Quantitative Finance and Risk Management

  • Hans-Jörg_Von_Mettenheim

    Hans-Jörg Von Mettenheim

    Full Professor of Quantitative Finance and Risk Management

IPAG’s Quantitative Finance, chaired by Professor Hans-Jörg Von Mettenheim, monitors trends in algorithmic trading around the world, focusing on the analysis of risks and opportunities arising from it.

Challenges of quantitative algorithms

Today’s financial world is dominated by algorithms and machines. Estimates indicate that more than half of the volume of trade carried out daily on developed financial markets is now generated by quantitative algorithms instead of humans. This increasing automation of transactions offers unique opportunities, but it can also generate risks: market disruptions, systemic crises, market abuses, etc. Algorithmic trading and risk management are two faces of the same coin. A pillar of the Chair is further constituted by integrating green finance measure into overall quantitative portfolio management approaches.

Strengthening financial actors’ strategies

IPAG established its Quantitative Finance and Risk Management research chair in 2016 to contribute to the analysis of algorithmic trading, the exploration of its opportunities, and the assessment of its risks.
The chair, which is directed by Hans-Jörg von Mettenheim – PhD, tenured professor at IPAG, founder and Secretary-General of the Forecasting Financial Markets Association (FFMA) –, puts market expertise and proprietary data sets at the heart of its research. It regularly organises conferences and seminars to encourage knowledge-sharing between researchers and practitioners. Its work and publications aim at strengthening financial actors’ algorithmic trading and risk management strategies. The chair is notably interested in the applications of big data techniques and data-based machine-learning, a line of research with aims to improve understanding of such new asset classes as cryptocurrencies.

Recent Publications

  • Tholl, J., Schwarzbach, C., Pittalis, S., & von Mettenheim, H.-J. (2020). Bank funding and the recent political development in Italy: What about redenomination risk?. International Review of Law and Economics, 64, 105932.
  • Akyildirim, E., Corbet, S., Nguyen, D. K., & Sensoy, A. (2020). Regulatory Changes and Long-run Relationships of the EMU Sovereign Debt Markets: Implications for Future Policy Framework. International Review of Law and Economics, 105907.
  • Von Mettenheim, H.-J. (2019). Applied Machine Learning for Quantitative Trading. Bankers, Markets, Investors.
  • Nguyen, D. K., & Vo, D. T. (2020). Enterprise risk management and solvency: The case of the listed EU insurers. Journal of Business Research, 113, 360-369.
  • Wegener, C., Basse, T., Sibbertsen, P., & Nguyen, D. K. (2019). Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany. Annals of Operations Research, 282(1-2), 407-426.
  • Arouri, M., M’saddek, O., Nguyen, D. K., & Pukthuanthong, K. (2019). Cojumps and asset allocation in international equity markets. Journal of Economic Dynamics and Control, 98, 1-22.

Socail Impact

  • The Chair has developed an eco-system within IPAG and, slowly growing, also outside IPAG which aims at educating students to be responsible, ethical and knowledgeable quantitative asset managers. This is, mostly, carried out through the quantIPAG mission and project
  • Through the collaboration with the partner NextSee the Chair aims at fostering research and disseminating knowledge in the area of green asset management


Prof. Dr. Hans-Jörg von Mettenheim
+33 7 54 26 17 27


  • International Conference on Forecasting Financial Markets in Venice
  • International Conference on Forecasting Financial Markets in Oxford
  • Roundtable on FinTechs and InsurTechs in Paris
  • Co-Design of a Master in Quantitative Finance with an Engineering School with a special focus on applied quantitative trading.
  • quantIPAG project to introduce students to practical aspects of portfolio management: algorithms, risk management, CSR criteria
  • NextSee Green New Deal education series