CURRICULUM VITAE. Damir Filipović Department of Mathematics University of Munich Munich, Germany

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1 Personal Data CURRICULUM VITAE Damir Filipović Department of Mathematics University of Munich Munich, Germany Born on March 26, 1970 in Flawil (Switzerland), Swiss citizen. Education Ph.D. in Mathematics, ETH Zürich, March 2000 Diploma in Mathematics, ETH Zürich, April 1995 Matura (Typus C), Kantonsschule St.Gallen, January 1990 Employment and Academic Positions Full Professor, Chair of Financial and Insurance Mathematics, Department of Mathematics, University of Munich, since October Visiting Professor, Faculty of Business, University of Technology Sydney, December Scientific Consultant for Solvency Testing and Risk Analysis in Insurance, Swiss Federal Office of Private Insurance (BPV), and Senior Researcher, Department of Mathematics, ETH Zürich, August 2003 to September Tenure-Track Assistant Professor, Department of Operations Research and Financial Engineering, Princeton University, February 2002 to June Postdoctoral Research Fellow, Department of Mathematics, ETH Zürich, June 2001 to January Adjunct Assistant Professor, Department of Mathematics and Statistics, Columbia University, April to May Visiting Research Fellow, Bendheim Center for Finance, Princeton University, March Morgan Stanley Visiting Scholar, Graduate School of Business, Stanford University, January to February Visiting Scholar, Department of Financial and Actuarial Mathematics, Vienna University of Technology, November to December Teaching Assistant, Department of Mathematics, ETH Zürich, April 1995 to October 2000.

2 Teacher for Mathematics and Physics, Kantonsschule St.Gallen, April 1992 to March Current Research Interests Finance and insurance mathematics, solvency testing and risk analysis in insurance, guarantees in insurance policies, credit risk, interest rate models, affine factor models, option pricing, stochastic equations, Markov processes. Awards ETH Medal for Ph.D. thesis, 2000 Prize of the Dimitris N. Chorafas Foundation for Ph.D. thesis, 2000 ETH Medal for diploma thesis, 1995 Grants Munich Re Grant for doctoral students (Gregor Svindland), Nov 2005 Apr 2007 Munich Re Grant for doctoral students (Nicolas Vogelpoth), Nov 2006 Apr 2008 Publications and Selected Preprints Consistent Market Extensions under the Benchmark Approach (with Eckhard Platen), Preprint, submitted (2006). On the Group Level Swiss Solvency Test (with Michael Kupper), Preprint, submitted (2006). Optimal Numeraires for Risk Measures, Preprint, submitted (2006). A Note on the Dai Singleton Canonical Representation of Affine Term Structure Models (with Patrick Cheridito and Robert Kimmel), Preprint, submitted (2006). A Note on the Swiss Solvency Test Risk Measure (with Nicolas Vogelpoth), Preprint, submitted (2006). Ruin Probability Estimation in Multivariate Regularly Varying Models Using Lévy Copulae (with Yuliya Bregman), Preprint, submitted (2006). Existence of Lévy Term Structure Models (with Stefan Tappe), Preprint, submitted (2006). The Geometry of Interest Rate Models, Lecture Notes from the Dimitsana Summer School 2005, submitted (2006). 2

3 Existence of Equilibrium Prices for Monetary Utility Functions (with Michael Kupper), Preprint, submitted (2006). Monotone and Cash-Invariant Convex Functions and Hulls (with Michael Kupper), forthcoming in Insurance: Mathematics and Economics. Optimal Capital and Risk Transfers for Group Diversification (with Michael Kupper), forthcoming in Mathematical Finance Credit Derivatives in an Affine Framework (with Li Chen), Preprint, submitted (2006). Benchmarking Study of Internal Models(with Daniel Rost), Carried out on behalf of The Chief Risk Officer Forum, April Market Price of Risk Specifications for Affine Models: Theory and Evidence (with Patrick Cheridito and Robert L. Kimmel), forthcoming in Journal of Financial Economics. Equivalent and Absolutely Continuous Measure Changes for Jump-Diffusion Processes (with Patrick Cheridito and Marc Yor), The Annals of Applied Probability 15 (2005), A Simple Model for Credit Migration and Spread Curves (with Li Chen), Finance and Stochastics 9 (2005), Time-inhomogeneous affine processes, Stochastic Processes and Their Applications 115 (2005), Swiss Solvency Test (with Philipp Keller), Working paper, Federal Office of Private Insurance (2004). A Mixed Approach to Modeling Default Risk (with Li Chen and H. Vincent Poor), RISK 17, November Conditions for consistent exponential-polynomial forward rate processes with multiple nontrivial factors (with Emmanuel Sharef), International Journal of Theoretical and Applied Finance 7 (2004), Quadratic Term Structure Models for Risk-free and Defaultable Rates (with Li Chen and H. Vincent Poor), Mathematical Finance 14 (2004), On the geometry of the term structure of interest rates (with Josef Teichmann), Proceedings of The Royal Society of London. Series A. Mathematical, Physical and Engineering Sciences 460 (2004), Affine processes and applications in finance (with Darrell Duffie and Walter Schachermayer), The Annals of Applied Probability 13 (2003), Regularity of finite-dimensional realizations for evolution equations (with Josef Teichmann), Journal of Functional Analysis 197 (2003),

4 Existence of invariant manifolds for stochastic equations in infinite dimension (with Josef Teichmann), Journal of Functional Analysis 197 (2003), Fixed Income Models. Lecture Notes, Princeton University (2002). Separable term structures and the maximal degree problem, Mathematical Finance 12 (2002), Markovian term structure models in discrete time (with Jerzy Zabczyk), The Annals of Applied Probability 12 (2002), Affine short rate models, Progress in Probability, Vol. 52, , Birkhäuser Verlag, Consistency problems for Heath Jarrow Morton interest rate models, Lecture Notes in Mathematics, vol. 1760, Springer-Verlag, Berlin (2001). A general characterization of one factor affine term structure models, Finance and Stochastics 5 (2001), Invariant manifolds for weak solutions to stochastic equations, Probability Theory and Related Fields 118 (2000), Consistency problems for HJM interest rate models, PhD thesis, ETH Zürich (2000). Exponential-polynomial families and the term structure of interest rates, Bernoulli 6 (2000), A note on the Nelson Siegel family, Mathematical Finance 9 (1999), Editorial Work Associate Editor, Asia-Pacific Financial Markets, since March Associate Editor, Stochastic Processes and Their Applications, since July Associate Editor, Mathematical Finance, since April Associate Editor, Finance and Stochastics, since June Courses Taught Spring 2006, Mathematische Methoden des Risikomanagements, LMU Munich Winter 2005/06, Zinsmodelle, LMU Munich Spring 2005, Finanzmathematik in stetiger Zeit, LMU Munich Winter 2004/05, Mathematical Finance in discrete time, LMU Munich Spring 2004, Risk-Based Supervision, ETH Zurich 4

5 Spring 2003, Stochastic Calculus and Finance (ORF527), Princeton University. Fall 2002/03, Fixed Income Models (ORF555), Princeton University. Spring 2002, Stochastic Calculus for Engineering and Finance (ORF515), Princeton University. Winter 2001/02, Introduction to Mathematical Finance: Interest Rate Models (joint with Freddy Delbaen and others), ETH Zürich. Spring 2001, Affine Processes and Applications in Finance (mini-course), Columbia University. Summer 2000, Special Topics in Mathematical Finance: Affine Term Structure Models (joint with Freddy Delbaen and others), ETH Zürich. Advised Students Nicolas Vogelpoth, Some Results on Dynamic Risk Measures, Diploma Thesis, University of Munich, Alexis Bailly, Cost of Capital and Surrender Options for Guaranteed Return Life Insurance Contracts, Master Thesis of Advanced Studies in Finance, ETH Zürich, L. Beryl, Collateralized Debt Obligations, Senior Thesis, Princeton University E. Cong, Estimating the Term Structure of Interest Rates Using Linear Programming and Parsimonious Functional Forms, Senior Thesis, Princeton University E. Sharef, Quantitative Evaluation of Consistent Forward Rate Processes, Senior Thesis, Princeton University K. Walsh, A Quantitative Analysis of the 2000 California Electricity Crisis, Senior Thesis, Princeton University Talks Optimal Capital and Risk Transfer for Group Diversification, School of Economics and Finance Seminar, Victoria University of Wellington, January 2007 Monotone and Cash-Invariant Convex Functions and Hulls, Quantitative Methods in Finance Conference, Sydney, December 2006 Monotone and Cash-Invariant Convex Functions and Hulls, The Centre for Financial Mathematics Seminar, Australian National University, Canberra, December

6 Monotone and Cash-Invariant Convex Functions and Hulls, Mathematics Seminar, University of New South Wales, Sydney, October 2006 Risk-based Solvency Capital Requirements for Insurance Undertakings, Sydney Financial Mathematics Workshop, October 2006 Optimal Capital and Risk Transfer for Group Diversification, Applied Mathematics Seminar, Stanford University, September 2006 Optimal Capital and Risk Transfer for Group Diversification, Bray Theory Workshop, Caltech, September 2006 Optimal Capital and Risk Transfer for Group Diversification, Center for Applied Mathematics Seminar, USC, September 2006 Optimal Capital and Risk Transfer for Group Diversification, Financial Engineering Seminar, IEOR Department, UC Berkeley, September 2006 Optimal Capital and Risk Transfer for Group Diversification, Seminar Wirtschaftsuniversität Wien, May 2006 The Swiss Solvency Test - Experience, MCEV/Scenario Workshop, Allianz Munich, May 2006 Optimal Capital and Risk Transfer for Group Diversification, DGVFM Scientific Day, Köln, April 2006 Solvency Capital Requirements, Workshop on Solvency and Capital Allocation, Université Louis Pasteur Strasbourg, April 2006 Optimal Capital and Risk Transfer for Group Diversification, Swiss Solvency Test Workshop, Ernst&Young, Zurich, March 2006 Optimal Capital and Risk Transfer for Group Diversification, Journées de séminaires actuariels ISFA Lyon et ISA-HEC, Lausanne, March 2006 Affine Credit Risk Models, BMBF Workshop on Credit Risk Management, Freising, March 2006 Mit einem Euro an die Wall Street, Mathematik am Samstag, University of Munich, February 2006 Optimal Capital and Risk Transfers for Group Diversification, Probability Seminar, University of Cambridge, February 2006 Optimal Capital and Risk Transfers for Group Diversification, Research Seminar in Finance, University of St.Gallen, February 2006 An Equilibrium Approach to Group Diversification, Quantitative Methods in Finance Conference, Sydney, December

7 Black Scholes und was danach kommt, Kolloquium mit den Fachkolleginnen und Fachkollegen an Gymnasien, LMU München, November 2005 An Equilibrium Approach to Group Diversification, Vortragsreihe Finanzund Versicherungsmathematik, TU Vienna, November 2005 Interne Modelle und Solvency II, Handelsblatt Konferenz Solvency II, Munich, November 2005 Diversifikation unter eingeschränkter Kapitalmobilität: ein gleichgewichtstheoretischer Zugang, Versicherungsmathematisches Kolloquium, University of Munich, October 2005 An Equilibrium Approach to Group Diversification, Seminar talk, Bocconi University, Milan, October 2005 Risk-based Solvency Capital Requirements, 15th International AFIR Colloquium, Zurich, September 2005 The Geometry of Interest Rate Models, Dimitsana Summer School, Thermo, Greece, July 2005 Risk-based Solvency Testing for Insurers, Finance Seminar, NCCR FIN- RISK, Zurich, July 2005 The Swiss solvency test and implications for risk-based insurance regulation, Centre for European Policy Studies (CEPS), Brussels, April 2005 Risk-based Solvency Testing for Insurers, 4th Winter school on Financial Mathematics, Lunteren, January 2005 Schweizer Solvenztest, Versicherungsmathematisches Kolloquium, University of Munich, November 2004 Credit Derivatives in an Affine Framework, Advanced Mathematical Methods for Finance, TU Munich, October 2004 Swiss Solvency Test for Insurers, Austrian Workshop on Asset Liability Management in Insurance, TU Vienna, September 2004 Credit Derivatives in an Affine Framework, Conference on the Mathematics of Credit Risk, Bendheim Center for Finance, Princeton University, September 2004 Grundlagen und erster Testlauf des Schweizer Solvenztests, SAV Arbeitstagung, Uni Bern, September 2004 Credit Derivatives in an Affine Framework, Bachelier Finance Society, 3rd World Congress, Chicago, July 2004 Estimation and Modelling of the Term Structure of Interest Rates, DGVFM Conference on Insurance and Finance, Dresden, April

8 Risk-based Supervision, mini-course, Magistère d Actuariat, Université Louis Pasteur, Strasbourg, April Swiss solvency test for insurers, MathFinance Workshop, HfB Frankfurt, April Mathematisches Kolloquium, LMU München, October Workshop on Computational Finance, ETH Zürich, September USI Lugano, Finance Seminar, June Columbia University, Probability Seminar, May Courant Institute, New York University, Mathematical Finance Seminar, April Oberwolfach, Stochastic Analysis in Finance and Insurance, March Oxford Princeton Workshop on Financial Mathematics and Stochastic Analysis, Princeton, October Bachelier Finance Society, 2nd World Congress, Crete, June Center for Computational Finance, Carnegie Mellon University, Workshop on Incomplete Markets, May The Fields Institute, Toronto, Quantitative Finance Seminar, April USI Lugano, Finance Seminar, November ETH Zürich, Seminar on Financial and Insurance Mathematics, November Oberwolfach, Stochastic Evolution Equations and Applications, October ÖMG-Kongress und Jahrestagung der DMV, Universität Wien, Minisymposium Finanzmathematik, September Bedlewo, Poland, Workshop on Mathematics of Finance, June Zürcher Kantonalbank, Workshop Interest Rate Theory, June University of Warwick, mini-session on Infinite Dimensional Models in Mathematical Finance, May Morgan Stanley Dean Witter, New York, Research Talk, May Princeton University, Otto A. Hack 03 Finance Seminar, April Columbia University, Finance Practitioners Seminar, April ORFE Department, Princeton University, Seminar, March

9 Columbia University, Probability Seminar, March Ritsumeikan University Japan, International Symposium on Stochastic Processes and Mathematical Finance, February University of Southern California, Seminar, February Stanford University, Probability and Stochastic Processes Seminar, January GSB Stanford University, Fixed Income Research Conference, January TU Wien, Seminar, December TU and Humboldt University Berlin, Mathematical Finance for Young Researchers, December TU München, Stochastic Approaches in Finance, Insurance, and Physics, September Carnegie Mellon University, Quantitative Risk Management in Finance, August Paris, First World Congress of the Bachelier Finance Society, June Oberwolfach, Stochastic Analysis in Finance and Insurance, May EPF Lausanne, Seminar, December Ecole Polytechnique Paris, Seminar, November Universität Freiburg (D), Seminar, November Polish Academy of Sciences Warsaw, Seminar, October Monte Verita Ascona, Stochastic Analysis, Random Fields and Applications, September Universität St.Gallen, SAV Jahresversammlung, September Marly-Le-Roi (Paris), European Young Statisticians Meeting, August Ecofin, Lunchseminar, July Scuola Normale Superiore Pisa, Seminar, March University of Aarhus, Seminar, September ETH Zürich, Riskday, September Valbella, ETH internal course on Interest Rate Models, July 1998 UBS, Zürich, Research Talk, May This CV is current as of 5 March