I am a fifth year Ph.D. student in the Economics and Finance group at the Department of Management Science and Engineering at Stanford University. Before coming to Stanford, I studied applied mathematics, economics, and computer sciences at the University of Cologne, Germany, where I obtained my Diplom (equivalent to a Master title). I was born in Valencia, Venezuela, and I grew up both there and in Cologne, Germany. My hobbies are surfing, swimming, music, and traveling.
I develop statistical inference theory for stochastic processes with jumps, including jump-diffusions and point processes, which are widely used in finance, economics, healthcare, biostatistics, engineering, and other fields. Moreover, I develop and analyze tools for addressing the significant computational challenges that arise in this context. My research results provide a rigorous statistical foundation for the empirical application of stochastic processes with jumps.
The application area that I am most interested in is the measurement and management of financial risk, especially credit risk. The recent financial crisis highlights the need to effectively predict and manage credit risk. My research provides a framework to guide and resolve the continuing political and economic debate about how to regulate financial institutions. New congressional laws demand that financial institutions maintain capital reserves to cover unexpected losses due to credit events, and that regulatory agencies monitor the likelihood of systemic failure in the financial markets. My research results enable a more accurate estimation of capital reserves and assist in the design of realistic stochastic models of correlated default risk.
You can find some of my research papers listed on the right.
Last update: December 13, 2012.