Developed for Credit Suisse (2000- 2002) ◦ based on balance sheet data and macroeconomic factors ◦ econometric optimization of the quantitative rating system for corporate client
Products > Credit Cycle
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
Research on time varying credit channel of Swiss banks with Sylvia Kaufmann (then Austrian National Bank – OeNB)
Publications and speeches at investment conferences and board meetings of private and public sector financial institutions.