Projects
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European government bond dynamics and stability policies: taming contagion risks
From 2004 to 2015, the market perception of the sovereign risks of euro area government bonds experienced several different phases, reflected in a clear time structure of the correlation matrix between the yield changes. “Core” and “peripheral” bonds cluster in a bloc-like structure, but the correlations between the ...
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1st European COST Conference on Mathematics for Industry in Switzerland
We aim to bring European academics, young researchers, students and industrial practitioners together to promote «Mathematics for Industry» in Switzerland. We want to promote «Mathematics for Industry» in Switzerland, similar to what ECMI is doing on an European-wide level. We have three thematic workshops, focusing ...
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Estimation of Cyber Risks
Blueprint for estimating cyber risks
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Multi-Asset Investment Process using Bayes Ensembles of Trading Models
Since 2009, low interest rates and asset purchases by central banks are severely distorting investment opportunities and trends in financial markets. The performance of active investment strategies decreased substantially since then. This project aims to provide an investment process that finds the optimal ...
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Retail and Direct Banking
Exploratory research project on the Swiss direct banking market with an external project partner.