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Dr. Gerhard Schweimayer
(Dipl.-Math. oec. Univ.)
Dear Visitor,
I studied Mathematics and Economics at the University of
Augsburg, Germany. My masters
dissertation deals with "Collateralized Trading". Thereby, the
emphasis is on portfolio optimization and the application of the Value at Risk
principle (for more information please be referred to
topic "Research").
In 2003, I successfully finished my doctoral thesis at the Banking and Finance Institute of
the University of Augsburg. My thesis investigates "Risk Management
with Macro-Derivatives" based on discrete time processes.
While CDO/ABS instruments try to eliminate specific credit risk by
referring to a basket of reference obligations Macro Derivatives separate
systematic from specific credit risk by referring to a macro
economic index.
Specific credit risk is subject to information asymmetry and thus causes
moral hazard and adverse selection. Macro Derivatives are supposed to reduce
information asymmetry by using observable macroeconomic indicators as their underlying, that describe the systematic part of risk.
Latest economic development has shown that is not only vital for banks to be in
a position to manage economic risk actively. Macro Derivatives, which are also
referred to as Derivatives on Economic Statistics, will help to do so,
as they are not only applicable to systematic credit risk but to any kind of
risk related to the behaviour of macroeconomic
indicators.
Interested readers
are able to acquire or download my thesis at Shaker Publishing (see
also topic "Research" in the navigation bar on the left hand side).
For a quick overview you can download the German abstract.
As concerns my professional
career I am concerned with and interested in all topics that deal with
Risk Measurement, Risk- and Valuation Models (e.g. the implementation of Term
Structure Models) and the information technology and programming involved. As
well as the behavior of capital markets and the impact of regulatory
requirements like Basel III and MaRisk.
If you have any comments on the content of this site, especially the
research articles, feel free to contact me via email as indicated below.