Swissquote Chair in Quantitative Finance
Damir Filipovic holds the Swissquote Chair in Quantitative Finance at the Ecole Polytechnique Fédérale de Lausanne (EPFL) and 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:
His research interests lie in quantitative finance and risk management.
Prof. Filipovic and his co-authors recently focused on the systemic risk induced among banks by a network of interbank liabilities. Such liabilities can, during periods of economic turmoil, force early asset liquidation with financial discounts. Their research shows that the introduction of central counterparty clearing (CCP) can help reduce bank liquidation and shortfall losses, but that fee and guarantee fund policies must be carefully designed in order to reduce systemic risk. Further simulations also show that their proposed guarantee fund design gives banks the incentive to join the CCP.