Prof. Dr. Henriette Elise Breymann

Netzwerk

ORCID digital identifier

ORCID ID: 0000-0002-5260-6800

Projekte

• Data Driven Financial Risk and Regulatory Reporting / Projektleiter:in / abgeschlossen
• Strengthening Swiss Financial SMEs through Applicable Reinforcement Learning / Co-Projektleiter:in / abgeschlossen
• Towards Explainable Artificial Intelligence and Machine Learning in Credit Risk Management / Co-Projektleiter:in / abgeschlossen
• ACTUS Risk Demonstrator / Projektleiter:in / abgeschlossen
• Large Scale Data-Driven Financial Risk Modelling / Projektleiter:in / abgeschlossen
• Mathematics and Fintech: The next revolution in the digital transformation of the finance industry / Projektleiter:in / abgeschlossen
• Standardisierte algorithmische Darstellung von Finanzkontrakten / Projektleiter:in / abgeschlossen
• RENERG2 – RENewable enERGies in future energy supply / Projektleiter:in / abgeschlossen
• Risk- and Finance-Lab / Projektleiter:in / abgeschlossen
• Optimierte Produkt-Service-Bundle für ein neuartiges Heizungssystem auf Brennstoffzellenbasis / Teammitglied / abgeschlossen
• SoE Projekt MPIG / Teammitglied / abgeschlossen
• Management von Rohstoff- und CO2-Risiken im Rahmen eines Systems zur ganzheitlichen Ertrags- und Risikosteuerung von Unternehmen / Projektleiter:in / abgeschlossen

Publikationen

Beiträge in wissenschaftlicher Zeitschrift, peer-reviewed

• Stockinger, K., Bundi, N. A., Heitz, J., & Breymann, W. (2019). Scalable architecture for big data financial analytics : user-defined functions vs. SQL. Journal of Big Data, 6(46). https://doi.org/10.1186/s40537-019-0209-0
• Kavassalis, P., Stieber, H., Breymann, W., Saxton, K., & Gross, F. J. (2018). An innovative RegTech approach to financial risk monitoring and supervisory reporting. Journal of Risk Finance, 19(1), 39–55. https://doi.org/10.1108/JRF-07-2017-0111
• Ajmone-Marsan, M., Arrowsmith, D., Breymann, W., Fritz, O., Masera, M., Mengolini, A., & Carbone, A. (2012). The emerging energy web. The European Physical Journal Special Topics, 214(1), 547–569. https://doi.org/10.1140/epjst/e2012-01705-1
• Breymann, W., Lüthi, D., & Platen, E. (2009). Empirical behavior of a world stock index from intra-day to monthly time scales. The European Physical Journal B, 71, 511–522. https://doi.org/10.1140/epjb/e2009-00341-x
• Breymann, W., Kelly, L., & Platen, E. (2006). Intraday empirical analysis and modeling of diversified world stock indices. Asia-Pacific Financial Markets, 12(1), 1–28. https://doi.org/10.1007/s10690-006-9010-0
• Vollmer, J., Tél, T., & Breymann, W. (2004). Dynamical-system models of transport : chaos characteristics, the macroscopic limit, and irreversibility. Physica D: Nonlinear Phenomena, 187(1-4), 108–127. https://doi.org/10.1016/j.physd.2003.09.005
• Breymann, W., Dias, A., & Embrechts, P. (2003). Dependence structures for multivariate high-frequency data in finance. Quantitative Finance, 3(1), 1–14. https://doi.org/10.1080/713666155
• Eichengrün, M., Schirmacher, W., & Breymann, W. (2000). Quantum chaotic scattering with a mixed phase space : the three-disk billiard in a magnetic field. Physical Review E, 61(1), 382–389. https://doi.org/10.1103/PhysRevE.61.382
• Breymann, W., Ghashghaie, S., & Talkner, P. (2000). A stochastic cascade model for FX dynamics. International Journal of Theoretical and Applied Finance, 3(3), 357–360. https://doi.org/10.1142/S021902490000019X
• Breymann, W., & Voit, J. (1998). Nobelpreis 1997 für Ökonomie : Transporttheorie für Finanzmärkte. Physik Journal, 54(1), 20. https://doi.org/10.1002/phbl.19980540105
• Schirmacher, W., Eichengrün, M., & Breymann, W. (1998). Quantum chaotic scattering and resistance fluctuations in mesoscopic junctions. Physica Status Solidi B, 205(1), 219–222. doi.org/10.1002/(SICI)1521-3951(199801)205:1<219::AID-PSSB219>3.0.CO;2-W
• Vollmer, J., Tél, T., & Breymann, W. (1998). Entropy balance in the presence of drift and diffusion currents : an elementary chaotic map approach. Physical Review E, 58(2), 1672–1684. https://doi.org/10.1103/PhysRevE.58.1672
• Breymann, W., Tél, T., & Vollmer, J. (1998). Entropy balance, time reversibility, and mass transport in dynamical systems. Chaos, 8(2), 396–408. https://doi.org/10.1063/1.166322
• Vollmer, J., Tél, T., & Breymann, W. (1997). Equivalence of irreversible entropy production in driven systems : an elementary chaotic map approach. Physical Review Letters, 79(15), 2759–2762. https://doi.org/10.1103/PhysRevLett.79.2759
• Breymann, W., Ghashghaie, S., Peinke, J., & Talkner, P. (1997). Devisenmärkte und Turbulenz. Physik Journal, 53(4), 339–340. https://doi.org/10.1002/phbl.19970530411
• Eichengrün, M., Schirmacher, W., & Breymann, W. (1996). Quantum manifestations of chaotic scattering in the presence of KAM tori. EPL - A Letters Journal Exploring the Frontiers of Physics, 36(7), 483–489. https://doi.org/10.1209/epl/i1996-00257-1
• Regez, N., Breymann, W., Weigert, S., Kaufman, C., & Müller, G. (1996). Hamiltonian chaos IV. Computers in Physics, 10(1), 39–45. https://doi.org/10.1063/1.168560
• Schatzer, L., Breymann, W., & Thomas, H. (1996). Quasi-degeneracies in a 2-spin system : symmetry aspects and a perturbational approach to tunnel splitting. Zeitschrift Für Physik B: Condensed Matter, 101(1), 131–139. https://doi.org/10.1007/s002570050190
• Depondt, P., & Breymann, W. (1996). Orientation-translation and orientation-orientation correlations in neopentane plastic crystals : computer simulation. Molecular Physics, 87(5), 1015–1037. https://doi.org/10.1080/00268979600100701
• Ghashghaie, S., Breymann, W., Peinke, J., Talkner, P., & Dodge, Y. (1996). Turbulent cascades in foreign exchange markets. Nature, 381(6585), 767–770. https://doi.org/10.1038/381767a0
• Tél, T., Vollmer, J., & Breymann, W. (1996). Transient chaos : the origin of transport in driven systems. EPL - A Letters Journal Exploring the Frontiers of Physics, 35(9), 659–664. https://doi.org/10.1209/epl/i1996-00167-2

Bücher, peer-reviewed

Brammertz, W., Akkizidis, I., Breymann, W., Entin, R., & Rüstmann, M. R. J. (2009). Unified financial analysis : the missing links of finance. Wiley. https://doi.org/10.1002/9781119206071

Buchbeiträge, peer-reviewed

• Breymann, H. E., Hauf, P., & Künzle, C. (2024). Venturing into new ways of regulatory reporting and systemic risk analysis. In Banking Resilience: New Insights on Corporate Governance, Sustainability and Digital Innovation (pp. 417–452). World Scientific. https://doi.org/10.1142/9781800614291_0012
• Breymann, W., Bundi, N., Heitz, J., Micheler, J., & Stockinger, K. (2019). Large-scale data-driven financial risk assessment. In M. Braschler, T. Stadelmann, & K. Stockinger (Eds.), Applied data science : lessons learned for the data-driven business (pp. 387–408). Springer. https://doi.org/10.1007/978-3-030-11821-1_21

Schriftliche Konferenzbeiträge, peer-reviewed

Stockinger, K., Heitz, J., Bundi, N. A., & Breymann, W. (2018). Large-scale data-driven financial risk modeling using big data technology [Conference paper]. 2018 IEEE/ACM 5th International Conference on Big Data Computing Applications and Technologies (BDCAT), 206–207. https://doi.org/10.1109/BDCAT.2018.00033

Weitere Publikationen

• Kavassalis, P., Stieber, H., Breymann, W., Saxton, K., Gross, F., Brammertz, W., Bertolo, S., & Dragiotis, A. (2016). DTD powered by ACTUS : an innovative RegTech approach to financial risk reporting.
• Breymann, W. (2016). Standard algorithmic representation of financial contracts : concepts, applications, and new developments of ACTUS.
• Brammertz, W., Breymann, W., Khashanah, K., & Mendelowitz, A. (2013). ACTUS : the regulatory revolution.
• Breymann, W. (2011). Strategische Beratung von Privatinvestoren. Finanz und Wirtschaft.
• Breymann, W. (2006). Theory of financial risk and derivative pricing - from statistical physics to risk management (2nd ed.). Journal of the American Statistical Association, 101(474), 850–852. https://doi.org/10.1198/jasa.2006.s104
• Breymann, W., & Ghashghaie, S. (1999). Hierarchical structures in financial markets : a “turbulent approach” to stochastic volatility [Conference paper]. In J. Kertész & I. Kondor (Eds.), Econophysics: an emergent science : proceedings of the 1st workshop on econophysics, Budapest, 1997 (pp. 92–106). Kluwer.
• Breymann, W., & Elmer, F.-J. (1997). Welches Chaos erforscht die Chaosforschung? [Conference paper]. In P. Onori (ed.), Chaos in der Wissenschaft : nichtlineare Dynamik im interdisziplinären Gespräch (pp. 159–168). Verlag des Kantons Basel-Landschaft.
• Ghashghaie, S., Breymann, W., Peinke, J., & Talkner, P. (1996). Turbulence and financial markets : a transaction cascade in foreign exchange markets [Conference paper]. In S. Gavrilakis, L. Machiels, & P. A. Monkewitz (Eds.), Advances in turbulence VI : proceedings of the sixth European turbulence conference, held in Lausanne, Switzerland, 2–5 July 1996 (pp. 167–170). Kluwer. https://doi.org/10.1007/978-94-009-0297-8_46
• Weigert, S., Breymann, W., Elmer, F.-J., & Thomas, H. (1995). Chaotische Strukturen in Raum und Zeit. UNI NOVA - Das Wissenschaftsmagazin der Universität Basel, 73, 12.

Mündliche Konferenzbeiträge und Abstracts

• Breymann, W., Kucharczyk, D. A., & Gross, F. (2019, August). Modelling the economy as a network of contracts : an ACTUS-based demonstrator applied to liquidity. 6th Annual Conference of the Society for Economic Measurement, Frankfurt, 16-18 August 2019.
• Breymann, W. (2016). Towards a standardization of stress testing models for banking & insurance. ETH Risk Day 2016: Mini-Conference on Risk Management in Finance and Insurance, Zurich, 16 September 2016.
• Breymann, W. (2016). Modelling and identification of financial products : the ACTUS (algorithmic contract types unified standard) approach. Joint Spring Conference 2016 of E-Finance Lab and IBM: “Identifiers and Identification Management in the Financial World and beyond – Requests, Solutions, and Applications”, Frankfurt, Germany, 16 February 2016.
• Brammertz, W., Breymann, W., & Mendelowitz, A. (2015). ACTUS : a data standard that enables financial analysis based on granular transaction and position data. Second International Conference of the Society for Economic Measurement (SEM), Paris, France, 22-24 July 2015.
• Breymann, W. (2015). The ACTUS project. Optimising the Usage of Standards: Technical Aspects of Standardisation, Workshop, European Central Bank (ECB), Frankfurt, Germany, 1 October 2015.
• Breymann, W. (2015). ACTUS, BIRD and CSDB : an attempt to bring things into perspective. ACTUS, BIRD, CSDB: How Can These Different Initiatives Benefit Each Other?, Frankfurt, Germany, 9 September 2015.
• Breymann, W., & Mendelowitz, A. (2015). ACTUS : a data standard that enables forward-looking analysis for financial instruments? Workshop «Setting Global Standards for Granular Data», London, United Kingdom, 15 January 2015.
• Breymann, W. (2014). ACTUS : a mathematically rigorous, technical language to describe all financial contracts? Foundational Building Blocks for a 21st Century Financial Data Infrastructure, Frankfurt, Germany, 10 November 2014.
• Breymann, W., & Stockinger, K. (2014). Data-driven financial system modeling (DatFisMo). PWC Swiss Data Week 2014, Zurich, 5-9 May 2014.
• Brammertz, W., Breymann, W., & Mendelowitz, A. (2013). ACTUS : the regulatory revolution. BoE Seminar - Bank of England, London, United Kingdom, 19 November 2013.
• Breymann, W., Dingerkus, S., & Heitz, C. (2013). Life cycle management of technical systems and integral financial modeling. World Trends in Maintenance Engineering, Pretoria, South Africa 13-15 August 2013.
• Breymann, W. (2013). The risk and finance lab and the ACTUS project. Swissnex - ZHAW Meeting, Bangalore, India, 22 January 2013.
• Breymann, W. (2013). A prototyping platform for contract based financial simulation and analysis in R. 7th R/Rmetrics Meielisalp Workshop & Summer School on «Computational Finance and Financial Engineering», Meielisalp, 30 June-4 July 2013.
• Breymann, W. (2005). Quantifying risk. Dynamics of Socio-Economic Systems - Deutsche Physikalische Gesellschaft E. V., Bad Honnef, Deutschland, 18-24 September 2005.
• Breymann, W. (2005). Multifractality in financial markets. Dynamics of Socio-Economic Systems - Deutsche Physikalische Gesellschaft E. V., Bad Honnef, Deutschland, 18-24 September 2005. https://storage.sg.ethz.ch/workshops/Summerschool05/PlakatSS05.jpg

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