Dr. Markus Huggenberger

University of Mannheim
Schloss, Ostflügel, Room O222
D-68131 Mannheim

Phone: +49 (621) 181-1679
Fax: +49 (621) 181-1681
E-Mail: huggenberger(at)bwl.uni-mannheim.de

Consultation hours: by appointment  

Education

  • 2016: Graduation as Dr. rer. pol., University of Mannheim
  • 2011: Diploma in Mathematics (M.Sc. equivalent), University of Mannheim
  • 2008: Diploma in Business Administration (M.Sc. equivalent), University of Mannheim

Research Interests

  • Risk management (see here for a collection of Matlab functions developed for our textbook)
  • Derivatives
  • Financial econometrics, esp. copula and regime-switching models

Teaching

  • Exercise sessions and case studies in FIN 913 Advanced Quantitative Risk Management 
  • Exercise sessions in FIN 660 Quantitative Risk Management 
  • Exercise sessions in FIN 560 Risk Management of Insurance Companies 
  • Exercise sessions in FIN 561 Investment Management of Insurance Companies

Publications

Working Papers

  • Tail Risk Hedging and Regime Switching (with Peter Albrecht and Alexandr Pekelis)
    [.pdf], Online Appendix [Startet das Herunterladen der Datei.pdf]
  • A g-and-h Copula Approach to Risk Measurement in Multivariate Financial Models (with Timo Klett)
    [.pdf], Matlab codes [.zip]

Work in Progress

  • Forward-Looking Tail Risk Measures (with Chu Zhang and Ti Zhou)
  • Capital Allocation and Regime Switching 

Monograph

  • Finanzrisikomanagement, Methoden zur Messung, Analyse und Steuerung finanzieller Risiken
    P. Albrecht, M. Huggenberger, Stuttgart: Schäffer-Poeschel, 2015, 583 p. 
    Supplementary Matlab functions can be found Öffnet einen internen Link im aktuellen Fensterhere.