Welcome to Frank Oertel's Homepage
It's like if you want to be a good pianist,
you have to do a lot of scales and a lot of practice,
and a lot of that is kind of boring, it's work.
But you need to do that before you can really be very expressive and really play beautiful music.
You have to go through that phase of practice and drill.
- Terence Tao -
Russia's War of Aggression towards Ukraine: a few Non-negligible Reactions on Putin's Breach of International Law, including Wilhelm Busch's suggestion (in German and English)
Open letter of Russian mathematicians against the war in Ukraine (as at 28th February 2022)
Explainer: Russian banks isolated, UK cuts insurance ties with Moscow (as at 3rd March 2022)
Russia's Credit Rating Cut to 'Junk' by Moody's, Fitch Due to Sanctions (as at 3rd March 2022)
Russia's Credit Rating Downgraded for the 2nd Time in a Week by S&P (as at 4th March 2022)
Fitch Downgrades Russia's Russneft to 'CCC+' (as at 6th March 2022)
Kriegsbilder auf Streamingkanal Anonymous meldet ‘größte Operation aller Zeiten’ - n-tv.de (Stand: 07. März 2022)
Markus Lanz Roundtable on 24.03.2022 (sheds bright light on the origin of the war, traced to the Helsinki Final Act in midsummer 1975, and scrutinises the impact of sanctions - available until 24.03.2023)
Militärökonom über Putins drohenden
Ruin (Stand: 25. März 2022)
Treuhand: Das steckt hinter der Gazprom-Entscheidung (Stand: 05. April 2022)
Russia May Be in Default, Moody's Says (as at 15. April 2022)
'Nur Frage der Zeit' - Von der Leyen sieht Russlands Bankrott kommen (Stand: 17. April 2022)
Russia's GDP decline could hit 12.4 % this year, economy ministry document shows (as at 27. April 2022)
Lawrows leere Weltkriegs-Drohung - “Es wird so oder so eine Eskalation geben” - n-tv.de; (Stand: 27. April 2022)
Putins Krieg und deutsche Mitschuld (The Pioneer Briefing vom 28.04.2022) / Ohne Worte
EU to remove Sberbank, two other Russian banks from SWIFT (as at 04. May 2022)
Markus Lanz Roundtable on 04.05.2022 (analyses what-if risk scenarios in depth, particularly with respect to a potential severe gas supply chain problem and its impact to Germany - available until 05.05.2023)
Ungedeckte Schulden: Ist Russland wirklich zahlungsunfähig? (Stand: 26. Juni 2022)
Thinking About the World of Tomorrow (in German and English)
Markus Lanz Roundtable on 14.04.2022 (Über Wandel und Zukunft der Arbeitswelt, Zukunftstechnologien für Gesellschaft, Industrie und Dienstleistungen und den damit verbundenen finanz- und arbeitsmarktpolitischen Herausforderungen in Deutschland (einschl. Diskussion über das bedingungslose Grundeinkommen, Finanztransaktionssteuer und Rentenfinanzierungsproblematik) - available until 14.04.2023)
Grundlagenpapiere zur neuen Regierungsbildung 2021 in Deutschland (Ampel)
Ergebnis der Sondierungsgespräche (Stand: 15.10.2021)
Koalitionsvertrag 2021 – 2025 zwischen der Sozialdemokratischen Partei Deutschlands (SPD), BÜNDNIS 90 / DIE GRÜNEN und den Freien Demokraten (FDP) (Stand: 24.11.2021)
Some introductory and very instructive videos uncovering the background of the global credit crisis[*] (2006/7 - present):
TV series Bad Banks (in German - only available until autumn 2018 - check via YouTube, though!)
WiSo reality check of Bad Banks including a discussion of its content with a former German investment banker (in German - only available until Spring 2019 - check via YouTube, though!)
FAZ film review of the TV series Bad Banks in ZDF, respectively Arte (written in German)
Although reflecting - partially - a somewhat exaggerated picture I have to confirm unfortunately how close to reality this TV series actually is. I have been working for many years in similar environments in different countries. Moreover, often (also due to lobbyism) I have been strongly confronted with a heavy misuse and brutal ignorance of mathematics and implied risk measurement colour codings. Observe also the arrogant comments about internal audit.
However, based on my own experience at BaFin I certainly do not agree with the odd representation of a governmental financial supervisor who acts in an amateurish manner and always seems to work in complete isolation (without any team members). The latter picture is nonsense. Governmental financial supervisors of such SIFIs work in sufficiently large and very well-organised professional units.
Credit Default Swaps and their Impact on the Global Credit Crisis (Part 1)
Credit Default Swaps and their Impact on the Global Credit Crisis (Part 2)
Mortgage-backed Securities (Part 1)
Mortgage-backed Securities (Part 2)
Mortgage-backed Securities (Part 3)
Collateralis/zed Debt Obligation (CDO)
Some (introductory) articles and slides uncovering the background of the global credit crisis (2006/7 - present) - including Basel III :
Wikipedia article on the subject - written in German
Wikipedia article on the subject - written in (American) English
"The Map is Not the Territory: An Essay on the State of Economics" (a brilliantly written article by Prof John Kay from the Institute for New Economic Thinking (which should also be read by financial mathematicians))
"Basel III CVA charge still flawed; lacks risk sensitivity"
"Messages from the academic literature on risk measurement for the trading book"
"Basel III: A global regulatory framework for more resilient banks and banking systems (update from June 2011)", "Basel III: A global regulatory framework for more resilient banks and banking systems (first version from December 2010)" (several colleagues from BaFin and Bundesbank (including myself) contributed actively to Basel III)
"Basel III: Capital Changes"
"Basel III. Modifizierte Kapitalanforderungen im Spiegel der Finanzmarktkrise" (written in German; Deloitte Financial Risk Solutions sums up the contents of Basel III)
"Basel III. Begriffsbestimmung" (written in German; the German Federal Ministry of Finance sums up the contents of Basel III)
"Consultative Document. Capitalisation of bank exposures to central counterparties" (several members of BaFin and Bundesbank (including myself) contributed actively to the main statements of Para 117 in Annex A including the waterfall principle on p. 13)
Wikipedia article on the Dodd-Frank Wall Street Reform and Consumer Protection Act
The Dodd-Frank Wall Street Reform and Consumer Protection Act (from July 2010)
"Viewpoint. Can IT Lean Against the Wind? Lessons from the global financial crisis" (well, doesn't this viewpoint actually reflect an obvious fact which however could be viewed as one of the main reasons of the global credit crisis?)
"Quantifizierbarkeit von Risiken auf
Finanzmärkten" (written in German; includes remarks on the securitis/zation of both, credit and retirement provisions - and its risks)
"Finanzkrise - Ursachen, Wirkungen, Rettungspakete und Regulierung - Langfassung"
(written in German; a brilliant set of slides on the origin and multiple impacts of the credit crisis including the role of regulators and politics)
"Lessons from the Failures in Risk Management during the Subprime Crisis" (regarding the
severity of the overall loss, pay particular attention
to slide 6!)
"Ein Risiko, das alle trifft - Ursachenforschung und Lösungsansätze zur Finanzkrise"
(written in German; on the origin of the credit crisis and first solution statements; from ETH GLOBE, Nr. 3, Sept. 2009)
"Kapitalismus reloaded. Mit dem Kredit ist es wie mit dem Rotwein" (written in German; on the origin of the credit crisis; from manager-magazin.de)
"Financial Innovation and a New Economics of Banking: Lessons from the Financial Crisis"
"Mathematics and Finance: End of the Bubble?" (a talk of Nicole El Karoui, Paris VI, Ecole Polytechnique)
by Jellyfish" (written in German; it describes the viewpoint of Prof. Hermann Schulte-Mattler, Professor in Financial Economics, FH Dortmund)
"The Turner Review: A regulatory response to the global banking crisis" (regarding the role of VaR, pay particular attention to ch. 1.4 (iii))
"Eine falsch angewendete Formel und ihre Folgen" (written in German; on David X. Li's copula formula)
"Finanzkrise: Hilfe! Das Kapital verschwindet" (written in German; it describes the viewpoint of Prof. Martin Hellwig, Director of the MPI for Research on Collective Goods)
"The Financial Crisis and the Systemic Failure of Academic Economics"
"The Crash of 2008: A Mathematician's View" (written by N. H. Bingham, Senior Research Fellow, Imperial College, Section Mathematical Finance)
"Kreditderivate und die Finanzmarktkrise" (written in German)
"Weltkreditkrise: Lehren zum
Thema Armut und Bankensystem" (written in German; a talk of Prof. Dr. Udo Reifner, Director of the IFF)
"Der Bankraub" (written in German; a very enlightening article from Der Spiegel)
"Credit Risk Modeling „Put to Test“ "
"Financial Markets and Monetary Policy" (talk of Prof. A. A. Weber, President of Deutsche Bundesbank)
"Don't Blame The Quants" (comment of S. Shreve, Orion Hoch Professor of Mathematical Sciences at Carnegie Mellon University; from Forbes)
"Confessions of a Risk Manager" (an article from The Economist print edition)
"The recent Financial Turmoil: A first Assessment and some Policy Considerations for the International Financial Architecture"
"Structured Finance and the Financial Turmoil of 2007-2008: An introductory Overview"
"Finanzspekulation, Arbeitslosigkeit und Staatsverschuldung" (written in German; however, you would learn something about sheep-shearing here)
A very few documents reflecting the use of mathematical models and their role in relation to the financial turmoil (2007 and beyond):
"Nonlinear valuation under credit gap risk, initial and variation margins, funding costs and multiple curves" (14-th Winter School in Mathematical Finance, Jan 26 – 28, 2015; De Werelt, Lunteren, The Netherlands - written by D. Brigo - Chair, Mathematical Finance Section, Stochastic Analysis Group, Dept. of Mathematics, Imperial College London)
"Arbitrage Free Credit Valuation Adjustments" (London Graduate School of Mathematical Finance, Nov 30, Dec 1, 7, 8, 14, London, 2011 - written by D. Brigo - Gilbart Professor of Mathematical Finance and Head of the Mathematical Finance Group, Dept. of Mathematics, King's College, London)
"Bilateral first-to-default CVA and Basel III-CVA risk charges embedded in the context of an integrated portfolio risk model - First thoughts (Non-Confidential Version)" (my own talk presented at the 2011 BCBS-RTF meeting in Istanbul, its first improved version at University of Southampton and the final version so far)
"Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending" (a very illuminating paper - written by D. Brigo)
"Dynamic Valuation and Hedging of Counterparty Credit Exposure"
"Coherent global market simulations for counterparty credit risk"
"Mathematics and Finance: End of the Bubble?" (a talk of Nicole El Karoui, Paris VI, Ecole Polytechnique)
"Zur Bewertung von Kreditderivaten" (my own talk)
"An Overview of Credit Derivatives"
"Bilateral counterparty risk valuation with stochastic dynamical models and application to Credit Default Swaps" (written by D. Brigo and A. Capponi)
"Credit Risk Modeling" (written by T. R. Bielecki, M. Jeanblanc and M. Rutkowski)
"Parameter Uncertainty and the Credit Risk of Collateralized Debt Obligations"
"Valuation and Risk of Structured Credit Products and Bespoke CDOs: A Scenario Framework"
"Portfolio Losses in Factor Models: Term Structures and Intertemporal Loss Dependence"
"Mathematical Aspects of Credit Portfolio Management"
"Dynamic Financial Risk Management"
und -steuerung: ein Überblick" (written in German)
A very illuminating public lecture on worldwide implications of the new axis of financial power - presented August 22, 2002, at the International Congress of Mathematicians in Beijing:
"Can Numbers Ensure Honesty? Unrealistic Expectations and the U.S. Accounting Scandal"
Another important external article about the same subject:
"Risk Reduction in the New Financial Architecture: Realities, Fallacies, and Proposals"
[*] ... Don't touch! It evolves exponentially...
Updated: June 26, 2022