Private Homepage
 

Stephan Jortzik

104/215 Aspinall Street, Watson/Canberra, 2602 ACT, Australia
Tel.: +61458779367 (+491775605896)
E-Mail: Stephan@Jortzik.de

Short-Biography
1995 Abitur at the "Werner von Siemens" Gymnasium
1995 - 2000 Masters Course in Business Administration at the 
University of Göttingen
1997 - 1998 Erasmus-Exchange Student at the University of Nottingham
2000 Financial Analyst at European Investors, Inc. in New York
2001 - 2006 Researcher, Lecturer and Ph.D. Student at the University of Göttingen
2002 - 2007 Lecturer at the Welfen Academy
Since 2006 Rating Analyst at Fitch Ratings

Doctoral-Thesis
Semi-analytische und simulative Kreditrisikomessung synthetischer Collateralized Debt Obligations bei heterogenen Referenzportfolios - Unternehmenswertorientierte Modellentwicklung und transaktionsbezogene Modellanwendungen

(Semi-Analytical and Simulative Credit Risk Measurement of Collateralized Debt Obligations with Heterogeneous Reference Portfolios-A Modified Asset-Value Model and Transaction-Based Model Applications)

Selected Publications

German Residential Mortgage Loan Foreclosure Risk - Empirical Evidence and Forward-looking View
Fitch Special Report
March 2010 (co-author: Eberhard Hackel)


A Multi-Factor Cross Currency LIBOR Market Model
The Journal of Derivatives
Summer 2009, Vol. 16, No. 4: pp. 53-71 (co-authors: Wolfgang Benner and Lyudmil Zyapkov)


German Mezzanine CLOs - A Sector Under Pressure
Fitch Special Report
April 2009 (co-authors: Susanne Matern and Olga Kljubina)


Synthetische Collateralized Debt Obligations - Bewertung und Kreditrisikomessung mit Unternehmenswertmodellorientierung
Book Publication
Norderstedt 2006, ISBN 3-8334-5220-X

Zum Zusammenhang zwischen Bond Credit Spreads und Ratings - Aktuelle empirische Analysen anhand börsentäglicher Daten des US-amerikanischen Corporate Bond-Marktes sowie eine Überprüfung der Informationsgehalt-Hypothese
IFBG-Research Report No. 16
Göttingen 2003 (co-author: Sascha Mergner)

Traditionelle Kreditrisikominderungstechniken und Kreditderivate als Gegenstand von Basel II - Betriebswirtschaftliche Implikationen bankaufsichtsrechtlicher Regulierungen für das Kreditrisikomanagement von Kreditinstituten
IFBG-Research Report No. 15
Göttingen 2002 (co-author: Birgit Müller)

Zur arbitragefreien Bewertung von Volatilitätsfutures - Theoretische und empirische Analysen anhand des VOLAX
IFBG-Research Report No. 12
Göttingen 1999 (co-author: Jonny Holst)

Selected Presentations
Rating Structured Finance Transactions - Case Study: Rügen Eins
Certified Rating Analyst Programme, University of St. Gallen
November 2009


German CLO Transactions and Revised European SME Criteria
Fitch Investor Presentations, London, Dublin, Vienna and Frankfurt
June/July 2009


Limitations of Structured Finance Analytics
TSI Special Training, Frankfurt
February 2009


Credit Portfolio Risk Modelling for Rating Granular CDO Transactions-Methodological Issues and Risk Aspects
HVB Institute for Mathematical Finance, University of Munich
January 2008


Risk Assessment and Rating of German SME CLOs
Bachelor's Course Financial Management, University of Potsdam
December 2007


Rating Structured Finance Transactions - Case Study: Preps 2007-1
Certified Rating Analyst Programme, University of St. Gallen
November 2007


Quality Made in Germany-The German SME CLO Sector
Investor Presentation, London and Dublin
October 2007


Financing of European SMEs through CDOs
ESF/IMN European CDOs, Credit Derivatives & Structured Credit Products Summit CDO Conference, Panel Discussion, London
September 2007


Rating of Mezzanine SME CLOs-Rating Methodology Aspects and Case Study
"Potsdam Summer Academy 2007", Workshop, University of Potsdam
July 2007


European SME Liquidity Initiatives
ICAPM 2007 Spring General Meeting, Panel Discussion, Zurich
June 2007


Rating Structured Finance Transactions
Faculty of Mathematics, University of Leipzig
May 2007


Asset-Backed Securities in Germany-An Introduction from the Perspective of a Rating Agency
IIFF-Seminar "Accounting and Legal Aspects of ABS-Transactions", Frankfurt
April 2007


A Multi-Factor Cross-Currency LIBOR Market Model
14th Annual Global Finance Conference, LaTrobe University Melbourne
April 2007 (with Lyudmil Zyapkov)


Credit Risk of CDOs-Structural Form Methodology, Default Probabilities, Recovery Rates, Correlation Impact on Credit Portfolios
Investor Presentation, Frankfurt
February 2007


Modelling Joint Credit Events with Copulae During the Structuring Process of Synthetic CDO Transactions
Faculty of Economic Sciences, University of Göttingen
January 2004


Using Copulae for Credit Risk Management Purposes
Symposium "Mathematics in Banks and Insurance Companies", Technical University of Freiberg
December 2003

Copyright (c) 1999-2010 by Stephan Jortzik