Publikationen und Vorträge
Publications
- Eigenmittelanforderungen für das Marktrisiko in Handbuch Bankenaufsichtsrecht, Binder, Glos, Riepe (ed.), RWS Verlag, Cologne, 2020
- Übergreifendes Modellrisikomanagement in Modellrisiko und Validierung von Risikomodellen, M. Martin, P. Quell, C. Wehn (ed.), Bankverlag, Cologne, 2013/2017
- Rational extended Mackey functors for the circle group, with J.P.C. Greenlees, Contemporary Mathematics (399), AMS, Providence 2006
- Induction Theory of Compact Lie Groups (Dissertation), Mathematica Goettingensis 2005 I, Göttingen 2005
- The Euler ring of SU(2) (Thesis), Institute of Mathematics Göttingen, Göttingen 2000
Supervised Theses
- Copulas in Equity and Credit Risk, Default Dependent Intensity Models and Information Based Setup, Universität Wuppertal, 2016
- Application of Copula Functions for the ValueAtRisk Measure for a Portfolio of Different Risk Factors, Frankfurt School of Finance, 2011
Presentations
- Alternative Determinanten, Forum Mathematik 2022, Bad Nauheim, September 2022
- Schwarze Löcher und weiße Flecken in ML Modellen, ME Fachkonferenz Modellrisikomanagement und Modellvalidierung in Banken, online, June 2021
- Topological data analysis (and deep learning), MN Seminar, Darmstadt, May2021
- Topological data analysis (and deep learning), Forum Mathematik 2020, Bad Nauheim, September 2020
- Droht eine neue Bankenkrise?, Interview with Darmstädter Echo, Darmstadt May 2020
- Libra (Facebooks Crypto Currency Idea), 3rd PRMIA FRTB and IRRBB Congress, Dusseldorf October 2019
- The rise of a new quality of model risk in balance sheets by lifetime ECL, 2nd annual TBM credit risk modelling conference, Frankfurt June 2019
- IFRS 9 - New era for loan loss provisioning?, Credit Risk Modelling, Validation & Stress Testing, Frankfurt May 2018
- IFRS 9 - Models Assurance, lecture at Risk.net Training IFRS9, Frankfurt May 2018
- Interpretation of macroeconomic models and incorporating adjustments to adapt to macroeconomic environment across cycles, London November 2018
- Calculating Impairments under IFRS 9 - New era for loan loss provisioning., Valuation of Financial Instruments* Europe 2018, London June 2018
- Modellierung von Kreditrisiken unter IFRS 9, Riskmanagement for Banks 2017, Cologne November 2017
- The IFRS 9 challenge, Risk Zone 2017* 7th Annual Risk Management Forum, Vianna September 2017
- Fundamental review of the trading book, RISK EMEA 2017: 6TH annual banking risk & regulation summit, London May 2017
- Fundamental review of the trading book, CFP FRTB Forum, London April
- Ensure you have sufficient data for pricing and XVA models, Marcus Evans, Validating Market Models: TRIM, London November 2017
- XVA Calibration methodologies: Addressing computation challenges in your models, Marcus Evans, 9th Annual, Pricing Model Validation, London September 2016
- IFRS 9 lifetime expected credit loss modelling, presentation at KPMG IFRS 9 Workshop, Frankfurt October 2016
- The future of operational risk modelling, panel discussion at IOR Quant Workshop at Dt. Bundesbank, Frankfurt September 2016
- Estimation of stochastic parameters in XVA models for SME clients, presentation at Marcus Evans XVA & Model Risk, London September 2016
- XVA model validation, panel discussion at CFP Quant Congress 2015, London November 2015
- Challenges in model requirements of the 'fundamental review of the trading book', panel discussion at Marcus Evans FRTB Conference, London September 2015
- Model Risk Management, lecture at Marcus Evans Workshop on Model Risk & Validation, London June 2015
- Prudent Valuation Modelling, presentation at Valuation of Financial Instruments, London June 2015
- Modellrisiken, presentation at Marcus Evans Operational Risk Conference, Cologne April 2015
- Moderne Bewertungsmethoden für Derivate (Modern derivative valuation methods), presentation at 2. PRMIA Collateral and Clearing Congress, Cologne Februar 2015
- Model Control, presentation at Banking Club Risk Management Conference, Cologne October 2014
- The fundamentals of model governance: Implementing, designing and testing, panel discussion at Marcus Evans Pricing Model Validation Conference, London September 2014
- Shortcomings of VaR risk metrics, presentation at Marcus Evans Conference on the Fundamental Review of the Trading Book, London June 2014
- Education of Pricing and Valuation Professionals, presentation at Valuation of Financial Instruments, London June 2014
- Validation of external pricing models, presentation at Marcus Evans Pricing Model Validation Conference, London Sept 2013
- Model Risk Management in Practitioners View, presentation at Risk Magazine* Quant Congress Europe, London June 2013
- Model Risk Framework, Model Risk Appetite, presentation at Risk Dynamics Banking Round Table, Brussels September 2012
- Model Validation - Obstacles of Standardisation, presentation at Marcus Evans Pricing Model Validation Conference, London Sept 2012
- Implementing and Embedding Comprehensive Model Risk Frameworks, presentation at Valuation of Complex & Illiquid Financial Instruments, London May 2012
- Ursachen der Finanzmarktkrise (reasons for the financial crisis), presentation at 2012 fellowship seminar of the Stiftung der Deutschen Wirtschaft (Foundation of German Business), Bonn April 2012
- Modellrisikomanagement (model risk management), presentation at the annual Risikomanager meeting, Cologne September 2011
- Measuring Smile Risk, RISK seminar presentation at the University of Karlsruhe, Karlsruhe 2009
- Konsequenzen der Finanzmarktkrise (the financial crisis lessons learned), WiMa congress presentation at the University of Ulm, Ulm 2009
Kontakt
Prof. Dr. Jan-Philipp Hoffmann
Kommunikation
Schöfferstraße 3
64295 Darmstadt
Büro: C10, 9.32
+49.6151.533-68646
jan-philipp.hoffmann@h-da.de
Details zur Person
1
Sprechstunde
freitags vormittags nach vorheriger Vereinbarung.
(bitte per Email oder online anmelden)