Humboldt-Universität zu Berlin - High Dimensional Nonstationary Time Series

E-mail:	phamthuh@hu-berlin.de
Phone:	+49 30 2093-5723
Fax:	+49 30 2093-5748
Office hours:	upon agreement
	SPA1, Room 312
Postal Address:	Humboldt-Universität zu Berlin School of Business and Economics Ladislaus von Bortkiewicz Chair of Statistics Unter den Linden 6 10099 Berlin Germany

Teaching

• Statistik I+II mit SPSS und Excel - Anwendungen für die Praxis (SS 14)

• Statistik II (Tutorial, WS 13/14)

• Statistik I (Tutorial, SoSe 2013)

• Statistik II (Tutorial, WS12/13)<

Research Interests

• Conditional correlation in credit risk (VaR and CoVaR Estimation)
• Reciprocation of liquidity risk and credit risk
• Portfolio diversification factor

Education

• 2003 - 2010 Diploma in Industrial Engineering, Karlsruhe Institute for Technology

Papers

• Klein, T., Pham-Thu, H., Piontek, K., Walther, T. (2017) True or Spurious Long Memory in European Non-EMU Currencies. Research in International Business and Finance, Vol. 40C, pp. 217-230.

• Chen, C., Härdle, W. K., Pham-Thu, H. (2016) The integration of credit default swaps markets: An investigation of common stochastic trends. Discussion Paper 2014-39, CRC 649, Humboldt-Universität zu Berlin. Resubmitted.

• Klein, T., Pham-Thu, H., Walther, T. (2015) Empirical Evidence of Long Memory and Asymmetry in EUR/PLN Exchange Rate Volatility. Research Papers of Wroclaw University of Economics, No. 428, pp. 128-140.

• Chao, S.-K., Härdle, W. K., Pham-Thu, H. (2014) Credit Risk Calibration based on CDS Spreads. Discussion Paper 2014-26, CRC 649, Humboldt-Universität zu Berlin. Resubmitted.

Presentations

• Credit Risk Calibration Based on CDS Spreads at 8th Financial Risks International Forum 2015 in Paris.