Picture of Matthias Scherer

Prof. Dr. rer. nat. Matthias Scherer

Technical University of Munich

Chair of Mathematical Finance (Prof. Zagst)

Postal address

Postal:
Parkring 11-13
85748 Garching b. München

 

 

Short CV

Matthias Scherer is professor for Financial Mathematics at TUM. His research interests comprise the pricing and risk management of financial derivatives, probability theory, statistics, and efficient numerical tools. He is particularly interested in dependence concepts / copula models and multivariate financial problems. He holds a Diploma in "Wirtschaftsmathematik" from Ulm University (2005) and a Masters degree in "Mathematics" from Syracuse University (2004). In his dissertation from 2007, supervised by Prof. Rüdiger Kiesel, he constructed a multivariate default model. He joined TUM in 2007, where he coordinated the elite graduate program "Finance and Information Management" until 2009. Prof. Scherer is currently member of the board of the DGVFM and member of the advisory council of FIRM and RiskNet.

  

Courses

         

Books

2016

Glau, K.; Grbac, Z. Scherer, M.; Zagst, R. (Eds.)
Innovations in Derivatives Markets

2015

Glau, K.; Scherer, M.; Zagst, R. (Eds.)
Innovations in Quantitative Risk Management

2014

Mai, J.-F.; Scherer, M. (Eds.)
Financial Engineering with Copulas Explained

2012

2010

Kiesel, R.; Scherer, M.; Zagst, R.
Alternative Investments and Strategies

   

Publications in Journals

2017

  • Fernández, L.; Scherer, M.: Simulating Lévy-frailty copulas built from alpha-stable Lévy-subordinators. Working Paper, 2017 more…
  • Mai, J.-F.; Schenk, S.; Scherer, M.: Two Novel Characterizations of Self-Decomposability on the Half-Line. Journal of Theoretical Probability (30/1), 2017, 365–383 more…

2016

  • Bannör, K. F.; Kiesel, R.; Nazarova, A.; Scherer, M.: Parametric Model Risk and Power Plant Valuation. Energy Economics , 2016, 423-434 more…
  • Bollmann, L.; Scherer, M.: Modeling influenza-like illness activity in the US. Forthcoming in North American Actuarial Journal, 2016 more…
  • Brigo, D.; Mai, J.-F.; Scherer, M.: Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law. Statistics and Probability Letters, 2016, 60-66 more…
  • Hüttner, A.; Scherer, M.: A note on the valuation of CDS options and extension risk in a structural model with jumps. Journal of Financial Engineering 03 (02), 2016 more…
  • Mai, J.-F.; Schenk, S.; Scherer, M.: Exchangeable exogenous shock models. Bernoulli 22 (2), 2016, 1278-1299 more…
  • Mai, J.-F.; Schenk, S.; Scherer, M.: Analyzing model robustness via distortion of the stochastic root: A Dirichlet prior approach. Statistics & Risk Modeling 32 (3-4), 2016, 177–195 more…
  • Scherer, M.; Schulz, T.: Extremal dependence for bilateral credit valuation adjustments. International Journal of Theoretical and Applied Finance (IJTAF) 19 (7), 2016 more…

2015

  • Bernhart, G.; Mai, J.-F.; Schenk, S.; Scherer, M.: The density of distributions from the Bondesson class. Journal of Computational Finance 18 (3), 2015, 99-128 more…
  • Bernhart, G.; Mai, J.-F.; Scherer, M.: On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions. Dependence Modeling (3), 2015, 29–46 more…
  • Hieber, P.; Korn, R.; Scherer, M.: Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees. European Actuarial Journal 5 (1), 2015, 11-28 more…
  • Krause, D.; Scherer, M.: Bernoulli and tail-dependence matrices: A simple numerical test. Working Paper, 2015 more…

2014

  • Bannör, K. F.; Scherer, M.: On the calibration of distortion risk measures to bid-ask prices. Quantitative Finance 14 (7), 2014, 1217-1228 more…
  • Escobar, M.; Hieber, P.; Scherer, M.: Efficiently pricing double barrier derivatives in stochastic volatility models. Review of Derivatives Research 17 (2), 2014, 191–216 more…
  • Höcht, S.; Scherer, M.; Spitaler, P.: Pricing and hedging CDO tranches using latent one-factor models: An empirical study. The Capco Institute Journal of Financial Transformation 40, 2014, 49-64 more…
  • Mai, J.-F.; Olivares, P.; Schenk, S.; Scherer, M.: A multivariate default model with spread and event risk. Applied Mathematical Finance 21 (1), 2014, 51-83 more…
  • Mai, J.-F.; Scherer, M.: Characterization of extendible distributions with exponential minima via processes that are infinitely divisible with respect to time. Extremes 17 (1), 2014, 77-95 more…
  • Mai, J.-F.; Scherer, M.; Schulz, T.: Sequential modeling of dependent jump processes. Wilmott Magazine 2014 (70), 2014, 54-63 more…

2013

  • Bannör, K. F.; Scherer, M.: A BNS-type stochastic volatility model with two-sided jumps, with applications to FX options pricing. Wilmott Magazine 2013 (65), 2013, 58-69 more…
  • Bannör, K. F.; Scherer, M.: Capturing parameter uncertainty with convex risk measures. European Actuarial Journal 3 (1), 2013, 97-132 more…
  • Bernhart, G.; Escobar Anel, M.; Mai, J.-F.; Scherer, M.: Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications. Metrika 76 (2), 2013, 179-203 more…
  • Fernández, L.; Hieber, P.; Scherer, M.: Double-barrier first-passage times of jump-diffusion processes. Monte Carlo Methods and Applications 19 (2), 2013, 107-141 more…
  • Hieber, P.; Scherer, M.: Modeling credit portfolio derivatives, including both a default and a prepayment feature. Applied Stochastic Models in Business and Industry 29 (5), 2013, 479-495 more…
  • Mai, J.-F.; Scherer, M: What makes dependence modeling challenging? Pitfalls and ways to circumvent them. Statistics and Risk Modeling 30 (4), 2013, 287–306 more…
  • Mai, J.-F.; Scherer, M.: Sampling exchangeable and hierarchical Marshall-Olkin distributions. Communications in Statistics – Theory and Methods 42 (4), 2013, 619-632 more…
  • Mai, J.-F.; Scherer, M.: Extendibility of Marshall-Olkin distributions and inverse Pascal triangles. Brazilian Journal of Probability and Statistics 27 (3), 2013, 310–321 more…
  • Mai, J.-F.; Scherer, M.; Shenkman, N.: Multivariate geometric distributions, (logarithmically) monotone sequences, and infinitely divisible laws. Journal of Multivariate Analysis 115, 2013, 457–480 more…

2012

  • Hieber, P.; Scherer, M.: A note on first-passage times of continuously time-changed Brownian motion. Statistics and Probability Letters 82 (1), 2012, 165-172 more…
  • Mai, J.-F.; Scherer, M.: H-extendible copulas. Journal of Multivariate Analysis 110, 2012, 151-160 more…
  • Scherer, M.; Schmid, L.; Schmidt, T.: Shot-noise driven multivariate default models. European Actuarial Journal 2 (2), 2012, 161-186 more…

2011

  • Escobar, M.; Hieber, P.; Scherer, M.; Seco, L.: Portfolio optimization in a multidimensional structural-default model with a focus on private equity. Journal of Private Equity 15 (1), 2011, 26–35 more…
  • Hofert, M.; Scherer, M.: CDO pricing with nested Archimedean copulas. Quantitative Finance 11 (5), 2011, 775-787 more…
  • Kiesel, R.; Scherer, M.: Credit portfolio modelling in structural models with jumps. working paper, 2011, - more…
  • Mai, J.-F.; Scherer, M.: Reparameterizing Marshall-Olkin copulas with applications to sampling. Journal of Statistical Computation and Simulation 81 (1), 2011, 59-78 more…
  • Mai, J.; Scherer, M.: Bivariate extreme-value copulas with discrete Pickands dependence measure. Extremes 14 (4), 2011, 311-324 more…
  • Ruf, J.; Scherer, M.: Pricing corporate bonds in an arbitrary jump-diffusion model based on an improved Brownian-bridge algorithm. Journal of Computational Finance 14 (3), 2011, 127-145 more…

2010

  • Durante, F.; Hofert, M.; Scherer, M.: Multivariate hierarchical copulas with shocks. Methodology and Computing in Applied Probability 12 (4), 2010, 681-894 more…
  • Hering, C.; Hofert, M.; Mai, J.; Scherer, M.: Constructing hierarchical Archimedean copulas with Lévy subordinators. Journal of Multivariate Analysis 101 (6), 2010, 1428-1433 more…
  • Hieber, P.; Scherer, M.: Efficiently pricing barrier options in a Markov-switching framework. Journal of Computational and Applied Mathematics 235 (3), 2010, 679-685 more…
  • Hofert, M.; Scherer, M.; Zagst, R.: Modeling the Evolution of Implied CDO Correlations. Financial Markets and Portfolio Management 24 (3), 2010, 289-308 more…
  • Mai, J.; Scherer, M.: The Pickands representation of survival Marshall-Olkin copulas. Statistics and Probability Letters 80 (5/6), 2010, 357-360 more…

2009

  • Ernst, C.; Grossmann, M.; Höcht, S.; Minden, S.; Scherer, M.; Zagst, R.: Portfolio Selection under Changing Market Conditions. International Journal of Financial Services Management 4 (1), 2009, 48-63 more…
  • Mai, J.; Scherer, M.: Pricing k-th to default swaps in a Lévy-time framework. Journal of Credit Risk 5 (3), 2009, 55-70 more…
  • Mai, J.; Scherer, M.: Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions. Information Sciences 179 (17), 2009, 2872-2877 more…
  • Mai, J.; Scherer, M.: A tractable multivariate default model based on a stochastic time-change. International Journal of Theoretical and Applied Finance 12 (2), 2009, 227-249 more…
  • Mai, J.; Scherer, M.: Lévy-frailty copulas. Journal of Multivariate Analysis 100 (7), 2009, 1567-1585 more…

  

Book Contributions and Conference Proceedings

2017

  • Engel, J.; Scherer, M.; Spiegelberg, L.: One-Factor Lévy-Frailty Copulas with Inhomogeneous Trigger Rates. In: Soft Methods for Data Science. Springer International Publishing, 2017, 205-212 more…

2016

  • Brigo, D.; Fries, C.; Hull, J.; Scherer, M.; Sommer, D.; Werner, R.: FVA and electricity bill valuation adjustment – much of a difference? Springer Verlag, 2016, 147-168 more…
  • Felsenheimer, J.; Mai, J.-F.; Scherer, M.: Legale Risiken in Anleiheprospekten. In: FIRM Jahrbuch 2016. Frankfurter Institut für Risikomanagement und Regulierung, 2016, 83-84 more…
  • Fernández, L.; Scherer, M.: Emil J. Gumbel - Ein Statistiker der Extreme. RISIKO MANAGER (05/2016), 2016, 33-39 more…

2015

  • Bannör, K. F.; Scherer, M.; Schulz, T.: A two-sided Gamma-OU-BNS model for multicurrency FX markets. In: Innovations in Quantitative Risk Management. Springer International Publishing, 2015 more…
  • Bernhart, B.; Fernández, L.; Mai, J.-F.; Schenk, S.; Scherer M.: A survey of dynamic representations and generalizations of the Marshall–Olkin distribution. Proceedings in Mathematics & Statistics, 2015, 1-13 more…
  • Bernhart, G.; Mai, J.-F.; Schenk, S.; Scherer, M.: Factor copulas constructed from stochastic processes. Oberwolfach Reports (20), 2015, 47-49 more…
  • Ebach, E. M.; Scherer, M.; Schneider, L.: Was verraten Index-Optionen über zukünftige Abhängigkeiten? RISIKO MANAGER (11), 2015, 1-7 more…
  • Fernández, L.; Mai, J.-F.; Scherer M.: The mean of Marshall-Olkin dependent exponential random variables. Proceedings in Mathematics & Statistics, 2015, 33-50 more…
  • Höcht, S.; Kunze, M.; Scherer, M.: Implied Recovery Rates - Auction and Models. In: Innovations in Quantitative Risk Management. Springer International Publishing, 2015 more…
  • Scherer, M.; Walter, S.: CVA für Kontrahenten- Ausfallrisiken. RISIKO MANAGER (15/16), 2015, 6-10 more…

2014

  • Bannör, K. F.; Scherer, M.: Model risk and uncertainty – Illustrated with examples from mathematical finance. In: C. Klüppelberg, D. Straub, and L. Welpe (Ed.): Risk - A Multidisciplinary Introduction. Springer, 2014, - more…
  • Khedher, A.; Scherer, M.: Was sind Lévy-Prozesse? RISIKO MANAGER (15), 2014, 6-13 more…
  • Khedher, A.; Scherer, M.; Schulz, T.: Statistische Eigenschaften und historische Parameterschätzung. RISIKO MANAGER (17), 2014, 8-14 more…
  • Mai, J.-F.; Scherer, M.: Simulating from the copula that generates the maximal probability for a joint default under given (inhomogeneous) marginals. In: Topics in Statistical Simulation. Springer, 2014 more…

2012

  • Mai, J.-F.; Scherer, M.: Die Welt ist nicht normal (verteilt). RISIKO MANAGER (25), 2012, 6-11 more…
  • Mai, J.-F.; Scherer, M.; Shenkman, N.: An analytical characterization of the exchangeable wide-sense geometric law. In: Advances in Intelligent Systems and Computing. Springer Verlag, 2012, - more…
  • Mai, J.-F.; Scherer, M; Zagst, R.: CIID Default Models and Implied Copulas. In: Copulae in Mathematical and Quantitative Finance, Proceedings of the Workshop Held in Cracow, 10-11 July 2012. Springer Verlag, 2012, 201-230 more…

2011

  • Höcht, S.; Scherer, M.: CDO Bewertung mittels Archimedischer Copulas. In: Jochen Felsenheimer, Wolfgang Klopfer (Assenagon Credit Management GmbH) (Ed.): Kreditmärkte im Wandel. Wiley, 2011, - more…
  • Mai, J.-F.; Scherer, M.: CDO Bewertung mittels Marshall-Olkin Copulas. In: Jochen Felsenheimer, Wolfgang Klopfer (Assenagon Credit Management GmbH) (Ed.): Kreditmärkte im Wandel. Wiley, 2011, - more…

2010

  • Höcht, S.; Scherer, M.; Seegerer, P.: Cross asset portfolio derivatives. In: Kiesel, R.; Scherer, M.; Zagst, R. (Ed.): Alternative Assets and Strategies. World Scientific, Singapore, 2010, 175-197 more…
  • Kiesel, R.; Scherer, M.: Structural default risk models. In: Encyclopedia of Quantitative Finance. John Wiley & Sons, 2010, - more…
  • Mai, J.-F.; Scherer, M.: On analytical similarities of Archimedean and exchangeable Marshall-Olkin copulas. In: F. Durante, F.; Haerdle, W.; Jaworski, P.; Rychlik, T. (Ed.): Workshop on Copula Theory and its Applications. Lecture Notes in Statistics - Proceedings. Springer, Berlin/Heidelberg, 2010, 299-311 more…
  • Scherer, M.; Zagst, R.: Jarrow-Lando-Turnbull model. In: Cont, R. (Ed.): Encyclopedia of Quantitative Finance. Wiley, 2010, 985-987 more…
  • Scherer, M.; Zagst, R.: Modeling and pricing credit derivatives. In: Menéndez, S.C.; F Pérez, J.L. (Ed.): Contemporary Mathematics (Mathematics in Finance). American Mathematical Society, 2010, 111-146 more…

2009

  • Biere, A.; Scherer, M.: The robust calibration of a structural-default model with jumps. In: Proceedings of the 3rd International Conference on Risk Management and Global e-Business. Inha University, Incheon, Korea, 2009, 945-954 more…

   

Further Publications

  • Scherer, M.: Emil J. Gumbel, Festvortrag zum 70. Geburtstag von Prof. Dr. J. Dorfmeister, Jahrbrief 2016 der Hurwitz-Gesellschaft, 2017, 9-10
  • Romeike, F.; Scherer, M.: Die Zukunft gehört den Stresstestmodellen - An interview with Christian Bluhm, RISIKO MANAGER (1), 2017, 32-34
  • Scherer, M.: Modelle leisten immer noch gute Dinge - An interview with David X. Li, RISIKO MANAGER (10), 2016, 24-30
  • Romeike, F.; Scherer, M.: Wenn du eine Handlung erwägst, von der du nicht willst, dass sie morgen in der Zeitung steht, dann verzichte lieber darauf! - An interview with Prof. Paul Embrechts, RISIKO MANAGER (5), 2016, 26-30
  • Romeike, F.; Scherer, M.: Risikoaufschlag satte 900 Basispunkte - An interview with Andreas Kolbe, RISIKO MANAGER (5), 2016, 14-16
  • Romeike, F.; Scherer, M.: Risiken werden nicht mehr richtig bepreist - An interview with Jürgen Stark, RISIKO MANAGER (3), 2016, 24-26
  • Durante, F.; Puccetti, G.; Scherer, M.; Vanduffel, S.: Distributions with given marginals: the beginnings, Dependence Modeling (4), 2016, 237–250
  • Durante, F.; Puccetti, G.; Scherer, M.; Vanduffel, S.: Stat Trek - An interview with Christian Genest, Dependence Modeling (4), 2016, 109-122
  • Fernández, L.; Scherer, M.: Emil Julius Gumbel – Festakt zum 125. Geburtstag, Der Aktuar, Ausgabe 3, 22.Jahrgang, 2016, 176-177
  • Müller, A.; Scherer, M.: Bericht zum Scientific Day 2016 der DGVFM in Bremen, Der Aktuar, Ausgabe 2, 22.Jahrgang, 2016, 113-114
  • Scherer, M.: Konferenz: Dependence Modeling in Finance, Insurance and Environmental Science, Der Aktuar, Ausgabe 2, 22.Jahrgang, 2016, 97
  • Scherer, M.: Zukünftige Risikomanager in historischem Ambiente, RISIKO MANAGER (22), 2015, 11-13
  • Scherer, M.: Männer sind im Allgemeinen deutlich risikobereiter - An interview with Faris Al-Sultan, RISIKO MANAGER (20), 2015, 18-21
  • Durante, F.; Puccetti, G.; Scherer, M.: Die Copulae fanden mich... , RISIKO MANAGER (17), 2015, 23-28
  • Durante, F.; Puccetti, G.; Scherer, M.: A Journey from Statistics and Probability to Risk Theory, Dependence Modeling (3), 2015, 182-195
  • Durante, F.; Puccetti, G.; Scherer, M.: Building bridges between Mathematics, Insurance and Finance, Dependence Modeling (3), 2015, 17-28
  • Scherer, M.: Book Review on "Dependence Modeling with Copulas'' by Harry Joe.
    Journal of the American Statistical Association (110) 512, 2015, 1819-1820
  • Durante, F.; Puccetti, G.; Scherer, M.: Building bridges between Mathematics, Insurance and Finance, Journal of Actuarial Committe, Shanghai Insurance Institute (10/02), 2015, 26-35, Chinesische Übersetzung
  • Klüppelberg, C.; Scherer, M. Finanz- und Versicherungsmathematik. In: Studien- und Berufsplaner Mathematik: Schlüsselqualifikation für Technik, Wirtschaft und IT. Springer Fachmedien Wiesbaden, 2014, 78-85
  • Korn, R.; Scherer, M.: Alternative (zu) Zinsgarantien in der Lebensversicherung, Der Aktuar, 04/2013
  • Meyer, M.; Romeike, F.; Scherer, M.; Sommer, D.; Zagst, R.: "Besser grob richtig als exakt falsch", RISIKO MANAGER (13), 2013, 16-
  • Ernst, C.; Grossmann, M.; Höcht, S.; Minden, S.; Scherer, M.; Zagst, R.: Portfoliooptimierung in sich ändernden Marktphasen, Absolut|Report 9 (6), 2010, 30-39