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Dr. Abdolreza Nazemi

Wissenschaftlicher Angestellter
Sprechstunden: 

Nach Vereinbarung und vorheriger Anmeldung per E-Mail.


Raum: Geb. 20.53, Raum 113
Tel.: +49 721 608-47954
Fax: +49 721 608-43811
abdolreza nazemiVmu0∂kit edu

Curriculum Vitae

 

EDUCATION

04/2008 - 12/2011                        PhD
                                                   School of Economics and Business Engineering
                                                   Karlsruhe Institute of Technology (KIT)
                                                   Thesis: "Credit Risk Management with Data Mining Methodology"
                                                   Supervisor: Professor Svetlozar T. Rachev
                                                                                                
09/2002 - 02/2005                        M.Sc. in Statistics
                                                   Department of Statistics at Ferdowsi University
                           
09/1998 - 06/2002                        B.Sc. in Statistics, Shahid Beheshti University

 

PROFESSIONAL EXPERIENCES

   
08/ 2013 - Now                            Post Doctoral Research Fellow
                                                  School of Economics and Business Engineering, KIT

07/ 2012 - 07/ 2013                     Post Doctoral Research Fellow
                                                  Risk Management Institute, National University of Singapore

07/2009 - 06/ 2012                      Teacher Assistant at Karlsruhe Institute of Technology (KIT)
                                                  School of Economics and Business Engineering

09/2010 - 10/ 2010                      Visiting Student at University of Southampton
                                                 The Quantitative Financial Risk Management Center

2005 - 2007                                Instructor in Statistics at University of Kashan
                                                 Department of Mathematical Sciences

08/ 2005                                    Instructor of the tutorial: Data Mining and Knowledge Discovery
                                                 (5th Iranian Students Statistics Seminar in Isfahan)

09/ 2004                                    Instructor of the tutorial: Data Mining and Decision Trees
                                                 Ferdowsi University in Mashhad

 

RSEARCH INTERESTS

    
                                                  Financial Risk Management
                                                  Financial Econometrics
                                                  Financial Data Mining
                                                  Basel Regulation
                                                  Quantitative Finance

 

TEACHING EXPERIENCES

                                         

In English


School of Economics and Business Engineering
Karlsruhe Institute of Technology (KIT), Germany
Winter semester 2013/2014           Statistical Methods in Financial Risk Management (Master)
                                                   Dr. Nazemi
Winter semester 2011/2012           Financial Time Series and Econometrics (Master)
                                                   Prof. Dr. Rachev, Sun and I
Summer semester 2011                Advanced Econometrics of Financial Markets (Master)
                                                   Dr. Kim and I
Winter semester 2010/2011           Financial Time Series and Econometrics (Master)
                                                   Prof. Dr. Rachev, Stein and I
Summer semester 2010                Advanced Econometrics of Financial Markets (Master)
                                                   Prof. Dr. Rachev, Fränkle, Scherrer and I                                        
Winter semester 2009/2010           Financial Time Series and Econometrics (Master)
                                                   Prof. Dr. Rachev, Fränkle, Scherrer and I
                                            

SEMINAR COURSE


Winter semester 2013/2014          Data Mining in Credit Risk
                                                  Dr. Hoechstoetter and I (English and German)
Summer semester 2012               Data Mining Applications in Basel II and III
                                              
Winter semester 2011/2012          “Risikobewertung eines Forderungsportfolios im NPL-Bereich”
                                                  Dr. Hoechstoetter and I (English and German)
                                                  (With Infoscore Company cooperation) 
                                             

In Persian

University of Kashan and other 
                                                  Data Mining
                                                  Time Series
                                                  Stochastic Process
                                                  Sampling Techniques
                                                  Numerical Computing
                                                  Statistics in Engineering
                                                  Statistics in Management I, II
                                                  Statistical Computing(S-plus, R)
                                                  Categorical Data Analysis
                                                   

SUPERVISOR OF B.Sc. STUDENT PROJECTS


I have supervised B.Sc. Projects in the following subjects:

                                               - Data Mining and Clustering
                                               - Organization of Data (Database, Data Warehouse, …)
                                               - Data Mining and GLM
                                               - Preparing Data for Data Mining
                                               - Linear and logistic Regression in Data Mining
                                               - Computational Statistics with Matlab

PUBLICATIONS


 

SELECTED PUBLICATIONS

 

Bai, J., Seppala, H., Lin, J., Nazemi, A., and Ser-Huang Poon, Fast Approximation of Loan Portfolio Loss: Concentration Risks and Multifactor Adjustments, Working paper, Manchester University, 2013

Hoechstoetter, M., Nazemi, A., Analysis of Loss Given Default, Journal of Investment Management and Financial Innovations, Forthcoming

Hoechstoetter, M., Nazemi, A., Rachev, S. T., Loss Given Default Modeling in Non-banking Industries Using Data Mining Algorithms, Working paper, National University of Singapore, 2012

Hoechstoetter, M., Nazemi, A., Rachev, S. T., Reflection on Recovery and Loss Given Default. What is and what Is Amiss, Technical report, Karlsruhe Institute of Technology, 2011

Hoechstoetter, M., Nazemi, A., Rachev, S. T., Recovery Rates across Different Industries, In Proceedings of Credit Scoring and Credit Control XII Conference, U.K., 2011

Abzari, M., Nazemi, A., Abdolmanafi, S., Data Mining and Customer Relationship Management in
Banks (in Persian), 3th Iranian Management International Conference, Iran, 2005

Nazemi, A., Meshkani, A., Comparing Statistics and Data Mining, Nedaye Amari, Summer 2004,
45-49

 

Book

Meshkani, A., Nazemi, A., Introduction to Data Mining (in Persian), Azad University Press, 2009

 

Book Chapter

Nazemi, A., Hoechstoetter, M., Rachev, S. T., Recovery Rate Modeling, In: Conference on Credit Analysis and Risk Management, Edt: Callaghan, J., Murphy, A., Qian, H., Cambridge Scholars Publishing, 295-306, 2012

 

Presentations

Hoechstoetter, M., Nazemi, A., Rachev, S. T., Bozic, C., An Application of Data Mining in Consumer Credit, 13th Industrial Conference on Data Mining ICDM 2013, New York, USA, 2013

Loss Given Default Modeling in Non-banking Industries Using Data Mining Algorithms, Institute of Systems Science, National University of Singapore, Singapore, 2013
 
Hoechstoetter, M., Nazemi, A., Rachev, S. T., Bozic, C., Analysis of Recovery Rate of Non-performing Consumer Credit, SIAM Conference on Financial Mathematics and Engineering, Minnesota, USA, 2012

Hoechstoetter, M., Nazemi, A., Rachev, S. T., Analysis of Loss Given Default, Conference on Credit Analysis and Risk Management, Michigan, USA, 2011

Nazemi, A., Meshkani, A., Classification using Decision Trees in Data Mining, 7th Iranian Statistics
Conference, Tehran, Iran, 2004

 

RESEARCH PROJECTS and GRANT

2012-2013                              Research Grant, Risk Management Institute, NUS
2010                                      Profit Scoring and Dynamic Models in Credit Scoring
2009-2010                              Examination the Development Process of Scoring Model and Choosing      Best Scoring Model (cooperator)

 

AWARDS and SCHOLARSHIP

  
2011                                       “Abschlussstipendium” from Karlsruhe House of Young Scientists
2011                                       Short time scholarship from Deutscher Akademischer Austausch
                                              Dienst (DAAD)
2010                                       Contact Scholarship from Karlsruhe House of Young Scientists
2010                                       Short time scholarship from Deutscher Akademischer Austausch
                                              Dienst (DAAD)
2009                                       Short time scholarship from Deutscher Akademischer Austausch
                                              Dienst (DAAD)
1996                                       Awarded “State 2nd” for the Mathematical Olympiad in Iran

 

SPECIAL SKILLS

  
Programming Languages:          Pascal, C
Statistics & Math. SW:               S-plus, R, SAS, Matlab, SAS Enterprise Miner, SPSS
Tools:                                      Microsoft Office, Latex
Languages:                              Persian, English, German (Basic)
PC Engineering Course:            Databases, SQL

 

MEMBERSHIP

    
                                               Society for Industrial and Applied Mathematics (SIAM)
                                               Karlsruhe House of Young Scientists (KHYS)
                                                

REFERENCES


Prof. Dr. Svetlozar T. Rachev – My Supervisor
College of Business, Stony Brook University, New York, USA
Former Chair-Professor in Mathematical Finance, Karlsruhe Institute of Technology (KIT)
Chief Scientist of FinAnalytica, New York, USA
E-mail: rachevNrr9∂ams sunysb edu

Prof. Dr. Gholamreza Nakhaeizadeh– My Co-Supervisor
Department of Statistic, Econometric and Mathematical Finance
Karlsruhe Institute of Technology (KIT)
Former Leader “Data Mining Solutions” at Research Center of DaimlerChrysler AG, Germany
E-mail: gholamreza nakhaeizadehNyp6∂kit edu