The Different Truths of IR Volatility Modeling: About Normality and Black’s Immortality
Dr. Stefan Fink (Presented by UnRisk)
Senior Manager, Advisory, KPMG in Austria
Stefan Fink has a PhD in economics and has been working in quantitative finance roles for financial institutions throughout his career. Currently he is Senior Manager Advisory - Financial Risk Management at KPMG Austria. He has a focus on structured products pricing, as well as investigating robust credit risk modeling and macroeconomic projection techniques. He is also a renowned Finance and Economics Lecturer at Austrian universities and postgraduate training programs.
Forecasting Performance of Markov-Switching GARCH Models: A Large-Scale Empirical Study
Dr. David Ardia (Presented by UnRisk)
Assistant Professor of Finance and Head of the Master of Science in Finance, University of Neuchâtel
David is Assistant Professor of Finance and Head of the Master of Science in Finance at the University of Neuchâtel, Switzerland, and Visiting Professor of Finance at Laval University, Québec City, Canada. He spent several years in the financial industry. He was senior analyst at aeris CAPITAL AG and head of research at Tolomeo Capital AG. In 2008, he received the Chorafas prize for his book Financial Risk Management with Bayesian Estimation of GARCH Models published by Springer. He is the author of several scientific articles and statistical packages. He holds an MSc in Applied Mathematics, a MAS in Quantitative Finance and a PhD in Financial (Bayesian) Econometrics.