Since June 2003, Ludger Overbeck holds a Professorship of Mathematics and its Application at the University of Giessen in Germany. His main academic interests are Quantitative Methods in Finance and Risk Management and Stochastic Analysis.
He is also involved in many industry projects.
From 2007 to 2014 he was consultant to Commerzbank as Head of Quantitative Credit Portfolio Management. He was responsible for all quantitative aspects, including integrated portfolio modeling (Market and Credit Risk), formulation of the risk aversion and tolerance, risk-return based performance management, optimization, hedge decisions (micro- and macro hedges) and transaction and loan pricing.
In 2006 he was Executive Director in the Asset-Backed Securitization Department of DZ-Bank in Frankfurt.
Before that he was a Director at the HypoVereinsbank in Germany, heading the Portfolio Analytics and Pricing Department of the Active Portfolio Management Unit, Corporates and Markets Division. His main tasks were the pricing of structured credit products and the risk management of the investment credit portfolio.
Until June 2003 he was for seven year Head of Risk Research & Development in Deutsche Banks Credit Risk function, located in Frankfurt. Ludger´s main responsibilities included development and implementation of the internal group-wide Credit Portfolio model, the Operational Risk model, specific (market) risk modeling, the EC/RAROC-methodology, integration of risk types, backtesting of ratings and correlations, # quantitative support for portfolio management and all risk types and risk assessment of credit derivatives and portfolio transactions like CDO and ABS.
Before that he was from 1995 to 1996 with the Banking Supervision Department in the Main Office of the Deutsche Bundesbank in Düsseldorf, Germany, working in the context of “Internal Market Risk models” and inspections of the banks according to the “Minimal Requirement for Trading Businesses”.
He publishes in many academic and applied journals, including RISK. Together with Christian Bluhm and Christoph Wagner he wrote a book on credit risk modeling and together with Christian Bluhm a book on structured credit products. He is also a regular speaker at academic and financial industry conferences.
In his consulting and educational work he works since 10 years with public institutions, like the World Bank, Bank of International Settlement and Bundesbank and with private institutions including DZ-Bank, West LB, Commerzbank and the Deutsche Sparkassen- und Giroverband (Association of saving banks).
Ludger holds a Ph.D. in Probability theory and Habilitations in Applied Mathematics from the University of Bonn and in Economics from the University of Frankfurt.
Verein für Sozialpolitik
- Ausschuss für Ökonometrie
Bachelier Finance Society
Computational Statistics and Data Analysis
European Journal of Finance
Finance & Stochastic
Stochastic Processes and Applications
Journal of Risk
Journal of Credit Risk
Journal of Economic Dynamics and Control
Risk Management Konferenz der Deutschen Bank, 1999.
- DMV-Jahrestagung, Dresden 2000.
- 3. Tagung Informationssysteme in der
Finanzwirtschaft (IF 2001) Augsburg,
- Minisymposium „Finance and Market“, SIAM
& EMS- Tagung, Berlin, September 2001
- DMV-Jahrestagung, Heidelberg 2004
- Deutsche Forschungsgemeinschaft (Projekte in der Mathematik als
auch in quantitativen Wirtschaftswissenschaften)
- National Science Foundation (USA)
- Austrian Science Foundation (Österreich)
- Canadien Sciene Foundation (MITACS)