Damir Filipović
SFI Senior Chair, Swissquote Chair in Quantitative Finance, EPFL
Damir Filipović holds the Swissquote Chair in Quantitative Finance and is Head of the Finance Institute at the École Polytechnique Fédérale de Lausanne. Professor Filipović has been a member of the Board of Directors of Swiss Life Holding since 2011 and Evooq, a financial technology company, since 2019. He is the recipient of numerous research grants and is a regular speaker at leading quantitative finance conferences and workshops worldwide.
Expertise
Professor Filipović focuses on the benefits of machine learning for portfolio risk management, particularly regarding risk measurement, valuation, and hedging. His results suggest that machine learning can significantly reduce computational costs compared to industry standard methods for calculating risk capital over long time horizons, such as those used in retirement schemes. Nonetheless, he cautions that although machine learning provides substantial computational benefits, one must still analyze results with a critical mindset when such a technology is applied to financial data.
Expertise Fields
- Financial Markets
- Systemic Risk and Regulation
- Portfolio Management and Asset Classes
- Asset Pricing
- Commodities
- Equities
- Fixed Income
- Options and Other Derivatives
- Portfolio Management
- Financial Institutions
- Insurance Companies
- Corporate Finance and Governance
- Financial Risk and Risk Management
- Frontier Topics
- Big Data and Fintech