Preprints
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Butsch, L.; Fasen-Hartmann, V.
Information criteria for the number of directions of extremes in high-dimensional data
2025. arxiv. doi:10.48550/arXiv.2409.10174 -
Das, B.; Fasen-Hartmann, V.
Asymptotic independence in higher dimensions and its implications on risk management
2024. arxiv. doi:10.48550/arXiv.2406.19186 -
Das, B.; Fasen-Hartmann, V.
Aggregating heavy-tailed random vectors: from finite sums to Lévy processes
2023. arxiv. doi:10.48550/arXiv.2301.10423
Publications
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Fasen-Hartmann, V.; Schenk, L.
Partial correlation graphs for continuous-parameter time series
2025. Metrika, 88 (6), 1425–1460. doi:10.1007/s00184-025-00992-6 -
Das, B.; Fasen-Hartmann, V.
Measuring risk contagion in financial networks with CoVaR
2025. Finance and Stochastics, 29 (3), 707–755. doi:10.1007/s00780-025-00564-6 -
Fasen-Hartmann, V.; Schenk, L.
Mixed orthogonality graphs for continuous‐time state space models and orthogonal projections
2025. Journal of Time Series Analysis, 46 (4), 692–726. doi:10.1111/jtsa.12787 -
Butsch, L.; Fasen-Hartmann, V.
Estimation of the number of principal components in high‐dimensional multivariate extremes
2025. Scandinavian Journal of Statistics. doi:10.1111/sjos.70026 -
Fasen-Hartmann, V.; Schenk, L.
Mixed orthogonality graphs for continuous-time stationary processes
2025. Stochastic Processes and their Applications, 179, 104501. doi:10.1016/j.spa.2024.104501 -
Das, B.; Fasen-Hartmann, V.
On heavy-tailed risks under Gaussian copula: The effects of marginal transformation
2024. Journal of Multivariate Analysis, 202, Artkl.Nr.: 105310. doi:10.1016/j.jmva.2024.105310 -
Fasen-Hartmann, V.; Mayer, C.
Whittle estimation for continuous-time stationary state space models with finite second moments
2022. Annals of the Institute of Statistical Mathematics, 74, 233–270. doi:10.1007/s10463-021-00802-6 -
Das, B.; Fasen-Hartmann, V.; Klüppelberg, C.
Tail probabilities of random linear functions of regularly varying random vectors
2022. Extremes, 25 (4), 721–758. doi:10.1007/s10687-021-00432-4 -
Das, B.; Fasen-Hartmann, V.
Conditional excess risk measures and multivariate regular variation
2019. Statistics & risk modeling, 36 (1-4), 1–23. doi:10.1515/strm-2018-0030 -
Das, B.; Fasen-Hartmann, V.
Risk contagion under regular variation and asymptotic tail independence
2018. Journal of multivariate analysis, 165, 194–215. doi:10.1016/j.jmva.2017.12.004 -
Fasen, V.
Dependence Estimation for High-frequency Sampled Multivariate CARMA Models
2016. Scandinavian journal of statistics, 43 (1), 292–320. doi:10.1111/sjos.12180 -
Fasen, V.; Roy, P.
Stable random fields, point processes and large deviations
2016. Stochastic Processes and their Applications, 126 (3), 832–856. doi:10.1016/j.spa.2015.09.020 -
Fasen, V.; Klüppelberg, C.; Menzel, A.
Quantifying Extreme Risks
2014. Risk - A Multidisciplinary Introduction. Ed.: C. Klüppelberg, 151–181, Springer. doi:10.1007/978-3-319-04486-6_6 -
Fasen, V.
Statistical Inference of Spectral Estimation for Continuous-time MA Processes with Finite Second Moments
2013. Mathematical Methods of Statistics, 22 (4), 283–309. doi:10.3103/S1066530713040029 -
Fasen, V.
Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration
2013. Journal of Econometrics, 172 (2), 325–337. doi:10.1016/j.jeconom.2012.08.019 -
Fasen, V.
Time series regression on integrated continuous-time processes with heavy and light tails
2013. Econometric theory, 29 (1), 28–67. doi:10.1017/S026646661200217 -
Fasen, V.; Fuchs, F.
On the limit behavior of the periodogram of high-frequency sampled stable CARMA processes
2013. Stochastic Processes and their Applications, 123 (1), 229–273. doi:10.1016/j.spa.2012.08.003 -
Fasen, V.; Fuchs, F.
Spectral estimates for high-frequency sampled continuous-time autoregressive moving average processes
2013. Journal of time series analysis, 34 (5), 532–551. doi:10.1111/jtsa.12029 -
Das, B.; Embrechts, P.; Fasen, V.
Four theorems and a financial crisis
2013. International Journal of Approximate Reasoning, 54 (6), 701–716. doi:10.1016/j.ijar.2012.06.007 -
Fasen, V.; Svejda, A.
Time consistency of multi-period distortion measures
2012. Statistics & risk modeling, 29 (2), 133–153. doi:10.1524/strm.2012.1115 -
Fasen, V.; Klüppelberg, C.
Modellieren und Quantifizieren von extremen Risiken
2011. Facettenreiche Mathematik - Einblicke in die moderne mathematische Forschung für alle, die mehr von Mathematik verstehen wollen. Hrsg.: K. Wendland, 67–88, Vieweg Verlag. doi:10.1007/978-3-8348-8173-1_4 -
Fasen, V.
Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein–Uhlenbeck processes
2010. Bernoulli, 16 (1), 51–79. doi:10.3150/08-BEJ174 -
Fasen, V.; Klüppelberg, C.; Schlather, M.
High-level dependence in time series models
2010. Extremes, 13 (1), 1–33. doi:10.1007/s10687-009-0084-8 -
Fasen, V.
Modeling network traffic by a cluster Poisson input process with heavy and light-tailed file sizes
2010. Queueing Systems, 66 (4), 313–350. doi:10.1007/s11134-010-9196-8 -
Fasen, V.; Klüppelberg, C.
Large Insurance Losses Distributions
2009. Encyclopedia of Quantitative Risk Analysis and Assessment. Ed.: E.L. Melnick, 961–968, John Wiley and Sons -
Fasen, V.
Extremes of Continuous-Time Processes
2009. Handbook of Financial Time Series. Ed.: T. Mikosch, 653–667, Springer-Verlag. doi:10.1007/978-3-540-71297-8_28 -
Fasen, V.
Extremes of Levy driven mixed MA processes with convolution equivalent distributions
2009. Extremes, 12 (3), 265–296. doi:10.1007/s10687-008-0079-x -
Asmussen, S.; Fasen, V.; Klüppelberg, C.
Heavy Tails in Insurance
2009. Encyclopedia of Quantitative Finance. Ed.: R. Cont, 873–875, John Wiley and Sons. doi:10.1002/9780470061602.eqf21008 -
Brachner, C.; Fasen, V.; Lindner, A.
Extremes of autoregressive threshold processes
2009. Advances in Applied Probability, 41 (2), 428–451. doi:10.1239/aap/1246886618 -
Fasen, V.; Samorodnitsky, G.
A fluid cluster Poisson input process can look like a fractional Brownian motion even in the slow growth aggregation regime
2009. Advances in Applied Probability, 41 (2), 393–427. doi:10.1239/aap/1246886617 -
Fasen, V.; Klüppelberg, C.
Extremes of supOU Processes
2007. Stochastic Analysis and Applications - The Abel Symposium 2005. Ed.: F. Espen Benth, 339–359, Springer-Verlag. doi:10.1007/978-3-540-70847-6_14 -
Fasen, V.; Klüppelberg, C.; Lindner, A.
Extremal behavior of stochastic volatility models
2006. Stochastic Finance. Ed.: A.N. Shiryaev, 107–155, Springer US. doi:10.1007/0-387-28359-5_4 -
Fasen, V.
Extremes of subexponential Levy driven moving average processes
2006. Stochastic Processes and their Applications, 116 (7), 1066–1087. doi:10.1016/j.spa.2006.01.001 -
Fasen, V.
Extremes of regularly varying Levy-driven mixed moving average processes
2005. Advances in Applied Probability, 37 (4), 993–1014. doi:10.1239/aap/1134587750
Curriculum Vitae
Academic Career
| since Oct 2012: | Professor (W3), Karlsruhe Institute of Technology |
| Aug 2016 - Aug 2017 and Oct 2018 - Oct 2019 on parental leave | |
| March 2011 - Sep 2012: | Postdoctoral Research Fellow, ETH Zurich (Switzerland), RiskLab |
| Sep 2007 - Feb 2011: | Postdoctoral Associate and Lecturer, TU Munich |
| June 2007 - Aug 2007: | Postdoctoral Research Fellow, Université Pierre et Marie Curie (France), |
| Laboratoire de Probabilités et Modèles Aléatoires | |
| Aug 2006 - June 2007: | Postdoctoral Research Fellow, Cornell University (USA), |
| School of Operations Research and Industrial Engineering | |
| Jan 2005 - July 2006: | Postdoctoral Research Fellow and Postdoctoral Associate, TU Munich |
| May 2002 - Dec 2004: | Ph.D student, TU Munich |
Education
| March 2010: | Habilitation, Heavy Tails in Finance, Insurance and Telecommunication, TU Munich |
| Dec 2004: | Ph.D, Extremes of Lévy Driven Moving Average Processes with Applications in Finance, TU Munich |
| March 2002: | Diploma in Mathematics, Karlsruhe Institute of Technology |
Past courses
- Lecture: Time Series Analysis (KIT, SS25)
- Lecture: Continuous Time Finance (KIT, SS25)
- Lecture: Financial Mathematics in Discrete Time (KIT, WS24/25)
- Seminar: Deep Learning (KIT, WS24/25)
- Lecture: Continuous Time Finance (KIT, SS24)
- Lecture: Extreme Value Theory (KIT, SS24)
- Lecture: Mathematical Statistics (KIT, WS23/24)
- Seminar: Stochastic models with heavy distributions (KIT, WS23/24)
- Lecture: Financial Mathematics in Discrete Time (KIT, WS22/23)
- Seminar: Multivariate Extreme Value Theory (KIT, WS22/23)
- Lecture: Teaching Stochastics (KIT, SS22)
- Lecture: Extreme Value Theory (KIT, SS22)
- Lecture: Asymptotic Stochastics (KIT, WS21/22)
- Seminar: Graphical Models in Multivariate Statistics (KIT, WS21/22)
- Lecture: Financial Mathematics in Continuous Time (KIT, SS21)
- Lecture: Ruin Theory (KIT, SS21)
- Lecture: Asymptotic Stochastics (KIT, WS20/21)
- Seminar: Multivariate Extreme Value Theory (KIT, WS20/21)
- Lecture: Financial Mathematics in Continuous Time (KIT, SS20)
- Lecture: Extreme Value Theory (KIT, SS20)
- Lecture: Financial Mathematics in Discrete Time (KIT, WS19/20)
- Seminar: Stochastics (KIT, WS19/20)
- Lecture: Extreme Value Theory (KIT, SS18)
- Lecture: Ruin Theory (KIT, SS18)
- Seminar: Asymptotic Stochastics (KIT, SS18)
- Lecture: Financial Mathematics in Continuous Time (KIT, SS16)
- Seminar: Asymptotic Stochastics (KIT, SS16)
- Lecture: Asymptotic Stochastics (KIT, WS15/16)
- Seminar: Lévy Processes with Applications (KIT, WS15/16)
- Lecture: Brownian motion (KIT, SS15)
- Lecture: Financial Mathematics in Continuous Time (KIT, SS15)
- Lecture: Financial Mathematics in Discrete Time (KIT, WS14/15)
- Seminar: Multivariate Extreme Value Theory (KIT, WS14/15)
- Lecture: Extreme Value Theory (KIT, SS14)
- Lecture: Probability Theory (KIT, SS14)
- Lecture: Introduction to Stochastics (KIT, WS13/14)
- Lecture: Fundamentals of Probability Theory and Statistics for Computer Science Students (KIT, WS13/14)
- Lecture: Financial Mathematics in Continuous Time (KIT, SS13)
- Lecture: Lévy Processes (KIT, SS13)
- Lecture: Brownian Motion (KIT, WS12/13)
- Lecture: Financial Mathematics in Discrete Time (KIT, WS12/13)
- Lecture: Lévy Processes (ETH Zurich, WS11/12)
- Exercises: Mathematical Treatment of Natural and Economic Sciences I (TU Munich, WS10/11)
- Lecture: Actuarial Risk Theory (TU Munich, SS10)
- Exercises: Stochastic Processes (TU Munich, WS09/10)
- Exercises: Probability Theory (TU Munich, SS09)
- Exercises: Introduction to Probability Theory (TU Munich, WS08/09)
- Lecture: Mathematical Models and Statistical Methods in Risk Management (TU Munich, SS08)
- Exercises: Introduction to Probability Theory and Statistics (Stochastics I) (TU Munich, WS07/08)
- Lecture: Risk Theory (TU Munich, SS06)
- Exercises: Probability Theory (Stochastics II) (TU Munich, SS06)
- Seminar: Extreme value statistics with applications in risk management (TU Munich, SS05)
Supervised theses
PhD students
- Lucas Butsch (KIT, 2021-)
- Lea Schenk (KIT, 2020-2024) Graphical Models for Multivariate Stationary Processes in Continuous Time
- Celeste Mayer (KIT, 2017-2021) Whittle estimation and the functional integrated periodogram for MCARMA processes
- Markus Scholz (KIT, 2013-2016) Estimation of Cointegrated Multivariate Continuous-Time Autoregressive Moving Average Processes
- Sebastian Kimmig (KIT, 2012-2016) Statistical Inference for MCARMA Processes
- Florian Fuchs (TU Munich, 2010-2013): Spectral Analysis of High-Frequency Continuous-Time ARMA Models
Master and Diploma students
- Generalized Pareto regression trees for extreme value events (KIT, 2025)
- Multivariate Peaks-over-Threshold Models (KIT, 2025)
- Locally stationary time series models in continuous time (KIT, 2024)
- Principal component analysis for multivariate extrema (KIT, 2023)
- Quantile regression in the extremes in high dimensions (KIT, 2023)
- Tail measures and tail processes of regularly varying time series (KIT, 2023)
- Multivariate subexponential distributions and their applications (KIT, 2022)
- Causality in models with heavy tails (KIT, 2022)
- Risks with heavy tails in an insurance market with a bipartite graphical structure (KIT, 2022)
- Inferences about the tail behavior of high-dimensional data (KIT, 2021)
- Asymptotic behavior of weighted sums of nonlinear functionals of the aggregated periodogram (KIT, 2018)
- Gauss-Newton and M-estimators for ARMA processes with regularly varying tails (KIT, 2016)
- Multivariate Generalized Ornstein-Uhlenbeck Processes (KIT, 2016)
- Limit theorems for stochastic volatility models with long memory (KIT, 2016)
- Estimation of the Marginal Expected Shortfall (KIT, 2016)
- Estimation of the integrated volatility of a volatility (KIT, 2015)
- Variance reduction methods for the estimation of risk measures (KIT, 2015)
- Stationary Max-stable Gaussian Fields (KIT, 2015)
- Risk Measures and Optimal Risk Transfers in Insurance Groups (KIT, 2015)
- Estimation of stochastic volatility models (KIT, 2014)
- ML estimation of ARMAX systems (KIT, 2014)
- Whishart processes and their financial mathematical applications (KIT, 2014)
- The Conditional Value-at-Risk (KIT, 2014)
- M-estimators for autoregressive models with infinite variance (KIT, 2013)
- Ruin probabilities for subexponential models (KIT, 2013)
- Portfolio optimization in the Lévy driven stock market model (KIT, 2013)
- Convergence of the integrated periodogram (KIT, 2013)
- Ruin Theory for dependent Lévy processes (ETH Zurich, 2012)
- Time consistency of multi-period acceptability measures (TU Munich, 2010)
- Analysis of Multivariate High-Frequency Wind Speed Data Using Time Series Methods and Techniques from Extreme Value Theory (TU München, 2009)
- Cointegration in discrete and continuous time (TU Munich, 2009)
- An alternative to the correlation function - comparison of different non-linear models (TU Munich, 2006)
- Risk management with background risk (TU Munich, 2006)
- Lévy processes in risk theory (TU Munich, 2005)
Hints for students:
Please see the webpage for prerequisites to write a master thesis.
Further Activities
Editorials
- Associate Editor Scandinavian Journal of Statistics (since November 2014)
- Editorial Advisory Board Dependence Modeling (February 2013 - May 2015)
- Managing Editor of Lévy Matters (October 2008 - January 2014)
- Editor of Bernoulli News (June 2009 - May 2011)
Committees
- 2014 - 2016: Steering Committee of the Probability and Statistics Group in Germany
- since 2017: Examination board of the Department of Mathematics, Karlsruhe Institute of Technology (since 2021 chairperson)
- since 2023: Elected member of the Division V council, Karlsruhe Institute of Technology
Conferences and Workshops
Organization of Conferences and Workshops
- Workshop on Lévy processes and time series: in honor of Peter Brockwell and Ross Maller, Ulm University (Germany), September 2017
- Workshop on Extreme Value and Time Series Analysis, KIT (Germany), March 2016
- Workshop on High dimensional, high frequency and spatial data, KIT (Germany), October 2014
- Seminar on Statistics of Lévy Driven Models, Bad Herrenalb (Germany), March 2014
- Conference on Building Bridges: Probability, Statistics and Applications, TU Braunschweig (Germany), August 2013
- Workshop on Statistics of Lévy Driven Models, University of Ulm (Germany), March 2012
- Autumn School on Risk Management, Herrsching on the Ammersee (Germany), October 2003
- Autumn Workshop of the Graduate Program, Munich University of Technology (Germany), October 2002
Program Committee of Conferences and Workshops
- 12th German Probability and Statistics Days 2016 , Bochum (Germany), March 2016
- 9th International Conference on Extreme Value Analysis, Ann Arbor (USA), June 2015
Organization of Sessions
- 11th German Probability and Statistics Days: Session on Limit Theorems, Large Deviations and Extremes, Ulm (Germany), March 2014
- 59th ISI World Statistics Congress: Session on Dependence in Extremes, Hong Kong (China), August 2013
- ISBIS 2008: Session on Ruin Events in Insurance, Prague (Czech Republic), July 2008