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Prof. Dr. Martin Hellmich Karl Friedrich Hagenmüller Professor of Financial Risk Management

Martin Hellmich
  1. Personal details
  2. Publications
  3. Presentations

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.

Journal articles

  • 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.

  • Hellmich, M., Siddiqui, S., 2014. Perspektiven der Mittelstandsfinanzierung, Unternehmeredition (2) pp. 18-19.

  • Brüggentisch, C., Hellmich, M., Gilgenberg, B., 2005. Freie Fahrt für Asset-Backed-Securities und Credit Linked Notes, Versicherungswirtschaft Jg. 60(17), pp. 1296-1299.

Expert Opinion / Policy Paper

  • Hellmich, M., Pinedo, M., Schuck, B., Uhl, A., Siddiqui, S., 2014. Banking Study: The Benefits of Innovative Information Technology in the Banking Industry in Turbulent Times, commissioned by Business Transformation Academy (BTA).

Working papers

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.

Contact

Frankfurt School of
Finance & Management

Sonnemannstraße 9-11

Room 418

60314 Frankfurt am Main

Phone
0049 69 154008-443
Fax
0049 69 154008-4443

Office hours during the semester

Tuesday 12:15pm until 1:15pm and 4:45pm until 5:45pm on appointment

Isabella Wojtek

Assistant

Phone
0049 69 154008-758
Fax
0049 69 154008-4758