Dr. Arndt Claußen, PostDoc
Akademischer Rat (a.Z.), Dipl.-Math.
Institut für Banken und Finanzierung
Leibniz Universität Hannover
Königsworther Platz 1
Phone: +49 511 762 5622
Fax: +49 511 762 4670
Office: Room I-124, building 1501, Conti Campus
Office hour: On appointment only, please feel free to contact me in order to make an arrangement.
- Since 2015: Post-doc at the Institute of Banking and Finance (IBF)
- 07/2016 - 10/2016: Visiting Fellow at the University of Technology, Sydney (UTS)
- 09/2015: Ph.D., Thesis: "Essays on Risk Management of Financial Institutions" (summa cum laude).
- 2010 - 2015: Research assistant and Ph.D student at the IBF
- 2004 - 2010: Studies of Mathematics with specialization in numerical optimization and minor subject business administration, Leibniz University Hannover.
- Asset pricing
- Behavioral finance
- Decision making under uncertainty
- Econometric modelling of credit risks
- Financial risk management
- Operational research in finance
- Prudential bank regulation
- Hedging Parameter Risk, with Martin Schmelzle and Daniel Rösch
- Credit Decisions under Risk and Uncertainty, with Daniel Rösch
- Robustness and Sensitivity Analysis of Value at Risk and Conditional Value at Risk, with Daniel Rösch
- Claußen, Arndt, Sebastian Löhr, Daniel Rösch, and Harald Scheule. "Valuation of Systematic Risk in the Cross-section of Credit Default Swap Spreads." The Quarterly Review of Economics and Finance (2016).
- Claußen, Arndt, Sebastian Löhr, and Daniel Rösch. "An analytical approach for systematic risk sensitivity of structured finance products." Review of Derivatives Research 17.1 (2014): 1-37.
- Claußen, Arndt, Sebastian Löhr, Kristina Lützenkirchen, Daniel Rösch, and Harald Scheule. "Credit Ratings und Kapital für Verbriefungstransaktionen." Risiko Manager (9) 2011.
Conference and seminar presentations (selection)
- Workshop of GOR e.V. (GOR AG FIFI), Augsburg, 2016*: How to Hedge Parameter Risk.
- Quantitative Methods in Finance (QMF) 2015, Sydney: How to Hedge Parameter Risk.
- Operations Research (OR) 2014, Aachen: Credit Decisions under Risk and Uncertainty.
- Workshop of GOR e.V. (GOR AG FIFI), Regensburg, 2014: What wags the Tail? How Parameter Errors Affect Risk Measures in Credit Models.
- High frequency Data and Derivative Markets, Auckland, 2014*: Valuation of Systematic Risk in the Cross-section of Credit Default Swap Spreads.
- 23rd Annual Derivatives Securities and Risk Management Conference, Arlington, 2013*: Valuation of Systematic Risk in the Cross-section of Credit Default Swap Spreads.
- 2nd Conference on Credit Analysis and Risk Management, Basel, 2013*: Valuation of Systematic Risk in the Cross-section of Credit Default Swap Spreads.
- Operations Research (OR) 2012, Hannover: Vaulation of Systematic Risk in the Cross-section of Credit Default Swap Spreads.
- Workshop of GOR e.V. (GOR AG FIFI), Hannover, 2011: An Analytical Approach for Systematic Risk Sensitivity of Structured Finance Products.
(* presentation by co-author)
- Journal Reviewer: Journal of Banking & Finance, European Journal of Operational Research, and Journal of Business Economics
- Session Chair: Quantiative Methods in Finance 2015 (QMF), and Operations Research 2014 (OR2014)
- Committee member: 4 Appointments committees for (Junior) Professorships
- Lectures: Credit Risk Management and Corporate Finance
- Exercises: Risk Management, Corporate Finance and Investment and Financing
- Seminar Banking and Seminar Empirical Capital Markets Research
- Supervision of Bachelor and Master theses