Credit Risk Evaluation Designed for Institutional Targeting in finance

Dependence Modelling for Credit Portfolios

From October 1st, 2002, Philipp J. Schönbucher is Assistant Professor for Quantitative Methods of Risk Management at the ETH Zurich. In 1995 he received the degree of Diplom-Volkswirt (Diplom-Economist) at the University of Bonn and in 2000 his PhD with a thesis on Credit Risk Modelling. The year 1996-1997 he spent researching at the Financial Markets Group of the London School of Economics and at the Oxford Center for Industrial and Applied Mathematics of the University of Oxford. From 2000-2002 Dr Schönbucher was postdoctoral researcher at the Department of Statistics at the Faculty of Economics at Bonn University. His research interests cover all areas of mathematical finance, in particular the modelling of credit risks but he has also published on other questions like market illiquidity or stochastic volatility. He is associate editor of Finance and Stochastics and frequently invited as speaker at academic and practitioner-oriented conferences and seminars. Further details, a list of publications and working papers can be found on his personal website .