Finance and risk analysis
The Finance and Risk Analysis group develops innovative statistical methods for modelling financial risk.
The Finance and Risk Analysis group develops innovative statistical methods聽for modelling financial risk.
Group members
Affiliated external group members
- 聽- Professor, The University of Sydney Business School, University of Sydney.
- 聽-聽Team Leader, Data Analytics Expert, TUMCREATE.
- 聽- Professor, Heriot Watt University.
- 聽- Professor, Department of Actuarial Studies and Business Analytics, Macquarie University.
Research interests
The research interests of the Finance and Risk Analysis group cover a number of different interrelated areas:
- Pricing and hedging of financial derivatives
- Stochastic implied volatility models
- Default risk modelling
- Modelling of credit migrations
- Valuation of credit derivatives
- Asset price dynamics
- Financial risk measurement
- Optimization models using Distributionally Robust Optimization