Headergrafik - Business School

Chair of Financial Econometrics & Asset Management

Our Teaching

Bachelor & Master Thesis

The topics listed below are intended to serve as guidelines for Bachelor and Master Theses. The topics are spread out over the general areas of Finance, the Political Economy of Financial Markets, Applied Econometrics, and Alternative Investments. Students interested in a topic should directly contact the respective person listed with each topic. Please note that some of the topics require you to have taken certain courses related to Finance or Econometrics. The topics given here are just suggestions. We encourage students in their final year to approach us directly early on to determine a topic and research question of mutual interest.

In 2015 Prof. Paterlini supervised the following Master Thesis:

  • Alfonso Peccatiello “The Impact of Macroeconomic news announcements on the Intraday EUR/USD Exchange Rate”
  • Andreaa Talmaciu “Achieving Diversification in multi-factor Portfolios”
  • Indu Choudhary “Asset Allocation Models for Sustainable Enodwment Policies”
  • Kay Eichhorn-Schott “Regularized HF Replication: From the Discussion about Alternative Beta to the Creation of Promising Clone Products”
  • Shou Li “Network Structure and Risk Contagion in Banking System”

In 2014 Prof. Paterlini supervised the following Master Thesis:

  • Maxim Okhotnikov “Impact of Macro Variables on the Quality of
    Transition Matrix Forecasting”
  • Shaowen Liu “Measurement of Systemic Financial Risk and indicators of Systemic Stress”
  • Jordi Basco Carrera “Spending Rates and Investment Policy in US Endowment Funds”

In 2013 Prof. Paterlini supervised the following Master Thesis:

  • Kyrill Klinetskyi “Aggregation Strategies for Portfolio Selection”
  • Max Piper “Robust Portfolio Allocation”

Topics for Master Thesis:

  1. Developing Investment Strategies by Aggregation
  2. Robust Estimation by Entropy Measures
  3. Robust Portfolio Allocation
  4. Optimal Asset Allocation for Endowment Management
  5. Impact of Macro Factors on Credit Risk Estimation
  6. Regularization Methods for Portfolio Selection
  7. Tail Dependence and its Impact on Risk Measures
  8. Regularization Methods for Macro Forecasting
  9. Other topics related to Asset Management or Financial Econometrics with quantitative approaches

• Pre-requisites: the student must have a solid quantitative background or willing to work with quantitative methods in finance and economics, plus experience with Excel and ideally a statistical-mathematical software such as R/MATLAB

Study courses

+49 611 7102 00
Gustav-Stresemann-Ring 3
65189 Wiesbaden