7) Deutsche Bank AG (Credit Risk Management, Risk Analytics & Instruments)

Scientific Staff

Dr. Andreas Gottschling
Dr. Wilfried Paus
Dr. Michael Kalkbrenner

Andreas Gottschling graduated in mathematics at UC San Diego, where he also obtained his Ph.D. in economics. In 2000 he was member of the faculty of finance at Washington State University. Currently, he is Global Head, Risk Analytics & Instruments at Deutsche Bank, London.

Expertise of the Team

Risk Analytics & Instruments (RAI) is a department of the Credit Risk Management in Deutsche Bank. Its responsibilities include the development of methodologies for rating and scoring, credit portfolio modelling and optimization, risk measurement and capital allocation and the implementation of these methodologies in Deutsche Bank. RAI has many years of experience in applying stochastic techniques to highly complex modelling and estimation problems in finance. Andreas Gottschling is an expert in risk management and asset allocation and has published extensively on nonlinear modelling. Wilfried H. Paus is Director and Deputy Head of RAI. His work focuses on portfolio modelling for credit and operational risk and related downstream applications for management and steering. Michael Kalkbrener is Vice President in RAI and
specializes in developing risk measurement and capital allocation methodologies.

References:

  • M. Kalkbrener and J. Willing: “Risk Management of Non-Maturing Liabilities”, Journal of Banking and Finance, 2004.
  • M. Kalkbrener, H. Lotter and L. Overbeck: “Sensible and Efficient Capital Allocation for Credit Portfolios”, RISK, 2004.
  • S. Fritz, M. Kalkbrener, and W. Paus: “A Fundamental Look at Economic Capital and Risk-Based Profitability Measures“, “Economic Capital – A Practitioner Guide“, RISK Books, 2004.
  • M. Kalkbrener: “An Axiomatic Approach to Capital Allocation”, Mathematical Finance, 2005.
  • S. Benvegnu, S. Fritz and W. Paus: “Aligning Regulatory with Economic Capital – An Alternative Approach to Risk Weights According to Basel II“, RISK MANAGEMENT, Elsevier, 2006.

Expertise in Training Young Scientists

In recent years, a number of Ph.D. students have written their theses under joint supervision of scientists at Risk Analytics & Instruments and universities (including Imperial). Risk Analytics & Instruments offers internships to students interested in quantitative risk management. In the framework of this extensive program more than 30 students have been employed at RAI in the last 2 years.

Links within the Network

Risk Analytics & Instruments collaborates with a number of universities and financial institutions. The focus of these collaborations is the development of advanced quantitative techniques for risk management. Part of the current research activities is a joint project with the universities of Leipzig, Freiburg and Giessen (Overbeck) on high-dimensional models in risk management. Risk Analytics & Instruments has a long-standing relationship with the Imperial College. A number of PhD students at Imperial College have been employed by Deutsche Bank and have written their theses under joint supervision.

Role of the Research Team

As an industry partner in the COMISEF project, Risk Analytics & Instruments will be actively engaged in the transfer of knowledge between industry and academia. The main focus will be applications in finance, in particular the application of optimization tools to modelling and estimation problems in risk management. It is intended to offer internships to young researchers working in the COMISEF project. Risk Analytics & Instruments will organize a workshop on stochastic optimization in portfolio modelling (PW).