Our main research fields are empirical methods of finance and financial risk management, especially market and credit risk management and operative and strategic bank control. In this research field, we mainly focus on quantification and estimation of crucial parameters (PD, LGD, EAD, correlation), pricing and risk management of credit derivatives and structured financial instruments, implementation of banking and insurance regulatory frameworks (e.g. “Basel III”, "Solvency"), forecasting of bank specific risks as well as stress testing and validation methods. In Data Science and Machine Learning we focus on risk and price prediction for financial institutions and Explainable AI.
Our research papers have been published in a wide range of international top journals including the Journal of Banking and Finance, European Journal of Operational Research, Journal of Risk and Insurance, Review of Derivatives Research, Journal of Real Estate Finance and Economics, Journal of Futures Markets, Journal of Risk, Journal of the Royal Statistical Society, European Financial Management, European Journal of Finance, Journal of Credit Risk, Journal of Fixed Income, Risk Magazine, Journal of International Money and Finance and International Journal of Forecasting.