Products > Credit Cycle

Credit and leverage are key economic risk factors.  Knowing the strengths and limitations of the main credit models affects optimal asset allocation and central bank policy alike.

Early Warning System for Swiss Corporate Credit Risk

Developed for Credit Suisse (2000- 2002) ◦ based on balance sheet data and macroeconomic factors ◦ econometric optimization of the quantitative rating system for corporate client

Read More

Credit Risk Models at Credit Suisse

Evaluated credit risk models (Credit Metrics, CreditRisk+, KMV) and a proprietary neural network solution at Credit Suisse for the assessment of corporate credit risks ◦ econometric consulting in various applied research projects

Read More

Time Varying Credit Channel

Research on time varying credit channel of Swiss banks with Sylvia Kaufmann (then Austrian National Bank – OeNB)

Read More

Real Estate and Mortgage Trends

Publications and speeches at investment conferences and board meetings of private and public sector financial institutions.

Read More