Current Projects

My macroprudential research focuses on financial stability issues. I provide indicators for the monitoring of systemic risks generated by interconnectedness for various segments of the fund industry and analyze the intermediation chain in between hedge funds, prime brokers and repo markets.

Financial Stability

In Monetary Economics, I am working on attempts to integrate payments systems into macroeconomic models. In the past, this included the analysis of the consequences of electronic money for monetary policy. Currently, the focus is on developing monetary models which include a financial sector and are able to reproduce the macroeconomic volatility observed in real-world data.

Monetary Economics

My software developments include e.g. an implementations of a Generalized Schur Decomposition with sorted eigenvalues, solution routines for DSGE models and econometric routines for the numerical simulation of VECM models including the computation of confidence intervals. I also developed codes for microfoundated risk indicators for the fund industry.

Software Development

I contribute to the development of algorithms for the solution of macroeconomic models. I have been working on using transversality conditions for the reduction of the degrees of freedom in indeterminate solutions. Recently, I contributed to the integration of near rational expectations into macroeconomic theory.

Algorithms for rational expectation models

Monetary Economics, Macroeconomics, Computational Economics and Financial Stability

My work in this fields provides computational tools for portfolio choice based on the non-standard criterion of min max optimization with respect to mean returns and risk-preferences adjusted risk measures.

Financial Markets Analysis/Finance