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Dr Christoph Frey

Honorary Researcher

The Management School

LA1 4YX

Lancaster

Research overview

Dr. Christoph Frey is the Head of Quantitative Research for the Systematic Multi-Asset Solutions Strategy at Berenberg Bank. Previous to this position, he worked as an assistant professor at the Econometric Institute at Erasmus University in Rotterdam. Dr. Frey holds a Ph.D. in Quantitative Economics (summa cum laude) from the University of Konstanz and a Masters's degree in Mathematical Finance also from the University of Konstanz. Since 2019 he is also a Certified Financial Risk Manager (FRM). He completed research stays at the University of Strasbourg, the University of St. Gallen, and the National University of Singapore.
 
Dr. Frey specializes in financial econometrics. His research interest is mainly concerned with Bayesian shrinkage methods in the context methods for financial time series forecasting and asset allocation problems to remedy the impact of estimation risk. He also works on prediction methods using external (non-sample) information and sequential Markov Chain Monte Carlo methods. Applications of his research include index-tracking solutions as well as multi-asset and overlay portfolio management. 
 
His research can be accessed and downloaded through his website.