I hold a PhD in finance from the University of St. Gallen (HSG), Switzerland, where I undermined the citadel of risk assessment and management, arguing that classical probability theory is not an adequate foundation for modeling systemic and extreme risk in complex financial systems.

 

My doctoral work was supervised by the cyberneticist Prof. Dr. Markus Schwaninger (HSG), the mathematician Prof. Dr. Paul Embrechts (ETH Zurich), and the professor of finance Prof. Dr. Andrew Metrick (Yale University).

 

I proposed a new class of models which focus on the knowledge dimension by precisely describing market participants’ own positions and their propensity to react to outside changes. I closed my thesis by a synthetical reflection on methods and elaborated on the meaning of decision-making competency in a risk management context in banking.

 

If you wish to find out more on the shortcomings of risk management approaches in banks and how they might be overcome, then have a look at my book.