Curriculum vitae

Damir Filipovic
Swiss Finance Institute
Ecole Polytechnique Fédérale de Lausanne, Switzerland
Contact webpage

Born on 26 March 1970 in Flawil (Switzerland), Swiss citizen.

Swissquote Chair in Quantitative Finance, and Swiss Finance Institute Professor, Ecole Polytechnique Fédérale de Lausanne (EPFL), since Jan 2010, Head of Swiss Finance Institute @ EPFL, since Jan 2011.

Head of Vienna Institute of Finance, and Full Professor (§99), Faculty of Business, Economics and Statistics, University of Vienna, Oct 2007 to Dec 2009.

Full Professor, Chair of Financial and Insurance Mathematics, Department of Mathematics, University of Munich, Oct 2004 to Sep 2007.

Visiting Professor, Faculty of Business, University of Technology Sydney, Dec 2006.

Scientific Consultant for Solvency Testing and Risk Analysis in Insurance, Swiss Federal Office of Private Insurance (BPV), and Senior Researcher, Department of Mathematics, ETH Zurich, Aug 2003 to Sep 2004.

Tenure-Track Assistant Professor, Department of Operations Research and Financial Engineering, Princeton University, Feb 2002 to Jun 2003.

Postdoctoral Research Fellow, Department of Mathematics, ETH Zurich, Jun 2001 to Jan 2002.

Adjunct Assistant Professor, Department of Mathematics and Statistics, Columbia University, Apr to May 2001.

Visiting Research Fellow, Bendheim Center for Finance, Princeton University, Mar 2001.

Morgan Stanley Visiting Scholar, Graduate School of Business, Stanford University, Jan to Feb 2001.

Visiting Scholar, Department of Financial and Actuarial Mathematics, Vienna University of Technology, Nov to Dec 2000.

Teaching Assistant, Department of Mathematics, ETH Zurich, Apr 1995 to Oct 2000.

Teacher for Mathematics and Physics, Kantonsschule St.Gallen, Apr 1992 to Mar 1994.

Finance and insurance mathematics; quantitative risk management and regulation; volatility, credit and interest rate risk; affine and polynomial processes; stochastic models

Ph.D. in Mathematics, ETH Zurich, Mar 2000

Diploma in Mathematics, ETH Zurich, Apr 1995

Matura (Typus C), Kantonsschule St.Gallen, Jan 1990

Louis Bachelier Prize, awarded by the London Mathematical Society, the Natixis Foundation for Quantitative Research and the Société de Mathématiques Appliquées et Industrielles, 2016 (prize)

AXA-EGRIE Prize at World Risk and Insurance Economics Congress, 2010

ETH Medal for Ph.D. thesis, 2000

Prize of the Dimitris N. Chorafas Foundation for Ph.D. thesis, 2000

ETH Medal for diploma thesis, 1995

ERC Starting Grant “Polynomial Term Structure Models”, Dec 2012 to Nov 2017 (ERC)

SCOR Actuarial Fellowship for doctoral students (M. Cambou), Sep 2011 to Aug 2014

NCCR FINRISK (National Centre of Competence in Research “Financial Valuation and Risk Management”), Individual Project on “Dynamic Asset Pricing”, 2010 to 2013 (Project Director)

FWF (Austrian Science Fund) Stand-alone Project P21709 “Dynamic Collateralized Debt Obligations Modeling”, Mar 2010 to Feb 2013 (Co-PI)

WWTF (Vienna Science and Technology Fund) Science Chair in “Mathematics and Economics”, Oct 2007 to Sep 2012 (Co-PI)

Munich Re Grant for doctoral students (G. Svindland), Nov 2005 to Apr 2007

Munich Re Grant for doctoral students (N. Vogelpoth), Nov 2006 to Apr 2008

“A Term Structure Model for Dividends and Interest Rates” 
Finance Seminar, Smurfit Graduate Business School, University College Dublin, 28 March 2019

“Digitalization in Banking” 
La Semaine de la Digitalisation, University of Lausanne, 15 February 2019 (seminar)

“A Machine Learning Approach to Portfolio Risk Management” 
Mathematical Finance Seminar, Bielefeld University University, 9 January 2019 (seminar)

“A Term Structure Model for Dividends and Interest Rates” 
Consortium for Data Analytics in Risk Seminar, UC Berkeley, 31 July 2018 (seminar)

“A Machine Learning Approach to Portfolio Risk Management” 
Advanced Financial Technologies Laboratory Seminar, Stanford University, 17 July 2018 (seminar)

“A Machine Learning Approach to Portfolio Risk Management” 
Minisymposium on Financial Tech, SIAM Annual Meeting, Portland, 11 July 2018 (conference)

“On the Relation between Linearity-Generating Processes and Linear-Rational Models” 
SFI Research Days, Gerzensee, 5 June 2018 (conference)

“On the Relation between Linearity-Generating Processes and Linear-Rational Models” 
Econometrics-Finance Seminar, Aarhus University, 31 May 2018 (seminar)

“On the Relation between Linearity-Generating Processes and Linear-Rational Models” 
Risk and Stochastics Conference, London School of Economics and Political Science, 20 April 2018 (conference)

Cambridge – Lausanne Workshop 2018 (discussant), Cambridge University, 24 March 2018 (workshop)

“Replicating Portfolio Approach to Capital Calculation” 
Opening Conference, Verona Paris Stochastic Modeling Semester, Verona University, 19 December 2017 (conference)

“Risk Management and Regulation”  (panel session)
Panel discussant, Workshop on Risk Measurement and Regulatory Issues in Business, Université de Montréal, 11-14 September 2017 (workshop)

“Replicating Portfolio Approach to Capital Calculation” 
Invited speaker, Workshop on Risk Measurement and Regulatory Issues in Business, Université de Montréal, 11-14 September 2017 (workshop)

“Replicating Portfolio Approach to Capital Calculation” 
Plenary Session, 52nd Actuarial Research Conference, Georgia State University, 27 July 2017 (conference)

“Polynomial Jump-Diffusion Models” (lecture)
CEAR/Huebner Summer Risk Institute, Georgia State University, 25-26 July 2017 (institute)

“Polynomial Jump-Diffusion Models”
Invited Paper Session, 61st World Statistics Congress of the International Statistics Institute (ISI), Marrakech, 17 July 2017 (congress)

“Polynomial models in finance”  (mini course)
School and Workshop on Dynamical Models in Finance, EPFL, 22-24 May 2017 (school)

“Replicating Portfolio Approach to Capital Calculation” 
Zürich-Hannover-Workshop on Insurance and Financial Mathematics, SCOR Zurich, 4 May 2017 (workshop)

“Replicating Portfolio Approach to Capital Calculation” 
Key Note Speaker, Conference on Innovations in Insurance, Risk- and Asset Management, Technical University of Munich, 7 April 2017 (conference)

“Affine Modelling of Credit Risk, Pricing of Credit Events and Contagion”  (discussant)
Banque de France Seminar, Paris, 22 March 2017

“Replicating Portfolio Approach to Capital Calculation” 
Swissquant Workshop, Zurich, 10 March 2017

“Polynomial models in finance”  (mini course)
16th Winter School on Mathematical Finance, Lunteren, 23-25 January 2017 (winter school)

“Systemic Risk and Central Clearing Counterparty Design” 
Winter School on Systemic Risk, EPFL, 10 January 2017 (winter school)

“Replicating Portfolio Approach to Capital Calculation” 
Institute of Actuaries of Belgium (IA|BE) Chair 2016, Brussels, 1 December 2016 (lecture) (slides)

“Replicating Portfolio Approach to Capital Calculation” 
Mathematisches Kolloquium, University of Freiburg, 13 October 2016 (colloquium)

“Replicating Portfolio Approach to Capital Calculation” 
9th World Congress of the Bachelier Finance Society, New York, 19 July 2016 (congress)

“Systemic Risk and Central Clearing Counterparty Design” 
GRI-Fields Conference on the Stability of Financial Systems: Modelling, Regulation and Stress Testing, Toronto, 28 June 2016 (conference)

“Replicating Portfolio Approach to Capital Calculation” 
Versicherungsmathematisches Kolloquium, LMU Munich, 13 June 2016 (seminar)

“Systemic Risk and Central Clearing Counterparty Design” 
SFI Research Days, Gerzensee, 6 June 2016 (conference)

“Linear-Rational Term Structure Models” 
Mathematical Finance Seminar, Universités Paris 6 and Paris 7, 16 Apr 2016 (seminar)

“Linear-Rational Term Structure Models” 
Finance Seminar, University of Zurich, 11 Mar 2016 (seminar)

“Linear-Rational Term Structure Models” 
Quantitative Finance Seminar, Université catholique de Louvain, 19 Feb 2016 (seminar)

“Linear-Rational Term Structure Models” 
Key Speaker, Frontiers in Stochastic Modelling for Finance, Padua, Feb 2016 (conference)

“Is Asset Management the Right Strategic Initiative for Swiss Banking?” (panel discussant)
10th Annual Meeting of the Swiss Finance Institute, Zurich, Nov 2015 (meeting)

“Linear-Rational Term Structure Models” 
Finance Research Seminar, University of St.Gallen, Oct 2015 (seminar)

“Replicating Portfolio Approach to Solvency Capital Calculation” 
The Mathematics and Statistics of Quantitative Risk Management, MFO Oberwolfach, Sep 2015 (workshop)

“On the Relation between Linearity-Generating Processes and Linear-Rational Models” 
Mathematical Finance Beyond Classical Models, ETH, Sep 2015 (workshop)

“Linear-Rational Term Structure Models” 
Term Structure Modelling and the Zero Lower Bound, Banque de France, Paris, June 2015 (workshop)

“Polynomial Preserving Diffusions and Applications in Finance” 
Advanced Modelling in Mathematical Finance, Kiel, May 2015 (conference)

“Linear Commodity Futures Models” 
Stochastics of Environmental and Financial Economics, Norwegian Academy of Sciences, Oslo, April 2015 (conference)

“Systemic Risk and Central Counterparty Clearing” 
Workshop on Systemic Risk and Financial Networks, UCLA, March 2015 (workshop)

“Model Uncertainty and Scenario Aggregation” 
Journées Actuarielles de Strasbourg, September 2014 (workshop)

“Systemic Risk and Central Counterparty Clearing” 
Workshop on Systemic Risk: Models and Mechanisms, Cambridge University, August 2014 (workshop)

“Model Uncertainty and Scenario Aggregation” 
Dependence Day, Swiss Re Centre for Global Dialogue, Zurich, 4 July 2014

“Linear-Rational Term Structure Models”
8th World Congress of the Bachelier Finance Society, Brussels, Jun 2014 (conference)

“Polynomial Models in Finance”
Festvortrag Carathéodory Gesellschaft, LMU Munich, 16 May 2014 (seminar)

“Power Heston model” (short communication)
Stochastic Analysis in Finance and Insurance, MFO Oberwolfach, May 2014 (conference)

“Polynomial Commodity Futures Models” 
Workshop on Random Fields in Energy and Weather Finance, Wolfgang Pauli Institute, Vienna, Apr 2014 (workshop) 

“Model Uncertainty and Scenario Aggregation” 
RiskMinds Insurance 2014, Amsterdam, Mar 2014 (conference) 

“Linear-Rational Term Structure Models” 
Keynote Speaker, Symposium on Interest Rate Models in a Low Rate Environment, Claremont Graduate University, Mar 2014 (symposium) 

“Linear-Rational Term Structure Models” 
Center for Financial and Risk Analytics Seminar, Stanford University, Mar 2014 (seminar) 

“Linear-Rational Term Structure Models” 
Seminar on Mathematical Finance, Vienna, Jan 2014 (seminar) 

“Linear-Rational Term Structure Models” 
London Mathematical Finance Seminar, Nov 2013 (seminar) 

“Systemic Risk with Central Counterparty Clearing” 
Finance and Stochastics Seminar, Imperial College London, Nov 2013 (seminar) 

“Linear-Rational Term Structure Models” 
Cambridge Finance Seminar, Nov 2013 (seminar) 

“Scenario Aggregation for Solvency Regulation” 
Plenary speaker, 6th General AMaMeF and Banach Center Conference, Warsaw, Jun 2013 (conference) 

“Risk-Based Solvency Regulation and Scenario Aggregation” 
Finance Research Seminar, Vienna Graduate School of Finance, Jun 2013 (seminar) 

“Scenario Aggregation for Solvency Regulation” 
De Finetti Risk Seminar, Milano, Apr 2013 (seminar) 

“Scenario Aggregation for Solvency Regulation” 
Plenary talk, IMA Conference on Mathematics in Finance, Edinburgh, Apr 2013 (conference) 

“Scenario Aggregation for Solvency Regulation” 
Indices of Riskiness and New Risk Measures, ETH Zurich, Mar 2013 (workshop) 

“Schweizer Solvenztest – Solvency II: Auswirkungen auf die Schweizer Wirtschaft” 
Swiss Finance Institute Connecting Minds, Zurich, Mar 2013 (event, documents) 

“Polynomial Term Structure Models” 
The Seventh Bachelier Colloquium on Mathematical Finance and Stochastic Calculus, Metabief, Jan 2013 (conference) 

“Risk-Based Solvency Regulation” 
ETH Risk Center Seminar, ETH Zurich, Dec 2012 (progam) 

“Polynomial Term Structure Models” 
Perspectives in Analysis and Probability. Conference in Honor of Freddy Delbaen, ETH Zurich, Sep 2012 (conference) 

“Polynomial Term Structure Models” 
Stochastic Analysis and Applications, EPFL, Jun 2012 (conference) 

The Term Structure of Interbank Risk
Global Derivatives Trading & Risk Management Conference, Barcelona, Apr 2012 (conference)

“The Term Structure of Interbank Risk”
Invited talk, Conference on Liquidity and Credit Risk, Freiburg, Mar 2012 (conference)

“Polynomial Term Structure Models”
Invited talk, 10th German Probability and Statistics Days, Mainz, Mar 2012 (conference) 

“The Term Structure of Interbank Risk”
The Mathematics and Statistics of Quantitative Risk Management, MFO Oberwolfach, Feb 2012 (conference)

“The Term Structure of Interbank Risk”
Finance Seminar, University of Zurich, Dec 2011

“The Term Structure of Interbank Risk”
Workshop on Interest Rate and Credit Risk, Chemnitz, Nov 2011 (conference)

“The Term Structure of Interbank Risk”
Talks in Financial and Insurance Mathematics, ETH Zurich, Nov 2011

“The Term Structure of Interbank Risk”
Workshop on Mathematical Modeling of Systemic Risk, Paris, June 2011 (conference)

“Quadratic Variance Swap Models: Theory and Evidence”
Keynote lecture, 8th FINRISK Research Day, Gerzensee, June 2011 (conference)

“Variance Swap Curve Models”
Seventh Seminar on Stochastic Analysis, Random Fields, and Applications, Ascona, May 2011 (conference)

Princeton-Lausanne Workshop on Quantitative Finance (Discussant), Lausanne, May 2011 (conference)

“Variance Swap Rate Factor Models”
Recent Developments in Mathematical Finance, Stockholm, May 2011 (conference)

“Quadratic Variance Swap Term Structure Models”
Global Derivatives Trading & Risk Management Conference, Paris, Apr 2011 (conference)

“Quadratic Variance Swap Models: Theory and Evidence”
Actuarial and Financial Mathematics Conference, Brussels, Feb 2011 (conference)

“Identifiable Term-Structure Models” (short communication)
Stochastic Analysis in Finance and Insurance, MFO Oberwolfach, Jan 2011 (conference)

“Quadratic Variance Swap Models: Theory and Evidence”
Finance Seminar, University of Geneva, Dec 2010

“Pricing and Hedging Collateralized Debt Obligations”
5th Annual Meeting of the Swiss Finance Institute, Zurich, Nov 2010 (conference)

“Quadratic Variance Swap Models: Theory and Evidence”
Risk Day, Zurich, Sep 2010 (conference)

“Quadratic Variance Swap Models: Theory and Evidence”
Annual Meeting of the Swiss Association of Actuaries, St.Gallen, Sep 2010 (conference)

“Quadratic Variance Swap Models: Theory and Evidence”
73rd Annual Meeting of the Institute of Mathematical Statistics (IMS), Gothenburg, Aug 2010 (conference)

“Equivalent Measure Changes for Jump-Diffusions”
Analysis, Stochastics, and Applications, Vienna, Jul 2010 (conference)

“Quadratic Variance Swap Models: Theory and Evidence”
Plenary Speaker, 6th World Congress of the Bachelier Finance Society, Toronto, Jun 2010 (conference)

“Pricing and Hedging of CDOs: a Top-down Approach”
Workshop on Foundations of Mathematical Finance, Fields Institute, Toronto, Jan 2010 (conference)

2009: Quantitative Methods in Finance, Sydney; Workshop Spectral and Cubature Methods in Finance and Econometrics, University of Leicester; Adam Smith Asset Pricing Conference (Discussant), University of Oxford; Mathematical Finance Seminar, University of Oxford; Financial Mathematics and Applied Probability Seminar, King’s College London

2008: Seminar in Financial and Insurance Mathematics, ETH Zurich; Séminaire de Finance Quantitative, EPF Lausanne; Workshop on Dynamic and Multivariate Risk Measures, Institut Henri Poincaré, Paris; Workshop on Portfolio Risk Management, TU Vienna; Johann Radon Institute for Computational and Applied Mathematics, Kick-off-Workshop Special Semester on Stochastics with Emphasis on Finance; 12th International Congress on Insurance:Mathematics and Economics, Dalian, China; Stochastic Analysis and Applications: from Mathematical Physics to Mathematical Finance, Princeton University; Sixth Seminar on Stochastic Analysis, Random Fields and Applications, Ascona; Workshop on the Mathematics and Statistics of Quantitative Risk Management, MFO Oberwolfach; Mathematisches Kolloquium, University of Vienna; Croatian Quants Day, Zagreb; Probability Seminar, University of Zagreb; Mini-Workshop on Mathematics of Solvency, MFO Oberwolfach; Workshop on Stochastic Analysis in Finance and Insurance, MFO Oberwolfach; Quantitative Finance Seminar, Humboldt-Universität zu Berlin; Research Seminar, Department of Statistics and Mathematics , WU Vienna

2007: Internal Models in Risk Management, Amsterdam Center for Finance and Insurance; Actuarial Science Seminar, University of Amsterdam; Kolloquium des Instituts für Statistik und Decision Support Systems, University of Vienna; Pauli Symposium on PDEs in mathematical

EPFL: Fixed Income Analysis FIN-505 (2016, 2015, 2014, 2013, 2012, 2011), Stochastic Calculus II FIN-409 (2015, 2014, 2013, 2012, 2011, 2010), Credit Risk and Fixed Income Analysis FIN-501 (2010)

WU Executive Academy: Advanced Financial Mathematics and Structured Derivatives: Interest Rate Derivatives, Dec 2008 (with A. Pelsser)

Vienna Graduate School of Finance: Interest Rate Models (2009, 2008)

University of Munich: Finanzmathematik in stetiger Zeit (2007 and 2005), Mathematische Methoden des Risikomanagements (2006), Zinsmodelle (2005/06), Mathematical Finance in discrete time (2004/05)

Princeton University: Stochastic Calculus and Finance ORF527 (2003), Fixed Income Models ORF555 (2002/03), Stochastic Calculus for Engineering and Finance ORF515 (2002)

Columbia University: Affine Processes and Applications in Finance (minicourse, 2001)

ETH Zurich: Risk-Based Supervision (2004), Introduction to Mathematical Finance: Interest Rate Models (joint with F. Delbaen and others, 2001/02), Special Topics in Mathematical Finance: Affine Term Structure Models (joint with F. Delbaen and others, 2000)

Doctoral Theses: Francesco Statti, Computational Finance (jointly with D. Kressner), EPFL, since Sep 2015; Sander Willems, SFI @ EPFL, since Jul 2015; Damien Ackerer, Polynomial Models in Finance, SFI @ EPFL, Sep 2013 to Dec 2017; Mathieu Cambou, Essays on Capital Calculation in Insurance (jointly with A. Davison), EPFL, Sep 2011 to Nov 2016 (Award: Gauss-Nachwuchspreis 2016 of the DGVFM); Emmanuel Leclercq, Three Essays on Asset Pricing, SFI @ EPFL, Jun 2010 to Sep 2014; Zehra Eksi, Essays in Credit and Inflation Linked Derivatives, University of Vienna, Oct 2007 to Sep 2011; Christa Cuchiero (co-supervisor), Vienna University of Technology/ETH Zurich, Jul 2007 to Apr 2011; Nicolas Vogelpoth, L0-convex Analysis and Conditional Risk Measures, University of Vienna, Jul 2006 to Oct 2009; Gregor Svindland, Risk Measures Beyond Bounded Risks, University of Munich, Mar 2005 to Feb 2009 (Awards: Gauss-Nachwuchspreis 2008 of the DGVFM, and SCOR-Prize 2009)

Master Theses, EPFL: L. Angelini, Hedge Fund Conviction: Evidence from Form 13F Filings, 2016; T. Hitzig, High-frequency trading and limit order book indicators (jointly with T. Rheinländer, TU Wien), 2016; D. Thizeau, Bayesian Model Averaging for Risk Factor Selection, 2016; X. Ding, Bayesian networks model and application in finance with partially observed data, 2015; F. Labriola, Volatility in Equity Markets, 2015; J. Sidrak, Quantitative Stress Testing, 2015; Z. Zhong, Market-Consistent Economic Scenario Generator in Life Insurance, 2015; T. Aubert, The longevity risk in the Solvency II framework, 2014; E. De Picciotto, Term Premium Estimation with Survey Data, 2014; Y. Wang, A Simplified Approach To Calculating Target Capital for Insurance Companies, 2014; J. Yang, Hedging in Private Equity, 2014; Y. Mesquida, Building & simulating investment strategies for the Swissquote’s ePrivate Banking solution, 2013; Y. Ma, Portfolio Selection and Allocation: Methods and Advances from Practice, 2013; H. Jia, New Aspects of The Replicating Portfolio for Group Life Insurance, 2013; C. Ji, Credit Cycle Estimation – From Historical Defaults and Macroeconomics, 2013; L. Ibragimova, Portfolio optimization with market, liquidity and credit risk, 2013; S. Bertino, Counterparty Credit Exposure and CVA, 2013; Y. Shao, An Exchange Rate Assessment, 2011; J. Liu, Interest Rate Modelling in Insurance Risk Management, 2011

Diploma Theses, University of Munich: C. Rudolph, Dependent Defaults in Intensity Based Models, 2008; N. Massoudi, Kreditrisiko unter unvollständiger Information, 2008; Y. Shang, Heath-Jarrow-Morton-Modell mit Quadratwurzelvolatilität, 2008; J. Brumm, The Impact of Loan Securitization on Bank Strategy, 2008; M. Bauer, Risikoaggregation mit Copulas im Rahmen der Ermittlung des Gesamtbankrisikos, 2007; C.I. Exner, Modeling the Calendar Year Risk within Additive and Multiplicative Loss Reserve Models, 2007; M. Shkolnikov, Matrix-valued affine diffusions, 2007; A. Merzbach, Der Bausparvertrag als Zinsoptionsgeschäft, 2006; N. Vogelpoth, Some Results on Dynamic Risk Measures, 2006

Master Theses of Advanced Studies in Finance, ETH Zurich: A. Bailly, Cost of Capital and Surrender Options for Guaranteed Return Life Insurance Contracts, 2005

Senior Theses, Princeton University, 2002 to 2003: L. Beryl, Collateralized Debt Obligations; E. Cong, Estimating the Term Structure of Interest Rates Using Linear Programming and Parsimonious Functional Forms; E. Sharef, Quantitative Evaluation of Consistent Forward Rate Processes; K. Walsh, A Quantitative Analysis of the 2000 California Electricity Crisis

Associate Editor:

  • Mathematics and Financial Economics, Apr 2010 to Dec 2016
  • Stochastics, since Apr 2008
  • Asia-Pacific Financial Markets, since Mar 2006
  • Mathematical Finance, since Apr 2004
  • Finance and Stochastics, since Jun 2002
  • SIAM Journal on Financial Mathematics, Jul 2008 to Dec 2014
  • Stochastic Processes and Their Applications, Jul 2005 to Jul 2007

Editor (Co-Chair), European Actuarial Academy Series, Apr 2007 to May 2012

Program Committee, European Finance Association Meeting, Carcavelos, 2019 (meeting)

Co-organizer SFI Knowledge Exchange Seminar on FinTech, Geneva, 13 November 2018

Organizer Swissquote Conference 2018 on Machine Learning in Finance, EPFL, 9 November 2018 (conference)

Co-organizer Swiss Risk and Insurance Forum on Insurance: Models, Digitalization, and Data Science, Swiss Re Centre for Global Dialogue, Zurich, 5-6 November 2018

Program Committee, European Finance Association Meeting, Warsaw, 2018 (meeting)

Co-organizer SFI Knowledge Exchange Seminar on Banking on Blockchain, EPFL, 21 March 2018

Organizer Swissquote Conference 2017 on FinTech, EPFL, 3 November 2017 (conference)

Co-organizer School and Workshop on Dynamical Models in Finance, Bernoulli Center, EPFL, 22-24 May 2017 (workshop)

Co-organizer Swiss Risk and Insurance Forum on Asset-Liability Management for Long-Term Insurance Business, Swiss Re Centre for Global Dialogue, Zurich, 15-16 May 2017 (workshop)

Program Committee, European Finance Association Meeting, Mannheim, 2017 (meeting)

Organizer Swissquote Conference 2016 on the Future of Banking, EPFL, 4 November 2016 (conference)

Program Committee, European Finance Association Meeting, Oslo, 2016 (meeting)

Program Committee, European Financial Management Association Meeting, Basel, 2016

Co-organizer Swiss Risk and Insurance Forum on Old-Age Provision: Past, Present, Future, Swiss Re Centre for Global Dialogue, Zurich, 16-17 Nov 2015 (conference)

Organizer and Scientific Committee, 7th General AMaMeF and Swissquote Conference, EPFL, Sep 2015 (conference)

Program Committee, and Session Chair Term Structure Modeling, European Finance Association Meeting, Vienna, 2015 (meeting)

Organizer Swissquote Conference on Algorithmic and High-Frequency Trading, EPFL, 7 Nov 2014

Program Committee, European Finance Association Meeting, Lugano, 2014 (meeting)

Scientific Committee, Bachelier Finance Society 8th World Congress, Brussels, 2014 (congress)

Co-organizer expert forum on Risk Measures and Regulation in Insurance, Swiss Re Centre for Global Dialogue, Zurich, 22-23 May 2014 (conference)

Co-organizer Workshop on Risk Quantification at CRAG Symposium, EPFL, 20-22 Nov 2013 (symposium)

Organizer Swissquote Conference on Commodities and Energy, EPFL, 1 Nov 2013

Organizer Invited Paper Session on Stochastics in Finance, 29th European meeting of Statisticians, Budapest, 20-25 Jul 2013 (conference)

Co-organizer 2nd Princeton-Lausanne Workshop on Quantitative Finance and Economics, Princeton, 3-4 May 2013 (workshop)

Organizer Swissquote Conference on Liquidity and Systemic Risk, Lausanne, 8-9 Nov 2012

Scientific Advisory Committee, Bachelier Finance Society 7th World Congress, Sydney, 19-22 Jun 2012

Organizer Swissquote Conference on Asset Management, Lausanne, 20-21 Oct 2011

Organizer Special Session on Affine Processes and Applications in Finance, Applied Probability Society conference, Stockholm, 6-8 Jul 2011

Organizer Princeton-Lausanne Workshop on Quantitative Finance, Lausanne, 13-14 May 2011

Organizer Swissquote Conference on Interest Rate and Credit Risk, Lausanne, 28-29 Oct 2010

Organizer Special Session on Mathematical Finance, 33rd Conference on Stochastic Processes and their Applications, Berlin, 27-31 Jul 2009

Scientific Committee, Bachelier Finance Society 5th World Congress, London, 15-19 Jul 2008

Co-organizer of the annual Scientific Day of the German Association for Actuarial and Financial Mathematics (DGVFM), 2005 to 2008

President of the Bachelier Finance Society, 2016 to 2017

Member of the Beirat der Carathéodory-Gesellschaft, University of Munich, since Sep 2014

Vice-President of the Bachelier Finance Society, 2014 to 2015

Member of the scientific committee of the CRAG (Center on Risk Analysis and Governance) at EPFL, 2013 to 2015

Member of the evaluation committee of CEREMADE, University Paris-Dauphine, Nov 2012

Member of the Selection Committee for the Allocation of Max Planck Research Awards 2012

Member of the Board of Directors of Swiss Life Holding Ltd, since May 2011

Director of the Swiss Finance Institute PhD program at EPFL, Aug 2010 to Dec 2011

Member of the Council of the Bachelier Finance Society, 2010 to 2013

Selection Committee Member for SCOR Fellowship Switzerland, 2010 to 2016

Faculty Member of the Vienna Graduate School of Finance, Oct 2007 to Dec 2009

Committee Member for SCOR’s Actuarial Prize Germany, 2008 to 2012

Research Fellow, Netspar (Network for Studies on Pensions, Aging and Retirement), 2008 to 2011

Member of the Austrian Actuarial Society (AVÖ, 2008 to 2009), the German Association for Actuarial and Financial Mathematics (DGVFM, since 2005), and the Swiss Association of Actuaries (SAV, since 2000)

Member of the examination board of the German Actuarial Society (DAV) for “Wert- und risikoorientierte Unternehmenssteuerung”, 2006 to 2009

Solvency II – consultation for Quantitative Impact Study 4 (QIS4) standard model, Mar 2008

QIS3 Benchmarking Study, on behalf of the Chief Risk Officer (CRO) Forum, 2007

Benchmarking Study of Internal Models, on behalf of the Chief Risk Officer (CRO) Forum, 2005

Various other consultancies in the financial and insurance industry on Solvency II related topics