Researchers at the FH BFI Vienna

Christian Cech conducts research in the field of risk management and financial market regulation. One focus of his research work in the area of financial market regulation is on the Basel III regulations and the associated reporting requirements for banks. With regard to the risk management of financial institutions, his focus is on the modelling of multivariate return distributions using Copula-based methods. This modelling can be used to estimate risk measures such as value-at-risk or the expected shortfall. The best possible estimation of these risk measures is important from the perspective of adequate risk management.

In addition, these risk measures are often used to determine the amount of own funds to be held. These own funds are intended to minimise the probability of insolvencies of financial institutions. Thus, an adequate estimation of risk measures also has an influence on the stability of the financial sector.

Contact Christian Cech: christian.cech@fh-vie.ac.at

Publications and Working Papers

Cech, C., Helmreich, S. (Hrsg. 2022): Meldewesen für Finanzinstitute. Ein Handbuch für PraktikerInnen. Springer Gabler. 2. Auflage 2022. ISBN: 978-3-658-34886-1

Cech, C., Dziwok, E. (2019): Fund transfer pricing and its impact on bank liquidity measures, in: Linsley P., Shrives P., Wieczorek-Kosmala M. (eds) Multiple Perspectives in Risk and Risk Management. Springer Proceedings in Business and Economics. Cham, Springer. https://doi.org/10.1007/978-3- . . .

Agliardi, E., Alexopoulos, T., Cech, C. (2019): On the relationship between GHGs and global temperature anomalies: Multi-level rolling analysis and copula calibration, Environmental and Resource Economics, Vol 72, Issue 1, pp. 109–133, https://doi.org/10.1007/s10640 . . .

Cech, C. (2017): Eigenmittel- und Liquiditätsanforderungen nach Basel III – eine Übersicht, in: Cech, C., Helmreich, S. (eds.), 2017, Meldewesen für Finanzinstitute. Was bringt die neue europäische Aufsicht?, Springer Gabler, Wiesbaden, pp. 47–82

Cech, C., Schrempf, K. (2016): Unterschiede in der Berechnung der Mindesteigenmittelanforderungen nach Basel II und nach Basel III, Wirtschaft und Management, No. 23, pp. 41–74

Cech, C., Jäger, J., Sander, C., Theurl, S. (2013): Finanzmarktstabilität und Risikomanagement in Leasinggesellschaften, Materialien zu Wirtschaft und Gesellschaft Nr. 123

Cech, C., Helmreich, S., Jagrič, V. (2013): Stresstests in Banken, Österreichisches Bankarchiv ÖBA6/2013, pp. 377–382

Cech, C. (2012): Die Eigenmittelanforderungen an Versicherungen im Standardansatz von Solvency II, working paper series by the University of Applied Sciences bfi Vienna No. 74/2012

Aussenegg, W., Cech, C. (2012): A new copula approach for high-dimensional real world portfolios, working paper series by the University of Applied Sciences bfi Vienna No. 68/2012

Aussenegg, W., Cech, C. (2011): Simple time-varying copula estimation, in: Barczak, A. S., Dziwok E. (ed.), Mathematical, Econometrical and Computational Methods in Finance and Insurance, Publisher of the Karol Adamiecki University of Economics in Katowice, Katowice, pp. 9–20

Aussenegg, W., Cech, C. (2011): A Simple Time-Varying Copula Estimation Approach, in: FH Campus Wien (ed.), Tagungsband 5. Forschungsforum der österreichischen Fachhochschulen , Vienna, pp.364–365

Cech, C. (2008): An empirical investigation of the short-term relationship between interest rate risk and credit risk, in: Brebbia, C.A., Costantino, M., Larran, M. (ed.), Computational Finance and its Applications III, Transaction: Information and Communication Technologies volume 41, WITpress, pp. 185–196

Butschek, C., Cech, C. (2008): Immobiliensicherheiten nach Basel II, Österreichisches Bankarchiv ÖBA8/2008, pp. 567–581

Cech, C. (2006): Copula-based top-down approaches in financial risk aggregation, working paper series by the University of Applied Sciences bfi Vienna No. 32/2006

Cech, C. and Fortin, I. (2006): Investigating the dependence structure between market and credit portfolios' profits and losses in a top-down approach using institution-internal simulated data, Study by the University of Applied Sciences bfi Vienna

Cech, C. and Fortin, I. (2006): Modelling the dependence structure between financial portfolios´ profits and losses. A top-down approach using institution-internal data, Study by the University of Applied Sciences bfi Vienna

Cech, C. (2006): Modelling the dependence structure between market and credit risk, in: Chrzan, P. (ed.), Mathematical, Econometrical and Computational Methods in Finance and Insurance, Publisher of the Karol Adamiecki University of Economics in Katowice, Katowice, pp. 87–99

Cech, C., Ortner, G., Schwarz, R. (2005): Leasing in einem europäischen Land, Study by the University of Applied Sciences bfi Vienna

Cech, C., Fortin I. (2005): Messung der Abhängigkeitsstruktur zwischen Markt- und Kreditrisiko, in: Wirtschaft und Management, No.3, pp. 65–85

Cech, C., Jeckle M. (2005): Aggregation von Kredit- und Marktrisiko, working paper series by the University of Applied Sciences bfi Vienna 15/2005

Cech, C. (2004): Basel II: Die IRB-Formel zur Berechnung der Mindesteigenmittel für Kreditrisiko, in: Wirtschaft und Management, No.1, pp. 53–71

Cech, C. (2004): Die IRB-Formel zur Berechnung der Mindesteigenmittel für Kreditrisiko laut Drittem Konsultationspapier und laut „Jänner-Formel“ des Baseler Ausschusses, working paper series by the University of Applied Sciences bfi Vienna 01/2004