Matthias Scherer

Prof. Scherer studied business mathematics at the University of Ulm and obtained his Master of Science in mathematics at Syracuse University (USA). He went on to do his doctorate in structural credit-risk models at the University of Ulm (2007).He joined TUM in 2007, where he coordinated the elite graduate program "Finance and Information Management" until 2009. He is currently member of the board of the DGVFM and member of the advisory council of FIRM and RiskNet. At TUM, Matthias Scherer is currently ISAM Speaker, member of the faculty council and deputy head of the ERGO Center of Excellence in Insurance. Since 2010, he has been professor of mathematical finance at TUM.

Research area

Prof. Scherer’s (b. 1979) research area is mathematical finance, actuarial science, probability, and statistics. His work aims at the valuation of financial products and the quantification of their risks. He is well known for the modelling of dependency structures, the construction of simulation algorithms for copulas, and the analysis of credit portfolios. Scherer is a member of the board of the “Deutsche Gesellschaft für Versicherungs- und Finanzmathematik”, speaker of the graduate school ISAM, and serves different scientific journals. He supports the exchange between academia and practice in various activities.

Awards

• ISAM Supervisory Award, 2nd place, International School of Applied Mathematics at TUM (2018)
• Teaching Award „Golden Circle“, Mathematics Departmental Student Council at TUM (2010, 2012, 2017)
• Gauss Award, 2nd place, of the German Association of Actuards and the German Society for Insurance and Financial Mathematics (2011)
• Südwestmetall award for young researchers (2007)

Publications

• Hüttner, Amelie; Scherer, Matthias; Gräler, Benedikt: Geostatistical modeling of dependent credit spreads: Estimation of large covariance matrices and imputation of missing data. Journal of Banking and Finance, 2020 [2]
• Mai, Jan-Frederik; Scherer, Matthias: On the structure of exchangeable extreme-value copulas. Journal of Multivariate Analysis, 2020 [3]
• Min, A.; Scherer, M.; Schischke, A.; Zagst, R.: Modeling Recovery Rates of Small- and Medium-Sized Entities in the US. Mathematics 8 (11), 2020 [4]
• Scherer, M.; Stahl, G.: The Standard Formula of Solvency II: A critical discussion. European Actuarial Journal, 2020
• Sloot, H.; Scherer, M.: A probabilistic view on semilinear copulas. Information Sciences 512, 2020, 258-276
• Zeller, G.; Scherer, M.: A comprehensive model for cyber risk based on marked point processes and its application to insurance. 2020,