Sovereign risk is reflected in returns on credit default swaps (CDS) ◦ in a factor analysis we find little influence of the usual fundamentals, instead we find that the single most important explanatory variable is simply an indicator of whether or not the economy is designated as an emerging market.
Indicators > Credit Cycle
Developed for Credit Suisse (2000- 2002) ◦ based on balance sheet data and macroeconomic factors ◦ econometric optimization of the quantitative rating system for corporate client
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.
“SNB Market Analysis Platform (MAP)” is a real-time management information system to increase efficiency and quality of inhouse reporting and briefings on financial markets at SNB.