Finance and risk analysis

The Finance and Risk Analysis group develops innovative statistical methods for modelling financial risk.

Group members

• Leung Chan
• Spiridon Penev
• Donna Salopek

Affiliated external group members

• Richard Gerlach - Professor, The University of Sydney Business School, University of Sydney.
• Ido Nevat - Team Leader, Data Analytics Expert, TUMCREATE.

• Gareth Peters - Professor, Heriot Watt University.
• Pavel Shevchenko - 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