Statistical analysis of financial data
Analysis of financial data for the assessment of risks associated with the operations of financial institutions in the financial markets. Development of statistical models for measuring market, illiquidity, systemic and operational risks.
Extreme value analysis for policy decisions
Analysis of tail risk (extreme events) in variables relevant to public policy and corporate decisions, including macroeconomic, environmental and corporate performance variables. Development of statistical models for the analysis extreme events through the use of extreme value theory.
Economic and business forecast
Forecast analysis on economics, financial and corporate data, such as the volatility of financial assets and domestic electricity consumption. Development of forecasting methods for large financial and corporate datasets and statistical techniques for evaluating forecasts.
