Broda Simon HSLU W

Dr. Simon Broda Simon Broda

Lecturer

Broda Simon HSLU W

Lucerne School of Business

Room 6.36
Campus Zug-Rotkreuz
Suurstoffi 1
6343 Rotkreuz


Institute of Financial Services Zug IFZ

CC Financial Services

Lecturer

+41 41 757 67 97

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Projects

Research projects

  • Asset Allocation through Reinforcement Learning for Swiss Pension Funds
  • CreHos: Novel Machine Learning Algorithms and Alternative Data Sources for Better Credit Risk Assessment for the Hospitality Sector
  • Machine Learning Algorithms for Classification and Prediction of Financial Stress Indicators

Publications and presentations

Publications and presentations - Article, review; peer reviewed

  • Broda, Simon & Paolella, Marc S. (2023). ARCHModels.jl: Estimating ARCH Models in Julia. Journal of Statistical Software, 107(5), 1-25. doi: 10.18637/jss.v107.i05
  • Broda, Simon & Arismendi Zambrano, Juan (2021). On Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors. Biometrika, 108(2), 413-424. doi: 10.1093/biomet/asaa067
  • Broda, Simon (2019). Testing for Individual Sphericity in Heterogeneous Panels. Biometrika, 106, 740-747. doi: 10.1093/biomet/asz018
  • Broda, Simon; Krause, Jochen & Paolella, Marc S. (2018). Approximating Expected Shortfall for Heavy-Tailed Distributions. Econometrics and Statistics, 8, 184-203. doi: 10.1016/j.ecosta.2017.07.003
  • Broda, Simon & Arismendi, Juan C. (2017). Multivariate Elliptical Truncated Moments. Journal of Multivariate Analysis, 157, 29-44.
  • Nooijen, Steven & Broda, Simon (2016). Predicting Equity Markets with Digital Online Media Sentiment: Evidence from Markov-Switching Models. Journal of Behavioral Finance, 17, 321-335. doi: 10.1080/15427560.2016.1238370
  • Broda, Simon & Kan, Raymond (2016). On Distributions of Ratios. Biometrika, 103, 205-2018. doi: 10.1093/biomet/asv052
  • Broda, Simon; Haas, Markus; Krause, Jochen; Paolella, Marc S. & Steude, Sven C. (2013). Stable Mixture GARCH Models. Journal of Econometrics, 172, 292-306. doi: 10.1016/j.jeconom.2012.08.012
  • Broda, Simon (2012). The Expected Shortfall of Quadratic Portfolios with Heavy-Tailed Risk Factors. Mathematical Finance, 22, 710-728. doi: 10.1111/j.1467-9965.2011.00482.x
  • Broda, Simon; Franke, F.; Natora, M. & Obermayer, K. (2010). Optimal steering vector adaptation for linear filters leading to robust beamforming. Proceedings of the International Symposium on Communications, Control and Signal Processing, 4, 1-6. doi: 10.1109/ISCCSP. 2010.5463496
  • Broda, Simon; Carstensen, Kai & Paolella, Marc S. (2009). Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples. Econometric Reviews, 28, 469-494. doi: 10.1080/07474930802467282
  • Broda, Simon & Paolella, Marc S. (2009). CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation. Journal of Financial Econometrics, 7, 412-436. doi: 10.1093/jjfinec/nbp011
  • Broda, Simon & Paolella, Marc S. (2009). Evaluating the Density of Ratios of Noncentral Quadratic Forms in Normal Variables. Computational Statistics and Data Analysis, 53, 1264-1270. doi: 10.1016/j.csda.2008.10.035
  • Broda, Simon; Carstensen, Kai & Paolella, Marc S. (2007). Bias-Adjusted Estimation in the ARX(1) Model. Computational Statistics and Data Analysis, 51, 3355-3367. doi: 10.1016/j.csda.2006.07.009
  • Broda, Simon & Paolella, Marc S. (2007). Saddlepoint Approximations for the Doubly Noncentral t Distribution. Computational Statistics and Data Analysis, 51, 2907-2918. doi: 10.1016/j.csda.2006.11.024

Publications and presentations - Chapter/legal commentary/lexicon article

  • Broda, Simon & Paolella, Marc S. (2012). Saddlepoint Approximations: A Review and Some New Applications. In J. E. Gentle; W. K. Haerdle; Y. Mori (Hrsg.), Handbook of Computational Statistics (S. 953-983). Berlin: Springer Verlag.
  • Broda, Simon & Paolella, Marc S. (2011). Expected Shortfall for Distributions in Finance. In P. Cizek; W. K. Haerdle; R. Weron (Hrsg.), Statistical Tools for Finance and Insurance (S. 57-99). Berlin: Springer Verlag.

Publications and presentations - Report/working paper

  • Broda, Simon & Paolella, Marc S. (2020). ARCHModels.jl: Estimating ARCH Models in Julia (Bericht).
  • Arismendi, Juan C. & Broda, Simon (2019). Tail Probabilities and Partial Moments for Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors (Bericht).

Publications and presentations - Learning aids

  • Broda, Simon (2023). Time Series Analysis with Python. Rotkreuz.
  • Broda, Simon (2022). Introduction to Programming in Python. Luzern.
  • Broda, Simon (2022). Time Series Analysis. Luzern.
  • Broda, Simon (2017). Computational Finance in Python. Amsterdam.

Publications and presentations - Other publication formats

  • Broda, Simon (9.2.2022). QuadraticFormsMGHyp.jl: A package for evaluating tail probabilities and partial moments for random vectors in multivariate generalized hyperbolic random vectors. [Softwareprogramm]. https://github.com/s-broda/QuadraticFormsMGHyp.jl
  • Broda, Simon (08.02.2022). ARCHModels.jl Version 2.0 [Softwareprogramm]. https://github.com/s-broda/ARCHModels.jl
  • Broda, Simon (2020). ARCHModels.jl: a software package for estimating (G)ARCH models in the Julia programming language [Softwareprogramm]. https://github.com/s-broda/ARCHModels.jl

Publications and presentations - Presentation (conference/report/lectures)

  • Broda, Simon (22.07.2019). ARCHModels.jl. JuliaCon, Baltimore.
  • Broda, Simon (04.10.2018). Backtesting Delta-CoVaR. CEQURA, Muenchen.
  • Broda, Simon (07.08.2018). ARCH Models in Julia. JuliaCon, London.
  • Broda, Simon (29.07.2017). On Distributions of Ratios. Joint Statistical Meetings, Baltimore.
  • Broda, Simon (12.12.2015). Approximating Expected Shortfall for Heavy-Tailed Distributions. 9th International Conference on Computational and Financial Econometrics, London.

Achievements

Achievements - Commissions, memberships and external activities

  • Broda, Simon. Adjunct Researcher. (2020). University of Amsterdam.
  • Broda, Simon. Research Fellow. (2012). Tinbergen Institute.

Achievements - Awards and honours

  • Broda, Simon (06.11.2014). Lecturer of the Year, class of 2013-2014 für Teaching in the M. Sc. Program in International FInance.
  • Broda, Simon (08.11.2012). Lecturer of the Year, class of 2011-2012 für Teaching in the M. Sc. Program in International FInance.
  • Broda, Simon (28.10.2011). Lecturer of the Year, class of 2010-2011 für Teaching in the M. Sc. Program in International FInance.
  • Broda, Simon (02.09.2002). Erich Schneider Memorial Award für Award for the best diploma thesis in Economics, University of Kiel, class of 2002.

Achievements - Other achievements

  • Broda, Simon. Peer Review Statistics and Computing. Reviewer. Statistics and Computing.
  • Broda, Simon. Peer Review Quantitative Finance. Reviewer. Quantitative Finance.
  • Broda, Simon. Peer Review SIAM Journal on Financial Mathematics (SIFIN). Reviewer. SIAM Journal on Financial Mathematics (SIFIN).
  • Broda, Simon. Peer Review JRSSA. Reviewer. Journal of the Royal Statistical Society Series A.
  • Broda, Simon. Peer Review Journal of Financial Econometrics. Reviewer. Journal of Financial Econometrics.
  • Broda, Simon. Peer Review IIE Transactions. Reviewer. IIE Transactions.
  • Broda, Simon. Peer Review Biometrika. Reviewer. Biometrika.