Fabio Sigrist

Fabio Sigrist is a Professor of Applied Statistics and Data Science at the Institute of Financial Services Zug (IFZ), part of the Lucerne University of Applied Sciences and Arts. He also holds a Senior Scientist and Lecturer position at the Seminar for Statistics, ETH Zurich. His career spans academic research, industry consulting, and project leadership in finance and data science.

• PhD in Statistics (2013), ETH Zurich
• MSc in Mathematics with distinction (2008), ETH Zurich
• MEd in Mathematics Education (2008), ETH Zurich

Sigrist’s research focuses on integrating Machine Learning with Spatial Statistics for applications in Financial Econometrics and Credit Risk. His work includes developing novel algorithms like GPBoost and KTBoost, advancing spatio-temporal modeling, and applying tree-based boosting to financial problems. Projects such as CreHos (credit risk in hospitality) and NISMO (interpretable real estate modeling) highlight his interdisciplinary approach.

His publications address challenges in large-scale spatial data, loss given default modeling, and stock volatility prediction. He contributes to software development with tools like spate (R package) and varycoef (spatially varying coefficients).