Dr. Richard Schiemert

Email: Firstname@Lastname.com

 

Research Interests

Credit and Interest Rate Modelling, Portfolio Optimisation, Financial Econometrics, Time Series Analysis,

Multivariate Analysis, Artificial Intelligence.

 

 

Academic Background

Ph.D. in QUANTITATIVE FINANCE ["Dr.rer.pol."] (Eichstätt University)

Thesis: Two Empirical Studies on the Pricing in Cash and Synthetic Credit Markets.

M.Sc./B.Sc. in MATHEMATICS (Hagen University)

Focus: Mathematical Statistics (Bayesian & Frequentist), Stochastic Analysis, Numerical Methods for ODEs, PDEs, SDEs.

M.Sc./B.Sc. in FINANCE and ECONOMETRICS ["Dipl.-Kfm."] (Eichstätt University)

Focus: Quantitative Finance, Financial Economics, Financial Econometrics, Time Series Analysis, Multivariate Analysis.

 

 

Publications

[1]

Valuation Differences Between Credit Default Swap and Corporate Bond Markets

Journal of Credit Risk, Vol. 9, No. 4, pp. 3-46, 2013 (with Oliver Entrop and Marco Wilkens)

 
   

[2]

Spread Risk Premia in Corporate Credit Default Swap Markets

Credit and Capital Markets, Vol. 47, No. 4, pp. 571-610, 2014 (with Oliver Entrop and Marco Wilkens)