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Damir Filipovic
SFI Senior Chair
Swissquote Chair in Quantitative Finance

Damir Filipovic holds the Swissquote Chair in Quantitative Finance at the Ecole Polytechnique Fédérale de Lausanne. He has held an SFI Senior Chair since 2010. Since 2011, Prof. Filipovic has been a member of the board of directors of Swiss Life Holding Ltd. He is the recipient of numerous research grants and a regular speaker at leading quantitative finance conferences and workshops worldwide.

Listen to Prof. Damir Filipovic speak about his research:

Research Interests:
His research interests lie in quantitative finance and risk management.
Recent Research:
Prof. Filipovic and his coauthors have recently introduced a novel class of credit risk models in which the drift of the survival process of a firm is a linear function of the factors. Computations reveal that such risk models outperform, in terms of analytical tractability, the standard affine default intensity models. Further analysis also shows that the prices of defaultable bonds and credit default swaps (CDSs) are linear in the factors, and that the price of CDS options can be approximated by polynomials in the factors. An empirical analysis performed on US data also reveals the versatility of these models by fitting CDS spread time series.