Board Member, Peak Compliance AG
Mathematician with a doctorate; his dissertation deals with the structuring of structured products.
- Focus: quantitative risk management – liquidity risk, stress testing, value at risk and expected shortfall, concentration risk
- Products: decomposition, valuation and risk analysis of structured products
- Background: LinkedIn
Publications
- Doctoral thesis (HEC Lausanne): structuring of structured products
- Working paper on credit risk: Cossin, D., Hricko, T., Aunon-Nerin, D. and Huang, Z. (2002): «Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets' Information Sufficient to Evaluate Credit Risk?», FAME Research Paper No. 65 – SSRN
Articles by Dr. Tomas Hricko
Konzentrationsrisiken messen: Herfindahl-Index und Korrelationscluster
Herfindahl-Index, effektive Positionszahl, Emittenten-Look-through und Component VaR: Konzentrationsrisiken in Fonds und Mandaten mit Rechenbeispielen.
Read article →Strukturierte Produkte: Zerlegung, Sensitivitäten und Barrierenrisiko
Barrier Reverse Convertible zerlegt: Anleihe plus Down-and-in-Put, Delta, Gamma, Vega, Barriere, Emittenten- und Liquiditätsrisiko mit Zahlenbeispiel.
Read article →Stresstests und Szenarioanalyse: historisch, hypothetisch und revers
Faktorschocks, Duration und Konvexität, Korrelationsbruch und Reverse-Stresstest: Szenarioanalyse mit Formeln und Rechenbeispiel für Fonds und Mandate.
Read article →Liquiditätsrisiko messen: Liquidationsdauer und Rücknahme-Stresstests
Days-to-liquidate, Liquiditätsstufen, Liquiditätsdeckung und Notverkaufsabschlag: Formeln und Rechenbeispiel zum Liquiditätsrisiko nach Art. 108a KKV.
Read article →Value at Risk und Expected Shortfall: Berechnung, Backtesting, Limiten
VaR parametrisch, historisch und per Monte Carlo, Expected Shortfall, Kupiec-Test und die Vorgaben der KKV-FINMA für Effektenfonds mit Rechenbeispielen.
Read article →More about the team on About us. For risk management in your institution: risk management outsourcing and get in touch.
Frequently asked questions
What is Dr. Tomas Hricko’s role at Peak Compliance?
Dr. Tomas Hricko is a member of the Board of Directors of Peak Compliance AG.
Which topics does Dr. Tomas Hricko write about?
He writes on quantitative risk management: liquidity risk, stress testing and scenario analysis, value at risk and expected shortfall, structured products and concentration risk. His articles are listed on this page.
Where can I find his professional background?
His background is on his LinkedIn profile, linked on this page. To arrange a conversation, please use the Peak Compliance contact page.
