Felix Moldenhauer

Felix Moldenhauer holds a PhD and Master's degree in Economics from the University of St. Gallen, Switzerland. His dissertation investigated the forecasting power contained in FX option prices and high-frequency data. During his doctoral studies, he taught courses in financial modelling and econometrics as assistant to Professor Söderlind at the Swiss Institute of Banking and Finance. After moving to London, he worked as quant in the Global Markets business of HSBC. Firstly starting out in Counterparty Credit Risk modelling, his responsibility extended to cover Market Risk models and subsequently all Traded Risk model review activities in EMEA.

Articles by Felix Moldenhauer

Original research

Backtesting expected shortfall: a simple recipe?

In this paper, the authors introduce a new ES backtesting framework based on the duality between coherent risk measures and scale-invariant performance measures.

30 Oct 2019

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