Chris Frei

Area of Study / Keywords

Mathematical Finance Mathematical Economics FinTech Risk Management Quantitative Methods

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About

Christoph is a Professor of Mathematical Finance at the University of Alberta. He has served as Chair of its Department of Mathematical and Statistical Sciences since 2022, including a year as Interim Chair.

Christoph grew up in Switzerland and studied mathematics at ETH Zurich, where he completed his PhD in mathematical finance. During his doctoral studies, he gained industry experience in the financial sector. He subsequently held a research position at École Polytechnique in Paris before joining the University of Alberta in 2010. He has also served as a visiting professor at ETH Zurich.

His research lies at the intersection of mathematical finance, risk management, and financial regulation, with applications to credit risk, market microstructure, and systemic risk. His work has benefited from close engagement with industry and policy institutions, including research collaborations with the U.S. Federal Reserve Board and work on independent validation of risk models in a regulatory context. In recognition of his contributions, he was awarded a McCalla Professorship.

In addition to his research, Christoph has played a central role in program development and student experience. He has led interdisciplinary initiatives in data science, developed specialized curricular streams for business and economics students, and strengthened links with the finance and risk management industry. He previously served as Associate Chair (Graduate) and has been actively involved in national service, including chairing the NSERC Scholarships and Fellowships Selection Committee for Mathematical Sciences.

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Research

Christoph's research focuses on mathematical finance and risk management, including credit risk, market structure, and the use of data-driven and machine-learning methods. He also works in mathematical economics, with interests in over-the-counter markets and dynamic models relevant to financial systems.

Markus Baldauf, Christoph Frei, and Joshua Mollner

Journal of Financial Economics. 2024 October; 10.1016/j.jfineco.2024.103901

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Christoph Frei, Qianhong Huang

Mathematics and Financial Economics. 2023 September; 10.1007/s11579-023-00341-z

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Bohdan Horak, Christoph Frei

Applied Economics Letters. 2023 February; 10.1080/13504851.2023.2176434

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Christoph Frei, Liam Welsh

Journal of Risk and Financial Management. 2022 May; 10.3390/jrfm15050209

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Christoph Frei, Agostino Capponi, Celso Brunetti

Journal of Financial and Quantitative Analysis. 2022 May; 10.1017/S0022109021000491

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Markus Baldauf, Christoph Frei, Joshua Mollner

Management Science. 2022 April; 10.1287/mnsc.2021.4022

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