Term-Structure Models

Damir Filipovic is head of the Vienna Institute of Finance, a research institution in the field of Mathematical Finance, funded by the Vienna Science and Technology Fund (WWTF), and founded and co-funded by the University of Vienna and the Vienna University of Economics and Business Administration. Prior to this position he held the Chair of Financial and Insurance Mathematics at the University of Munich, and he was Assistant Professor at Princeton University. Moreover, he worked for the Swiss Federal Office of Private Insurance, where he co-developed the Swiss Solvency Test (SST) - a risk based solvency assessment for insurance undertakings - which was enacted in 2006. He also held visiting positions at ETH Zurich, Columbia University, Stanford University, and the Vienna University of Technology.