous papers in both national and international journals.
Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model
This paper is devoted to the parameterization of correlations in the Vasicek credit portfolio model. First, the authors analytically approximate standard errors for value-at-risk and expected shortfall based on the standard errors of intra-cohort…
A credit portfolio framework under dependent risk parameters: probability of default, loss given default and exposure at default
This paper introduces a credit portfolio framework that allows for dependencies between default probabilities, secured and unsecured recovery rates and exposures at default (EADs).