Michael Münnix
Metropolregion München
4633 Follower:innen
500+ Kontakte
Info
20 years experience in venture capital, software development, and R&D
Berufserfahrung
Ausbildung
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Boston University
summa cum laude
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Activities and Societies: Fulbright
Center for Polymer Studies, Prof. Dr. H. E. Stanley
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Ehrenamt
Veröffentlichungen
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A Random Matrix Approach to Credit Risk
PLOS ONE
We estimate generic statistical properties of a structural credit risk model by considering an ensemble of correlation matrices. This ensemble is set up by Random Matrix Theory. We demonstrate analytically that the presence of correlations severely limits the effect of diversification in a credit portfolio if the correlations are not identically zero. The existence of correlations alters the tails of the loss distribution considerably, even if their average is zero. Under the assumption of…
We estimate generic statistical properties of a structural credit risk model by considering an ensemble of correlation matrices. This ensemble is set up by Random Matrix Theory. We demonstrate analytically that the presence of correlations severely limits the effect of diversification in a credit portfolio if the correlations are not identically zero. The existence of correlations alters the tails of the loss distribution considerably, even if their average is zero. Under the assumption of randomly fluctuating correlations, a lower bound for the estimation of the loss distribution is provided.
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Identifying States of a Financial Market
Nature, Scientific Reports 2 : 644 (2012)
The understanding of complex systems has become a central issue because such systems exist in a wide range of scientific disciplines. We here focus on financial markets as an example of a complex system. In particular we analyze financial data from the S&P 500 stocks in the 19-year period 1992–2010. We propose a definition of state for a financial market and use it to identify points of drastic change in the correlation structure. These points are mapped to occurrences of financial crises. We…
The understanding of complex systems has become a central issue because such systems exist in a wide range of scientific disciplines. We here focus on financial markets as an example of a complex system. In particular we analyze financial data from the S&P 500 stocks in the 19-year period 1992–2010. We propose a definition of state for a financial market and use it to identify points of drastic change in the correlation structure. These points are mapped to occurrences of financial crises. We find that a wide variety of characteristic correlation structure patterns exist in the observation time window, and that these characteristic correlation structure patterns can be classified into several typical “market states”. Using this classification we recognize transitions between different market states. A similarity measure we develop thus affords means of understanding changes in states and of recognizing developments not previously seen.
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Patente
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Method and device for geoposition-based control of systems affected by delays
Ausgestellt am US US20150185721 A1
Patent anzeigenMethod and device for controlling a system state of a stationary system affected by delays as a function of a variable geoposition of a person, wherein the system is to have reached a predefined presence state when the person arrives at the location of the system. The method comprises: determining the geoposition of the person; estimating the time period needed by the person from the determined geoposition until arrival at the location of the system; and specifying a reference state for…
Method and device for controlling a system state of a stationary system affected by delays as a function of a variable geoposition of a person, wherein the system is to have reached a predefined presence state when the person arrives at the location of the system. The method comprises: determining the geoposition of the person; estimating the time period needed by the person from the determined geoposition until arrival at the location of the system; and specifying a reference state for changing the current system state, wherein the reference state for reaching the presence state within the estimated time period is determined as a function of the predefined presence state, the performance capability of the system and the estimated time period. The device comprises similarly designed means for determining the geoposition, estimating the time period and specifying the reference state.
Auszeichnungen/Preise
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Best Doctoral Dissertation in Physics Award
Universität Duisburg-Essen
Organisationen
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Fulbright Program
Scholar
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Studienstiftung des deutschen Volkes
Scholar
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