Dr. Tobias Fissler

Postdoktorand / Assistent

Institut für Mathematische Statistik und Versicherungslehre (IMSV)

Telefon
+41 31 631 88 06
Fax
+41 31 631 38 70
E-Mail
tobias.fissler@stat.unibe.ch
Büro
231
Postadresse
Sidlerstrasse 5
CH-3012 Bern

Peer-reviewed publications

  • T. Fissler and M. Podolskij (2017).
    Testing the maximal rank of the volatility process for continuous diffusions observed with noise [link]
    Bernoulli 2017, Vol. 23, No. 4B, 3021-3066.

  • T. Fissler and J. F. Ziegel (2016).
    Higher order elicitability and Osband's principle [link]
    Annals of Statistics 44 (4), 1680–1707 (2016)
    doi: 10.1214/16-AOS1439

  • T. Fissler, J. F. Ziegel and T. Gneiting (2016).
    Expected Shortfall is jointly elicitable with Value at Risk – Implications for backtesting [arXiv]
    Risk Magazine, January 2016, 58–61

  • T. Fissler and C. Thäle (2016).
    A four moments theorem for Gamma limits on a Poisson chaos [ALEA]
    ALEA, Lat. Am. J. Probab. Math. Stat. 13 (1), 163–192 (2016) 
    [Erratum]

 

Preprints

  • T. Fissler and C. Thäle (2016).
    A new quantitative central limit theorem on the Wiener space with applications to Gaussian processes [arXiv]

 

Thesis

  • T. Fissler (2017). 
    On Higher Order Elicitability and Some Limit Theorems on the Poisson and Wiener Space [link]
    PhD thesis, University of Bern.

2017

  • 20th European Young Statisticians Meeting
    The Elicitation Problem.
    14 - 18 August 2017, Uppsala University, Sweden. 

  • Research Seminar
    A new quantitative central limit theorem on the Wiener space with applications to Gaussian processes.
    04 July 2017, Ruhr University Bochum, Germany.

  • Research Seminar
    Testing the maximal rank of the volatility process for continuous dif- fusions observed with noise.
    09 June 2017, Vienna University of Economics and Business, Austria.

  • Research Seminar AG Stochastik
    The Elicitation Problem.
    30 May 2017, Karlsruhe Institute of Technology, Germany 

  • Research Seminar.
    Quality criteria of scoring functions beyond strict consistency.
    29 May 2017, Heidelberg Institute for Theoretical Studies, Germany.

  • Workshop on “Risk Quantification and Extreme Values in Applications”
    Higher order elicitability: Strictly consistent scoring functions for (Value at Risk, Expected Shortfall) and beyond.
    15 – 17 February 2017, EPF Lausanne, Switzerland. 

  • Econometrics Colloquium
    Joint evaluation of VaR and ES.
    16 January 2017, University of Konstanz, Germany.

2016

  • Vienna Congress on Mathematical Finance
    Higher Order Elicitability: Expected Shortfall is jointly elicitable with Value at Risk – Implications for Backtesting
    12 - 14 September 2016, WU Vienna, Austria.

  • Financial and Insurance Mathematics Talk
    Higher Order Elicitability: Expected Shortfall is jointly elicitable with Value at Risk – Implications for Backtesting
    07 April 2016, ETH Zurich, Switzerland.

  • 12th German Probability and Statistics Days.
    Higher Order Elicitability: Expected Shortfall is jointly elicitable with Value at Risk – Implications for Backtesting
    1 - 4 March 2016, Ruhr University Bochum, Germany.

2015

  • Research Training Group: High dimensional phenomena in probability.
    Testing the maximal rank of the volatility process for continuous diffusions observed with noise
    23 November 2015, Ruhr University Bochum, Germany.

  • Dependence and Risk Measures.
    Higher order elicitability and Osband’s principle: 
    Expected Shortfall is jointly elicitable with Value at Risk

    12 - 13 November 2015, University of Milano-Bicocca, Italy.
    Winner of the 'Prometeia Award' for the best presentation.

  • Institute Seminar.
    Higher order elicitability and Osband's principle
    21 October 2015, University of Bern, Switzerland.

  • 8x8': Junge Forschende erzählen
    Alles nur ein Blick in die Glaskugel? Wie man Vorhersagen miteinander vergleichen kann
    10 September 2015, University of Bern, Switzerland.

  • 11. Doktorandentreffen Stochastik.
    Higher order elicitability and Osband's principle
    05 August 2015, Berlin, Germany.

  • European Meeting of Statisticians.
    Higher order elicitability and Osband's principle
    08 July 2015, Amsterdam, Netherlands.

  • Workshop for young scientists on Elicitability, Propriety and Related Topics.
    Higher order elicitability and Osband's principle
    29 May 2015, University of Bern, Switzerland.

  • Thiele Seminar.
    A four moments theorem for Gamma limits on a Poisson chaos
    12 May 2015, Aarhus University, Denmark.

 

2014

  • ​Institute Seminar.
    Asymptotic Efficiency of Scoring Rules
    15 October 2014, University of Bern, Switzerland.

  • Workshop for Young Academics of the Deutsche Statistische Gesellschaft.
    Asymptotic Efficiency of Scoring Rules
    15 September 2014, Leibniz University Hannover, Germany.

  • Workshop on "Propriety and Elicitability".
    Asymptotic Efficiency of Scoring Rules
    18 June 2014, Heidelberg Institute for Theoretical Studies, Germany.

  • Institute Seminar.
    Malliavin-Stein Method - An Introduction
    14 May 2014, University of Bern, Switzerland.

  • 11th German Probability and Statistics Days.
    A Test for the Rank of the Volatility Process in the Presence of Noise
    06 March 2014, University of Ulm, Germany.

 

2013

  • Institute Seminar.
    A Test for the Rank of the Volatility Process in the Presence of Noise
    20 November 2013, University of Bern, Switzerland.

Point and Probabilistic Forecasting

Elicitability
Consistent scoring functions
Proper scoring rules
Quantitative risk measures

Inference for Semimartingales

Continuous Itô semimartingales
High frequency data
Microstructure noise
Rank testing
Stable convergence

Malliavin calculus and Stein's Method

Stochastic integrals
Wiener chaos
Normal and Gamma approximation
Four Moments Theorems

During my bachelor and master program from 2008 to 2013, I studied at Heidelberg University in Germany. I did a major in mathematics mainly focusing on probability theory and statistics which was complemented by a minor in philosophy during my bachelor program and by economics during my master program. Johanna F. Ziegel and Mark Podolskij jointly supervised my bachelor thesis with the title "The theorem of Breuer-Major, convergence rates in central limit theorems".

After finishing my master thesis titled "A test for the rank of the volatility process in the presence of noise" supervised by Mark Podolskij, I joined the group of Johanna F. Ziegel at the Institute of Mathematical Statistics and Actuarial Science at the University of Bern, Switzerland, in 2013. Here, I am currently working as a PhD student and assistant.