Kontakt
Research Interests
- Time Series Analysis
- Zinsmodelle (insbesondere Short-Rate Modelle)
- Deep Learning (insbesondere angewendet auf Zeitreihendaten)
Publications and Preprints
- C. Berninger, J. Pfeiffer. The Gauss2++ model: a comparison of different measure change specifications for a consistent risk neutral and real world calibration [European Actuarial Journal, 2021].
- C. Berninger, A. Stöcker, D. Rügamer. A Bayesian Time-Varying Autoregressive Model for Improved Short- and Long-Term Prediction [Preprint, 2020]
- C. Berninger, S. Mittnik. A Risk-Adjusted Investment Strategy in Context of Risk-Sharing Pension Plans
Teaching
| SoSe 2021 | Statistik IV |
| WiSe 20/21 | Financial Econometrics |
| SoSe 2020 | Matlab for Finance |
| WiSe 19/20 | Finanzökonometrisches Seminar für MA-Studierende |
| SoSe 2019 | Risk Management |
| WiSe 18/19 | Portfolio Management |
| SoSe 2018 | Risk Management, Finanzökonometrisches Seminar |
| WiSe 17/18 | Portfolio Analysis |
| SoSe 2017 | Risk Management |
| WiSe 17/18 | Portfolio Analysis, Finanzökonometrisches Seminar |
Thesis Supervisions
| 2021 | An Extended Hull-White Model with an Interest Rate Floor: Theory and Implementation |
| 2020 | Vergleich zweier Anlagestrategien: Risikobasiert vs. Buy-and-Hold |
| 2020 | Bewertung des Marktrisikos mit Hilfe ausgewählter GARCH-Modelle |
| 2019 | A Comparison of Forecasting Models for the Term Structure of Interest Rates |
| 2018 | Performance and Interpretability of Machine Learning Algorithms for Credit Risk Modelling |
| 2018 | Anwendung der Extremwerttheorie zur Schätzung des Value at Risks und des Expected Shorfalls |
Supervision Seminar and Statistical Consulting
| Comparison of methods for the valuation of basket options |
| Support Vector Machines applied to financial data |
| Modelling interest rates with LSTM networks |
| Testing the the randomness of pseudo random numbers |
| Factor Models and PCA |
| Linear univariate time series models |
| ... |