Gärtnerweg Illerkirchberg, Germany. Professional Career

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1 Curriculum Vitae Rüdiger Kiesel May 2007 Address Office Institut für Finanzmathematik Universität Ulm Helmholtzstr Ulm, Germany Tel: 0049 (0) Fax: 0049 (0) Web: and London School of Economics and Political Science, Department of Statistics, Houghton Street, London WC2A 2AE, England private Gärtnerweg Illerkirchberg, Germany Professional Career Since 2002 C4 Professor Financial Mathematics (Chair), University of Ulm, Director of the Institute of Mathematical Finance Visiting Professor Department of Statistics, London School of Economics 4/2000 4/2002 Reader for Financial Mathematics and Actuarial Science, Department of Statistics, London School of Economics. 6/2000 6/ / /2000 Joint Managing Director, Risk Control Ltd., London. Lecturer at the School of Economics, Mathematics & Statistics, Birkbeck College, University of London. Course Director of MSc Course Applied Statistics and Operations Research. 10/ /1996 Scientific Assistant in the Department of Stochastics, University of Ulm. 12/1995 Habilitation at the Faculty of Mathematics and Economics,

2 University of Ulm, Thesis: Starke Gesetze für gewichtete Summen von Zufallsvariablen. 01/ / / / / /1989 Trainee of Cologne Reinsurance Company. PhD Scholarship of Hanns-Seidel-Stiftung, PhD Thesis: Taubersätze und Starke Gesetze für Potenzreihenverfahren, Grade: summa cum laude, PhD Prize of the Universitätsgesellschaft Ulm Scientific Assistant in the Department Mathematik III at the University of Ulm. Further Academic Activities since 2005 Deputy Speaker of the DFG-Graduiertenkolleg 1100 Modelling, Analysis and Simulation in Business- Mathematics. DAAD-ARC Project Stochastic Models for Electricity Markets: Pricing of Derivatives and Risk Management joint with Birkbeck College, University of London since 2002 Current PhD students Founding Director and Member of the Center of Applied Research in Finance and Insurance, (CARFI), University of Ulm. Clemens Prestele: Pricing of CDOs Reik Börger: Energy Derivatives Gregor Mummenhoff: Valuation of Insurance contracts Matthias Scherer: Credit Risk Modelling in Structural Models Shaohui Wang: Stochastic mortality models Thomas Liebmann: Lévy Finance Organisation of Seminars and Workshops Associate Editor University of Ulm, Financial Modelling, Ulm, 2005 LSE, Department of Statistics, Statistics Seminar Series, Spring 2001 Applied Probability Conference, Ulm 1999, (Section). University of London Statistics Seminar, Spring CEPR/ESRC/IFR Finance Workshop Hedging and pricing financial derivatives, 1997 (mit W.Perraudin). International Journal of Mathematical & Computer Sciences (IJMCS)

3 Consulting and Seminars for Practitioners pre 2002 Implementing a term structure model, with Concordia, Hannover Pricing Swaps with long maturities, with HSH Bank, Kiel Scenario Analysis for market risks, with HSH Bank, Kiel Econometric Analysis of Hedge Fund Returns, with LBBW, Stuttgart. Stochastic Models for Energy Derivatives, with EnBW, Karlsruhe. Implied Risk-neutral Densities, with Credential GmbH, Aachen Finanzmathematische Modellierung vom Leasing Kontrakten, Comprendium Finance SA, München. Risikomanagement für Versicherungsunternehmen, written Lecture Series, Euroforum, Düsseldorf. Basel II Aspects, Developments, Methods, CARFI, Ulm Assessment of Credit Portfolio Collateral, with RiskLab and RiskControl Modelling of Credit Risk (with Ralf Korn), University of Kaiserslautern, Design of a Credit Risk Management/Measurement System for Export Credit Guarantee Department (ECGD), London, 2000 (with W.Perraudin). Modelling Credit Risk (with Risklab, München), München Stochastic Modelling for Financial Practitioners (with N.H. Bingham), ABN Amro, London, Other Activities Membership in Professional Associations: Deutsche Mathematiker Vereinigung (DMV), Deutscher Hochschulverband.Bachelier Finance Society, International Association of Financial Engineers, Royal Statistical Society, Bernoulli. Visitig Lecturer in the Elite Graduate Program Finance & Information Management of the Universities Augsburg & TU Munich. Trust Scientist for the Friedrich-Naumann Stiftung.

4 Publications 1. Financial Mathematics and Stochastics Articles: [1] Fair valuation of insurance contracts under Lèvy process specifications (with T. Liebmann, S. Kassberger), to appear in Insurance: Mathematics and Economics, [2] A fully parametric approach to return modelling and risk management for hedge funds, (with S. Kassberger), Financial Marketing and Portfolio Management, 4, , [3] Risk neutral valuation of with profit life insurance contracts (with D. Bauer, A. Kling, J. Ruß), Insurance: Mathematics and Economics, 39, , [4] Mathematical framework for integrating market and credit risk, (with G.Stahl, T.Liebmann) in Risk Management, ed. M. Ong, [5] A survey of dependency modelling: Copulas, tail dependence and estimation (with R. Schmidt), in Structured Credit Products, ed. W. Perraudin, (2005). [6] Modellierung von Abhängigkeiten bei der Bewertung von Verbriefungen (with M. Lesko, C. Prestele), in: Asset-Backed-Scurities und Kreditderivate, ed. J.Gruber, W. Gruber, H. Braun; Schäffer, Pöschel, [7] Fair Value-basierende Optionspreisbewertung (with T.Kleinow), in Fair Value, ed. H.Bieg, R.Heyd, Verlag Vahlen, [8] Understanding the Corporate Bond Yield Curve (with H.Höfling and G. Löffler), The Pension Forum, 15(1), (2004), [9] F. Black und M.Scholes als Aktuare: Anwendungen der Optionspreistheorie in der Lebensversicherungsmathematik (with S. Kassberger), in Versicherung im Umbruch, ed. Klaus Spremann, Springer [10] A semi-parametric approach to risk management (with N.H. Bingham, R.Schmidt). Quantitative Finance 3 (2003), p [11] The structure of credit risk: Spread volatility and ratings transitions (with W.Perraudin and A. Taylor), Journal of Risk. 6(1), (2003), [12] Semi-parametric methods in finance: Theoretical foundations (with N.H. Bingham), Quantitative Finance, (2002). p

5 [13] An extremes analysis of VaRs for emerging market benchmark bonds (with W. Perraudin and A.Taylor), in Credit Risk: Measurement, Evaluation and Management, eds: G.Bol, et al., Physica-Verlag (2002). [14] Estimation of transition matrices for sovereign credit risk (with Y.-T. Hu and W. Perraudin), Journal of Banking and Finance (2002), 26(7), [15] Dimensions of credit risk (with U.Stadtmüller), in Exploratory Data Analysis in Empirical Research,Proceedings 25 th Annual Conference of the GfKl, eds: M.Schwaiger and O.Opitz, (2002). [16] Sensitivity analysis of credit portfolio models (with T.Kleinow), Applied Quantitative Finance, eds: W. Härdle, T. Kleinow, G. Stahl. (2002), p [17] Credit and interest rate risk (with W. Perraudin and A.Taylor), Risk Management: Value at risk and beyond, eds.: M.A.H. Dempster and H.K.Moffat,Cambridge University Press (2002), p [18] Nonparametric statistical methods and the pricing of derivative securities, Journal of Applied Mathematics & Decision Sciences (2002), 6 (1),1-22. [19] Modelling asset returns with hyperbolic distributions (with N.H. Bingham), Asset return distributions, eds. J.Knight and S.Satchell, Butterworth- Heinemann (2001), p [20] Hyperbolic and semi-parametric models in finance, (with N.H. Bingham), in Disordered and Complex Systems, eds. P.Sollich,A.C.C.Coolen,L.P.Houghston, and R.F.Streater (2001), [21] Estimating volatility for long holding periods (with W.Perraudin and A.Taylor), Measuring Risk in Complex Systems, eds. W.Härdle,J.Franke,G.Stahl, Springer (2000), p [22] Aspekte der stochastischen Modellierung von Ausfallwahrscheinlichkeiten in Kreditportfoliomodellen (with B.Schmid, Risklab, Germany), in Kreditrisikomanagement, ed.k.oehler, Schäffer-Poeschel Verlag (2000), p Preprints/Working Papers: [23] Asset-based Estimates for Default Probabilities for Commercial Banks (with L.Veraart), submitted, [24] A two-factor model for the electricity forward market, (with R.Boerger and Gero Schindlmayr), submitted 2006.

6 [25] Forward Contracts in Power Markets by the Certainty Equivalence Principle: explaining the sign of the market risk premium (with F. E. Benth and A. Cartea) submitted [26] A multivariate commodity analysis and applications to risk management (with A. Cartea, R. B\"orger, R.Kiesel, G. Schindlmayr) submitted [27] Judgmental versus quantitative credit risk measures for sovereigns, (with Hu, Y.-T, W.Perraudin, G.Stahl), [28] Multivariate elliptical processes, (with N.H. Bingham, R. Schmidt) Book: Risk Neutral Valuation: An Introduction to the Pricing and Hedging of Financial Derivatives, Springer, (1998, reprint 2000), (with N.H. Bingham), Second Edition Lecture Notes: Mathematische und Statistische Grundlagen des Risikomanagements; Schriftlicher Risikomanagement-Lehrgang, Euroforum, 2003, 2004 and Probability Theory: [1] Power series methods and almost sure convergence, Math. Proc. Camb. Phil. Soc. (1993), 113, [MR93i:60061]. [2] The law of the iterated logarithm for certain power series and generalized Nörlund methods, Math. Proc. Camb. Phil. Soc.,(1996), 120, [MR97j:60056]. [3] Erdös-Rényi-Shepp laws and weighted sums of independent identically distributed random variables, Journal of Theoretical Probability, (1996), 9 (4), , (with U.Stadtmüller). [MR97m:60035]. [4] Strong laws and summability for sequences of ϕ-mixing random variables taking values in Banach spaces, Electronic Communications in Probability, (1997), 2, [5] Strong laws and summability for ϕ-mixing sequences of random variables, Journal of Theoretical Probability, (1998), 11 (1), [MR99c:60069].

7 [6] Erdös-Rényi-Shepp laws for ϕ-mixing sequences of random variables, Studia Scientarium Math. Hungarian, (1998), 34, 1-7, (with U.Stadtmüller). [7] Large deviations for weighted sums of independent identically distributed random variables, Journal of Mathematical Analysis and Applications, (2000), 251, , (with U.Stadtmüller). 3. Analysis: [1] Tauberian theorems for general power series methods, Math. Proc. Camb. Phil. Soc. (1991), 110, , (with U.Stadtmüller). [MR92m:40008]. [2] General Nörlund transforms and power series methods, Math. Zeitschrift (1993), 214, [MR96e:40005]. [3] Weighted means and summability by generalized Nörlund and other methods, Journal Math. Analysis and Applications (1994), 184 (3), , (with D.Borwein). [MR95g:40013]. [4] Tauberian- and convexity theorems for certain (N,p,q)-methods, Canadian Journal of Mathematics (1994), 46 (5), (with U.Stadtmüller). [MR95m:40009]. [5] Absolute ϕ-convergence factors with a power, Journal of Analysis (1994), 2, , (with S.Baron). [MR95h:40006]. [6] On scales of summability methods, Mathematische Nachrichten, (1995), 176, [MR97b:40004]. [7] Absolute ϕ-summability factors with a power for A α -methods, Analysis (1995), 15, , (with S.Baron). [MR97f:40004]. 4. Further Publications: Taubersätze und Starke Gesetze für Potenzreihenverfahren, Dissertation, Universität Ulm, (1990). Starke Gesetze für gewichtete Summen von Zufallsvariablen, Habilitationsschrift, Universität Ulm, (1995). Pricing contingent claims in incomplete markets: A quadratic utility approach, Research Report 15, Department of Statistics, Birkbeck College, (1996).

8 Selected Talks (during the last five years) October 2006 DGVM Workshop, Kaiserslautern A fully parametric model for hedge fund returns March 2006 December 2006 April 2005: March 2005 February 2003: December 2002: November 2002: June 2002: March 2002: March 2002: March 2001: Electricity Workshop, Oslo A two-factor model for the electricity forward market Finance, Banking and Insurance, Karlsruhe Fair valuation of insurance contracts under Lèvy process specification Insurance and Finance, Edinburgh Valuation of Insurance Contracts Credit Risk, Cambridge Pricing CDOs: Beyond the Gaussian Copula Deutsche Bundesbank, Frankfurt; Measuring Credit Risk for Sovereigns Workshop Risk in Insurance and Finance, London School of Economics, Risk Management Using Elliptically Contoured Distributions. Watson Wyatt Seminar, London. Managing Portfolio Credit Risk CFSexecutive conference Towards an evaluation of Internal Rating Systems: Certification and Validation, Frankfurt. Judgemental versus quantitative credit risk measures for sovereigns Stochastik-Tage der Fachgruppe Stochastik, DMV, Hauptvortrag Sektion Versicherungs- und Finanzmathematik, Modelling Credit Risk: Theory and Applications Ökonometrie-Workshop, Karlsruhe; Modelling and Valuation of CBOs Jahrestagung German Classification Society (GfKL), Semiplanary Lecture, München. Dimensions of Credit Risk.

9 Furthermore I have given seminars at a number of Universities, e.g. Humboldt Universität Berlin, Universität Münster, Universität Kaiserslautern, Universität Darmstadt, Universität Paderborn, Universität zu Köln, University of London Statistics Seminar, Imperial College London, London School of Economics, Oxford University, Warwick University, University of Brussels, University of Nottingham, University Bath, Bar-Ilan University, Israel, University of London Ontario, Canada. Personal Information Born: Oktober, 31rst, 1962 in Aschach, Germany. Married, two Children (Roman and Una). Dr. Rüdiger Kiesel