Chair of Sustainable Banking and Finance

The main focus here is on the systemic risks of international banks and the optimal design of regulatory measures to ensure financial stability in the long term. The focus is particularly on the question of increased capital requirements and the connection between stronger supervision by national authorities and significantly lower systemic risk contributions by individual institutions.

Relevant research topics are:

• Market concentration in the banking sector
• System stability and capital resources
• Deposit business and liquidity

In the research area of insurance economics, the content is linked to the research area of banking. In particular, it deals with questions concerning the systemic relevance of insurance companies, more precisely the extent to which equity capital resources influence the profitability and default risk of insurance companies.

Relevant research topics are:

• Systemic relevance of insurance companies
• Capitalisation and performance of insurance companies
• Modelling of insurance claims in non-life insurance

In the field of quantitative risk management, the main focus is on modelling dependency structures of multivariate distributions. Building on past work of the Chair on joint return distributions of bivariate portfolios, the focus is on application and improvement possibilities through the use of so-called Vine Copula models. In addition to the development of new risk modelling methods, the Chair's team is also researching the improvement of common backtesting models.

Relevant research topics are:

• Portfolio risk modelling
• Backtesting
• Valuation of credit derivatives