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

Group members

Affiliated external group members

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

•  - Professor, Heriot Watt University.
•  - 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