Research Topic
Current Research Interest:
Coherent, Convex, and Monetary Risk Measures
Value at Risk
- Dynamic Risk Measures: VaR, CVaR, Coherent Risk Measures
- Independent Components and Copulas
- Assessing the Policy response to extreme events and the use of Extreme Value Theory
- Robust policy design and the use of H infinty methods
- Decision making in the face of uncertainty as opposed to risk
- The evolution of asset price bubbles
- Environmental Finance- the use of markets to manage pollution and the impact of extreme climate conditions on financial markets
- The use of Energy Derivatives
- Operational Risk in Financial Markets
- The computation of Capital requirements to meet regulatory limits
- Basle II
- Theoretical issues in the measurement of Risk
- Portfolio design with quantile constraints
- Quantile based risk measures and causality
- The management of jointrRisks and the Use of Copulae
Ref: WBS,UK
Coherent, Convex, and Monetary Risk Measures
Value at Risk
Dependence Measures and Copulas
posted by Michael at
7:02 AM
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Anonymous, at Tuesday, February 20, 2007 10:21:00 PM
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