Core Dynamics GmbH
Simone has 17 years of experience in providing quantitative ALM solutions to banks, insurance companies, pension funds as well as pioneering scientific research to the risk community. He covers a broad variety of topics in financial and insurance risk management (e.g. market, credit, country, insurance risks) with focus on quantitative risk model and analytics, successfully establishing a bridge between cutting edge research at academic level on the one hand, and practical industrial implementations on the other hand. In addition to his strong analytical background (BSc. Physics, BSc./MSc./PhD Mathematics) Simone is an expert in delivering high-quality projects in fields such as financial risk, credit risk, risk aggregation with associated regulatory interactions, tactical & strategic asset allocation, as well as hedge strategies in banking treasury, institutional asset & fund management and in the hedge fund context. Prior to co-founding Core Dynamics and joining as non-executive Council Director, Simone worked several years for UBS, Zurich Cantonal Bank, Zurich Re, Winterthur Life Insurance in the Greater Zurich area
The authors develop a framework that consistently and fully integrates the market, credit and country transfer risks of a general portfolio of financial assets in a multi-period setup.