Dr. Gerhard Schweimayer
(Dipl.-Math. oec. Univ.)
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.