Areas of Expertise and Selected Research Projects

 

Investment Strategies & Trading

Alpha Strategies in Credit Markets

The European Alpha Core - Exploring the Credit Spread Puzzle

Systematic Momentum Model for European iTraxx Indices

Determination of Liquidity Premia in Incomplete Markets

 

Portfolio Construction & Capital Allocation

Efficient Capital Allocation in an Event Risk Framework

Regime Identification and Asset Allocation

Optimal Capital Allocation for Mean Reverting Trades

 

Valuation & Pricing

Credit Risk Pricing in a Hybrid Debt to Equity Framework

Pricing of the Seeder Option for Startup Funds

Capital Structure Analysis and Pricing