Postdoctoral researcher at the Department of Mathematics. Research on various topics in applied and mathematical statistics. In particular:

• stochastic modelling of extremes in non-stationary time-series
• statistical guarantees for ML algorithms in a bayesian framework based on autocorrelated spatio-temporal data
• analysing extremes in UK COVID cases

Researcher on the project Monitoring Complex Systems with Rare High Consequence Events, which is part of the larger Alan Turing Institute programme on Data-Centric Engineering. Aim of the project is to develop statistical methodologies and mathematical methods to characterize, estimate and extrapolate extremal dependence in multivariate, spatial, spatio-temporal and network settings.

Doctoral researcher at the Institute of Mathematical Finance. Research in the areas: mathematical statistics, probability theory, time-series analysis and stochastic calculus. In particular I worked on

• continuous-time modelling of non-stationary and dependent time-series and spatio-temporal data
• statistical methods for Lévy-driven models
• Monte Carlo simulation studies for the above models (conducted in Matlab on an HPC cluster) in the field of mathematical statistics for stochastic processes and random fields.

Master of Science with major in probability theory and finance. Thesis at the Institute of Financial Mathematics on “Weak dependence properties of mixed moving average fields”.

Study abroad within the EU’s scholarship program Erasmus+.

Bachelor of Science with a major in statistics and finance. Thesis at the Institute of Stochastics on “Nonparametric Estimation of the Kernel Function of Alpha Stable Stochastic Integrals in Higher Dimensions”.

Main tasks include:

• Holded exercise lectures for up to 200 attending students.
• In particular courses on stochastic analysis, financial mathematics, statistical learning, econometrics, statistics and (applied) probability theory.
• Programming courses in R and Matlab.
• Substituted the professor in the lectures.
• Supervised theses in different areas.

Staffed at a leading german electric utility company. Project goal was to validate an update in the companies solution for regulatory reporting of OTC gas and power contracts in the framework of the European Market Infrastructure Regulation (EMIR). In particular I fulfilled the following tasks:

• Conception and implementation of an error detection routine in Python to identify a violation of consistency constraints in the updated European Market Infrastructure Regulation (EMIR) reporting process for OTC gas and power contracts.
• Implementation of an automated VBA-tool to create output files suitable for the updated EMIR reporting process.
• Conception, implementation and conduction of structured tests according to consistency constraints published by the EU’s security market regulator ESMA.

Intern at the Risk/Traded Risk & Wholesale Analytics department with a particular focus on counterparty and settlement risk. I conducted and validated stress tests for counterparty risks in the framework of the 2016 EBA stress test.