CV
Education
Business Administration (major: Operations Research) at WU Wirtschaftsuniversität Wien; Master: January 1982; doctoral degree: December 1984
Positions
1981-1983: United Nations Industrial Development Organisation(UNIDO; Global and Conceptual Studies Branch)
1983-1984: International Institute for Applied Systems Analysis (IIASA)
1984-1986: UNIDO (Industrial Development Officer)
1986-present: Associate Professor at WU (tenured)
1992 and 1994: Visiting Professor at the University of Innsbruck (Department of Finance)
since 2004: member of the faculty and managing director of the Vienna Graduate School of Finance
since 2009: speaker WU Gutmann Center for Portfolio Management
since 2010: member of the WU Kompetenzzentrum für empirische Methoden
Teaching
regular courses in Financial Economics, Financial Econometrics, Time Series Analysis and Forecasting, Quantitative Methods, Management Science, and Decision Theory at WU
1992 and 1993: Capital Market and Portfolio Theory (Summer-School at WU
1993-2000: Internal Training on Quantitative Methods for Assistant Professors at WU
1995-2000: Course on Quantitative Methods in the International MBA Program at WU
1998-2005: Financial Time Series Analysis course in the CCEFM Doctoral Program
1998-2008: Basic Statistics in the MBA Program on Banking and Finance of the Donauuniversität-Krems and the University of British Columbia
2001-2008: Managerial Statistics Course in the MBA Program of the Donauuniversität-Krems
since 2005: Quantitative methods of empirical statistics in the internal training program at WU
since 2006: Data Analysis and Decision Making in several MBA programs at WU (Executive Academy)
since 2006: Financial Econometrics in the PhD program of the Vienna Graduate School of Finance
since 2010: Econometrics in the program Master of Science in Quantitative Finance at WU
since 2011: Business Research Methods in the program Master (MSc) in Strategy, Innovation, and Management Control at WU
Seminars on Econometrics, Times Series Analysis and Forecasting, Statistics, and Value- at-Risk for various companies and institutions
Research
stochastic programming, financial time series analysis, term structure modeling
data science, machine learning, predictive analytics
selected publications (more …)
Ausbildung
Studium der Betriebswirtschaftslehre (Spezielle BWL: Operations Research) an der WU Wirtschaftsuniversität Wien; Magister: Januar 1982; Doktorat: Dezember 1984
Beruf
1981-1983: United Nations Industrial Development Organisation(UNIDO; Global and Conceptual Studies Branch)
1983-1984: Internationales Institut für Angewandte Systemanalyse (IIASA)
1984-1986: UNIDO (Industrial Development Officer)
1986-heute: WU (ao.Prof)
1992 und 1994: Gastprofessor an der Universität Innsbruck (Institut für Finanzwirtschaft)
seit 2004: Mitglied und Managing Director der Vienna Graduate School of Finance
seit 2009: Sprecher des WU Gutmann Center for Portfolio Management
seit 2010: Mitglied des WU Kompetenzzentrum für empirische Methoden
Lehre
regelmäßige Vorlesungen aus Investition und Finanzierung, Financial Econometrics, Zeitreihenanalyse und Prognose, Quantitative Methoden, Optimierung und Entscheidungsanalyse an der WU
1992 und 1993: Kapitalmarkttheorie und Portfolio Management (Summer-School at WU)
1993-2000: Internes Training (Quantitative Methoden und Datenanalyse) an der WU
1995-2000: Quantitative Methods im International MBA Programm der WU und der University of South Carolina
1998-2005: Financial Time Series Analysis im Rahmen des CCEFM Doktoratsprogramms
1998-2008: Basic Statistics im MBA Programm Banking and Finance der Donauuniversität-Krems und der University of British Columbia
2001-2008: Managerial Statistics im MBA Programm der Donauuniversität-Krems
seit 2005: Quantitative Methoden der empirischen Statistik im Rahmen des internen WU Weiterbildung
seit 2006: Datenanalyse und Entscheidungstechniken in mehreren MBA Programmen der WU (Executive Academy)
seit 2006: Financial Econometrics im Rahmen des PhD Programms der Vienna Graduate School of Finance
seit 2010: Econometrics im WU Programm Master of Science in Quantitative Finance
seit 2011: Business Research Methods im WU Programm Master (MSc) in Strategy, Innovation, and Management Control
laufend: Seminare aus Ökonometrie, Zeitreihenanalyse und Prognose, Statistik, Value-at-Risk für verschiedene Firmen und Veranstalter
Forschung
Stochastische Optimierung, Analyse von Finanzzeitreihen, Modellierung der Zinsstruktur
data science, machine learning, predictive analytics
Ausgewählte Publikationen (mehr …)
[Awards][Auszeichnungen]
1999: WU Best Paper Award for: "A State-Space Approach to Estimate and Test Multifactor Cox-Ingersoll-Ross Models of the Term Structure"
1999: Best Paper Award 'Verband der Hochschullehrer für Betriebswirtschaft' for: "A State-Space Approach to Estimate and Test Multifactor Cox-Ingersoll-Ross Models of the Term Structure"
2003: WU Best Paper Award for: "Forecasting Exchange Rates using Cointegration Models and Intra-day Data"
2005: Senator Wilhelm Wilfling Research Award
2009: Teaching Award for Excellency -- Professional MBA WU