Research interests
Research interests
Machine Learning applied to finance and insurance
RBMs (Restricted Boltzmann Machines) for non-parametric learning of high-dimensional distributions (forex, credit risk, equity returns)
ML-based stress testing for credit portfolios (scenario generation, capital requirements estimation)
ML-based pricing of credit derivatives (CDOs, CDXs, CDSs)
Analytical techniques for large credit portfolio losses
Mod-Poisson approximation schemes for CDO pricing
Beyond mixture models: concentration inequalities and large deviations theory for Markov Random Fields (MRFs)
Counterparty risk and CVA in financial networks
Propagation of losses and risks on financial networks (specific case study: impact of climate change on EU balance sheets)
Continuous-time, endogenous valuation of claims in a financial network (extensions of the Eisenberg-Noe model, network CVA)
Jul 2025 - Poster presentation at the 42nd International Conference on Machine Learning, Vancouver.
Jun 2025 - Contributed talk at 2025 RiskLab/BoF/ESRB Conference on AI and Systemic Risk Analytics, Bank of Finland, Helsinki.
Feb 2025 - Invited talk at the Applied Machine Learning Days (AMLD) EPFL 2025, EPFL, Switzerland.
Jan 2025 - Invited talk at IMS Young Mathematical Scientists Forum, National University of Singapore.
Oct 2024 - Invited talk at Seminar in Data Science and Mathematical Modelling, University of Zurich.
Jul 2024 - Invited talk at PhD Research Seminar Series, INCAE Business School, Costa Rica.
Jul 2024 - Contributed talk at 12th Bachelier Finance Society Congress, Rio de Janeiro.
Dec 2023 - Invited talk at SigmaQAnalytics, Zurich.
Jul 2023 - Contributed talk at the 7th International Conference Mathematics in Finance, South Africa.
Jun 2023 - Contributed talk at the MathRisk Conference on Numerical Methods in Finance, Udine.
Dec 2022 - Invited talk at SigmaQAnalytics, Zurich.
Dec 2022 - Seminar talk at the Talks in Financial and Insurance Mathematics, ETH Zurich.
Nov 2022 - Invited talk at the UZH-Roche Workshop, University of Zurich.
Nov 2021 - Invited talk at the Bernoullis Tafelrunde, University of Basel.
Jul 2021 - Invited talk at SwissQuant, Zurich.
Mar 2021 - Invited talk at the Roche-UZH Stochastic Modelling Seminar, Zurich.
Jul 2020 - Seminar talk at the Department of Physics seminar series, University of Zurich.
Jun 2020 - Invited talk at SwissQuant, Zurich.
Nov 2019 - Seminar talk at the Graduate Probability Seminar, University of Zurich.
Dec 2018 - Contributed talk at the Quantitative Methods in Finance Conference 2018, University of Technology Sydney.
Apr 2017 - Contributed talk at the Young Researcher Workshop on Robust Mathematical Finance, ETH Zurich.
Sep 2016 - Contributed talk at the Conference on Complex Systems, Amsterdam.
Jul 2016 - Contributed talk at the Lipari Summer School on Computational Complex and Social Systems, Lipari.
Jan 2016 - Contributed talk at the NetSciX Network Science Conference, Wroclaw.