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