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I am currently leading a research group on econophysics at the University of Duisburg-Essen, Germany.

Beyond the academic research of our group, I have also been working on more applied questions for some time.

Market states analysis

Our goal is to quantify the current statistical state of the financial market. Our first step was based on a cluster analysis of stock return correlations. But there is much more to it. And we are actively pushing this forward.

Credit risk modelling

We have focussed our research mainly on the Merton model, which helps to gain many valuable structural insights. We always check the validity of our model results against empirical data, most importantly Moody's Default and Recovery Database. One of our main contributions in this field is to take heterogeneous and time-varying correlations between asset values into account, and yet preserve a good degree of analytical tractability.

Quantitative indicators

Markets are never complete, efficient, fair or in equillibrium. Accepting this allows to explore the possibilies of statistical arbitrage. So far, this has been more of a hobby, but I intend to put my insights to the test.