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