Prof. Dr. Martin Hellmich Karl Friedrich Hagenmüller Professor of Financial Risk Management
Prof. Dr. Martin Hellmich is professor for Risk Management at Frankfurt School. After graduating in Mathematics and Business Mathematics and obtaining his Ph.D., from 1997 to 2002 Dr. Martin Hellmich worked first as a risk controller with Allianz Asset Management GmbH, then in fixed income portfolio management with Cominvest. During this period he was also responsible for advising insurance companies and pension funds in Germanspeaking countries with regard to credit products and asset liability management and solvency.
From 2002 to 2004 Dr. Hellmich worked for LBBW in the field of Trading & Sales, where he was responsible for the structuring and sale of credit spread products. In 2004 he moved from LBBW to Barclays Capital, ultimately advancing to a position on the European structuring team, where he was responsible for advising institutional clients in the fields of strategic employment of credit derivatives and “strategic asset allocation with special reference to Basel II“.
On September 1, 2007 Dr. Hellmich moved to join DekaBank as head of the Liquid Credits division. His core duties here included the optimization of the investment and risk management process for the bank‘s own credit portfolio, which he was also responsible for managing. From November 2009 to August 2011 Dr. Hellmich was Managing Director of Cantor Fitzgerald in London. In September 2011 he joined Mainfirst Bank, where he was responsible for fixed income business in Germany and Austria.
Scholarly journal articles
Hellmich, M., Kassberger, S., Schmidt, W., 2013. Credit modeling under jump diffusions with exponentially distributed jumps: stable calibration, dynamics and GAP risk, International Journal of Theoretical and Applied Finance Vol. 16(4), pp. 1-26.
Hellmich, M., Kassberger, S., 2011. Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework, Quantitative Finance Vol. 11(10), pp. 1503-1516.
Contributions to edited volumes
Hellmich, M., Kassberger, S., 2008, Constant Proportion Debt Obligations: an introduction, in: Gunter Meissner (ed): The Definitive Guide to CDOs, London: Risk Books, pp. 363-388.
Hellmich, M., Steinkamp, O., 2004, Pricing and Hedging of Structured Credit Derivatives, in: Matthias Gundlach, Frank Lehrbass (eds): CreditRisk+ in the Banking Industry, Berlin: Springer, pp. 325-362.
Hellmich, M., 2002, Mathematische Methoden der Zinsprognose, in: Heinz-Josef Hockmann, Friedrich Thießen (eds): Investment Banking, Stuttgart: Schaeffer-Poeschel.
Hellmich, M., Schuck, B., Siddiqui, S., Born, M., Uhl, A., 2014. Benefitting from the Data Deluge, 360° - The Business Transformation Journal (9) pp. 29-37.
Hellmich, M., Siddiqui, S., 2014. Finanzmarktregulierung: klassische Geschäftsmodelle im Wandel, Die Bank (1) pp. 40-44.
Brüggentisch, C., Hellmich, M., Gilgenberg, B., 2005. Freie Fahrt für Asset-Backed-Securities und Credit Linked Notes, Versicherungswirtschaft Jg. 60(17), pp. 1296-1299.
Hellmich, M., Kassberger, S., Schmidt, W., 2010. Credit modelling under jump diffusions with exponentially distributed jumps: stable calibration, dynamics and gap risk, New York: Social Science Research Network.
Talks to practitioners
Cremers, H., Schmidt, W., Truong, T., Wystup, U., Hellmich, M.
Mathematik für Finanzderivate, Hochschule für Bankwirtschaft, Praktika-Seminar, 15.-20.12.2001, Frankfurt am Main.