Philipp Muller is a WISE alumni who graduated in 2015. His thesis, titled “How to take liquidity risk into account? A cross geographical comparison of time-series models to forecast the liquidity adjusted value at risk”, was selected as one of the 2015 Fujian Province Excellent Postgraduate Theses. His supervisior was Professor Yingxing Li.
His thesis is a comparison of the performance of different time-series models in forecasting the liquidity-adjusted Value-at-Risk for different equity portfolios across the world. The Liquidity adjusted Value at Risk enhances the classical Value at Risk measure by modeling liquidation costs of a portfolio as a function of the bid-ask spread.
The results seem to indicate that the multivariate ARIMA-GARCH model with outlier-adjusted approach is most preferable, which might have important implications on liquidity risk management for investors.
The Excellent Postgraduate Thesis Competition is organized by the Degree Department of Fujian Province. The competition's aim is to enhance postgraduate education supervision and improve the quality of graduating student expertise.
Philipp, who is currently working as a consultant at zeb with a special emphasize on Asset Liability Management. zeb is an international management consultancy for the financial services sector.
When asked for his comments about the award Philipp said, "I am very grateful for the time I spent at WISE and appreciate unexpected good news like the award for the 2015 Fujian Province Excellent Postgraduate Thesis. Many thanks are due to my supervisor Prof. Dr. Li Yingxing who helped me anytime I was stuck on a problem during my research."
Philipp wrote his thesis as part of the requirement for the International Masters Degree Program in Finance Engineering (MFE). This is one of six major programs available to International Master's students at WISE. The other programs are Management Economics (MME), Finance (MAF), International Business (MIT-IB), Quantitative Economics (MQE) and Western Economics – Economics Theory (MWE-ET).
For further details about these programs visit http://www.wise.xmu.edu.cn/imwise/Programs.asp
