Daniel Ziggel

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Daniel Ziggel studied applied mathematics at TU Kaiserslautern (2002-2005) focusing on financial mathematics and economics. He holds a PhD from the Institute of Statistics, Ruhr-Universität Bochum (2008). After one year working for a renowned consultancy company, Prof. Dr. Ziggel has been the Managing Partner of Quasol GmbH since its founding in 2010. Since 2014, he is a Professor for business mathematics and statistics at the FOM Hochschule for Economics and Management.

Articles by Daniel Ziggel

Original research

New backtests for unconditional coverage of expected shortfall

In this paper, the authors present a new backtest for the unconditional coverage property of expected shortfall.

08 Aug 2018

Original research

Estimation window strategies for value-at-risk and expected shortfall forecasting

This paper analyzes the impact of different estimation window strategies, including structural breaks and forecast combinations, on forecasting common risk measures such as VaR and ES.

26 Jun 2018

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