Markus Huggenberger

University of Mannheim
Fakultät für Betriebswirtschaftslehre Schloss
Ostflügel – Room O 222

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

Consultation hour(s):
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
Publications
The Fundamental Theorem of Mutual Insurance (with Peter Albrecht),
Insurance: Mathematics and Economics 75, July 2017, 180 - 188.
Working Papers and Current Projects
Forward-Looking Tail Risk Measures (with Chu Zhang and Ti Zhou)

Multivariate Crash Risk (with Fousseni Chabi-Yo and Florian Weigert)

Tail Risk Hedging and Regime Switching (with Peter Albrecht and Alexandr Pekelis), Online Appendix [.pdf]

A g-and-h Copula Approach to Risk Measurement in Multivariate Financial Models (with Timo Klett), Matlab codes [.zip]

Capital Allocation and Regime Switching
Teaching
FIN 660 Quantitative Risk Management (Lecture and Exercises)

Exercise sessions and case studies in FIN 913 Advanced Quantitative Risk Management

Exercise sessions in FIN 560 Risk Management of Insurance Companies

Exercise sessions in FIN 561 Investment Management of Insurance Companies