Damir Filipovic
Biography
Damir Filipovic holds the Swissquote Chair in Quantitative Finance and is Swiss Finance Institute Professor at the Ecole Polytechnique Fédérale de Lausanne (EPFL), Switzerland. Prior to this, he was head of the Vienna Institute of Finance and professor at the University of Vienna. He previously held the chair of financial and insurance mathematics at the University of Munich, and he was on the faculty of Princeton University. He received his Ph.D. in mathematics from ETH Zurich in 2000.Damir Filipovic worked as a scientific consultant for the Swiss Federal Office of Private Insurance from 2003 to 2004. There he co-developed the Swiss Solvency Test, which defines the regulatory capital requirement for all Swiss based insurance companies and groups.
He is on the editorial board of several academic journals. His research interests include the term structure of interest rates, credit and volatility risk, quantitative methods in risk management, and stochastic processes. His papers have been published in a variety of academic journals including the Journal of Financial Economics, Mathematical Finance, Finance and Stochastics, and the Annals of Applied Probability. He is the author of a textbook titled Term-Structure Models.
Teaching & PhD
Teaching
Financial engineering
PhD Students
Camenzind Nicolas Etienne, Hayes Joshua Joseph, Le Moal Quentin Simon, Ruglioni Andrea,Past EPFL PhD Students
Ackerer Damien Edouard , Boudabsa Lotfi , Cambou Mathieu Jacques David , Colusso Paolo , Divernois Marc-Aurèle Antoine , Leclercq Emmanuel , Statti Francesco , Willems Sander Félix M ,Courses
Interest rate and credit risk models
This course gives an introduction to the modeling of interest rates and credit risk. Such models are used for the valuation of interest rate securities with and without credit risk, the management and hedging of bond portfolios and the valuation and usage of interest rate and credit derivatives.
Quantitative risk management
This course is an introduction to quantitative risk management that covers standard statistical methods, multivariate risk factor models, non-linear dependence structures (copula models), as well as portfolio allocation and diversification.