Diversity of Financial Risk 2024
29 November, 2024
ELTE TTK, Budapest
Speaker's bio
Eduard
Losing
(AllianzGI Munich)
Eduard Losing leads the Research & Digital Solutions team at risklab, the investment advisory and solutions experts of Allianz Global Investors. He is responsible for all quantitative research within risklab including capital markets models, risk analytics for the full range of investment products, as well as portfolio construction models utilized by the investment teams. Furthermore, he is responsible for the digital wealth management solutions offering bringing institutional advisory and investment capabilities to the retail market via means of technology.
Before joining Allianz Global Investors in 2012, Eduard worked in the fixed income derivatives structuring at Deutsche Bank and in the fixed income trading at Norddeutsche Landesbank. Eduard earned a Diploma (Master degree equivalent) in financial and business mathematics at the Technical University Braunschweig in 2010. He also holds a Bachelor degree in Mathematics from the Technical University Braunschweig and earned in addition his Master of Business Administration.
Generating financial market scenarios utilizing a novel reservoir-computing approach
Existing models for generating financial market time series, such as historical simulation or Monte Carlo simulations based on stochastic differential equations, have been instrumental in financial forecasting, portfolio management, option pricing, risk management, etc. However, these traditional methods often rely on assumptions that may not fully capture the complexities and non-linearities of real market behavior and often assume that past patterns will repeat. With our new approach utilizing a novel reservoir-computing approach we developed a more flexible and data-driven way to simulate financial time series.