Felix H. A. Matthys - Princeton University

Felix H. A. Matthys
updated: November 18, 2014
Bendheim Center For Finance
26 Prospect Avenue
Princeton, New Jersey 08540, USA
Phone: +1 609 851 84 26
E-mail: fmatthys@princeton.edu
Homepage: http://scholar.princeton.edu/fmatthys
Nationality: Swiss
Marital Statuts: Single
Education
Oct. 2014–present
Postdoctoral Research Fellow (1 year) at the Bendheim Center
for Finance Department in Princeton, USA
Supervisor: Prof. Dr. Yacine Aït-Sahalia
Planned job market application date: November 2014
Sep. 2013–Aug. 2014
Visiting Student Research Collaborator at the Bendheim Center
for Finance Department in Princeton, USA
Supervisor: Prof. Dr. Yacine Aït-Sahalia
Nov. 2009–Sep. 2014
PhD in Finance at the University of Zurich, Switzerland
Graduated summa cum laude
Dissertation title: Three Essays in Quantitative Finance
Supervisor: Prof. Markus Leippold (Chair of Financial Engineering)
Prof. Loriano Mancini (EPFL Lausanne)
Sep. 2009–Aug. 2011
Master of Quantitative Finance from ETH and University of Zurich
Graduated magna cum laude
Specialized in mathematical finance
Sep. 2007–Aug. 2009
Master of Arts in Banking and Finance from University of Zurich
Graduated magna cum laude
Specialized in econometrics and finance
Oct. 2004–Aug. 2007
Bachelor of Arts in Banking and Finance from University of Zurich
Working papers
Job Market Paper
‘Learning about the impact of Government Policy and the Yield Curve’
Abstract: The paper analyzes the impact of government policy on the term structure of nominal interest
rates. I derive a general equilibrium model where the central bank follows a Taylor rule and where agents
learn in a Bayesian fashion about how the current government policy is affecting nominal bond prices, short
rates and the term structure of bond yield volatility. Furthermore, I derive in closed form the model-implied
term structure of bond yield volatility and show that, at least conditionally, my standard affine yield curve
model is able to reproduce both higher level of bond yield volatility and the empirically observed hump-shape
in the term structure. Finally, the empirical analysis shows that the model predictions are supported by the
data.
Talks:
• Finance and Math Seminar ETH and University of Zurich, May 2013
• 12th Doctorial Workshop in Finance at Gerzensee, June 2013
• The Princeton Student Research Workshop, December 2013 and November 2014
• Bank of England Macro Financial Analysis Division, London, December 2014 (scheduled)
• Midwest Finance Association (MFA) Conference, Chicago May 2015 (scheduled)
• Deutsche Bundesbank, Frankfurt May 2015 (scheduled)
• COPPEAD graduate school of business, Rio de Janeiro, Brazil June (scheduled)
Further Working Papers
‘Robust Portfolio Optimization with Jumps’, with Yacine Aït-Sahalia
Abstract: We study an infinite horizon consumption-portfolio allocation problem in continuous
time where asset prices follow Lévy processes and the investor is concerned about potential model
misspecification of his reference model. We derive optimal portfolio holdings in closed form in the
presence of model uncertainty, where we analyze perturbations to the reference model in the form
of both drift and jump intensity perturbations. Furthermore, we present a method for calculating
error-detection probabilities by means of Fourier inversion techniques of the conditional characteristic function in the case when the measure change follows a jump-diffusion process.
‘Endogenous Markov Switching Regression Models for High-Frequency Data under Microstructure Noise’,
with Markus Leippold
Abstract: We present a novel method for analyzing microstructure noise of high-frequency data as a
measurement error problem. In particular, we study the estimation of endogenous Markov-switching
regression models, in which the regression disturbance and the latent state variable controlling the
regime are correlated. We show infill asymptotic results and prove that under endogeneity the popular realized variance estimator is biased and no longer converges to the integrated regime dependent
volatility. Exploring high-frequency intraday return data on foreign exchange rates, we find that the
state variable is indeed endogenous. Similar to the popular volatility signature plot suggested by
Andersen, Bollerslev, Diebold, and Labys (2000b), we propose an endogeneity plot which indicates
as to which sampling frequency the assumption of exogeneity of the state variable controlling the
regime remains valid.
Talks:
• 7th International Conference on Computational and Financial Econometrics (CFE 2013), London, United Kingdom, December 2013
• 7th Bachelier Finance Society World Congress in Sydney, June 2012
• First Econometrics Workshop in Zurich, February 2012
Teaching experience
• Advanced Investments (Master of Quantitative Finance ETH-UZH, Spring Semester 2010 - 2012)
• Fundamentals For Finance (Swiss Finance Institute Executive Program, Block course 2009 - 2013)
Grants & Fellowships
• Aug. 2014 - Sep. 2015 ERC grant E-32123-01-01 RMAC (University of Zurich)
• Aug. 2014 - Sep. 2015 Department of Banking and Finance Fellowship (University of Zurich)
• Sep. 2013 - Aug. 2014 Doc.Mobility fellowship from the Swiss National Science Foundation to
visit the Bendheim Center for Finance at Princeton University.
• Dec. 2013 Travel Grant (London) Swiss National Science Foundation
• Aug. 2009 University of Zurich PhD Fellowship
Research Interests
Theoretical and Applied Asset Pricing, Financial Economics, Portfolio Optimization Theory,
Applied Econometrics
Work experience
2006 (Jul - Nov) Internship at Bank Leu (Credit Suisse) within Equity Research Devision.
- Analysis and assessment of relevant macro and micro information on different levels such
as stocks, sectors, countries, regions and styles
- Provide inputs on sector, country and region level for equity strategy meetings
- Compile primary and secondary information on macroeconomic data and writing reports
for weekly bank publication
2004-present Member of the board of the real estate company Matthys Immobilien AG, Zurich and
since January 2009 president
- Strategic and operational guidance of company (corporate strategy)
- Financial planning, investment, mortgage and interest risk management
- Development of pricing tool for determining market values (rental prices) of apartments
- Providing financial reports to Banks and audit company
Referee work
-
Journal of Quantitative Finance
Journal of Computational Statistics and Data Analysis
Journal of Mathematical Finance
European Journal of Finance
Journal of Applied Econometrics
Special skills
Computer skills:
• Programming, High-level: Matlab, R, Mathematica, Low-level: C, C++
• Others: Bloomberg, Datastream
Languages:
• German: native speaker
• English: fluent
• French: fluent
Extra-curricular activities
Sport: Tennis, member of the interclub team of Seeblick and Richterswil National league B and C (second and
third highest league)
Best ranking N4.82 (Top 100 of Switzerland), currently no ranking
From February 2010 to August 2013 member of the board of the Tennis Club Seeblick
Gold Medalist Sell Student Games, Tampere Finland, May 2004
References
• Prof. Yacine Aït-Sahalia
Otto A. Hack 1903 Professor of Finance and Economics
Princeton University Bendheim Center for Finance, 26 Prospect Avenue Princeton, NJ 08540-5296
Email: yacine@princeton.edu
• Prof. Markus Leippold
Hans Vontobel Chair in Financial Engineering University of Zurich and Swiss Finance Institute (SFI)
Plattenstrasse 14, 8032 Zürich, Switzerland
Email: markus.leippold@bf.uzh.ch
• Prof. Loriano Mancini
Assistant Professor of Finance, Swiss Finance Institute @ EPFL
Quartier UNIL-Dorigny, Extranef 217, CH-1015 Lausanne, Switzerland
Email: loriano.mancini@epfl.ch