Role(s) Chair in Risk Management
Programme Director: MSc Financial Engineering, MSc Financial Risk Management
Phone number +44 (0)118 378 6431
Specialisms Volatility Analysis, Option Pricing, Hedging, Financial Econometrics, Risk Management, Quantitative Finance
Weblink http://www.carolalexander.org/
Biography
Professor Carol Alexander is Chair of Risk Management at the ICMA Centre, Henley Business School at Reading. She holds degrees from the University of Sussex (BSc First Class, Mathematics with Experimental Psychology; PhD Algebraic Number Theory) and the London School of Economics (MSc Econometrics and Mathematical Economics). She joined the ICMA centre in 1999. She has an Honorary Professorship at the Academy of Economic Studies in Bucharest, Romania.
Carol has held the following positions in financial institutions: Fixed Income Trader at UBS/Phillips and Drew (UK); Academic Director of Algorithmics (Canada); Director of Nikko Global Holdings and Head of Market Risk Modeling (UK); Risk Research Advisor, SAS (USA); Board member and Chair of Academic Advisory Council, PRMIA (Professional Risk Manager’s International Association). She frequently acts as a consultant specializing in risk and portfolio management software design and expert witnessing, and as a keynote speaker for international conferences on mathematics and finance.
She publishes widely on a broad range of topics, including: volatility theory; option pricing and hedging; trading volatility; hedging with futures; alternative investments; random orthogonal matrix simulation; game theory and real options. She has written and edited numerous books in mathematics and finance and published extensively in top-ranked international journals. For more information see www.carolalexander.org.
Professor Alexander is most well known for her contributions to the financial risk management profession, where she has been a world leader for more than decade. Her recent four-volume textbook on Market Risk Analysis (Wileys, 2008) is the definitive guide to the subject. For more information see www.marketrisknalysis.com.
Academic Activity
Articles
Alexander, C. and J-M. Sarabia. Quantile uncertainty and value-at-risk. Forthcoming, Risk Analysis
Alexander, C., Cordeiro, G., Ortega, E. and J-M. Sarabia. Generalized beta generated distributions. Computational Statistics and Data Analysis (DOI: 10.1016/j.csda.2011.11.015)
Alexander, C. and A. Kaeck ‘Does model fit matter for hedging? Evidence from FTSE 100 options’ Journal of Futures Markets (DOI: 10.1002/fut.20537)
Venkatramanan, A. and C. Alexander ‘Closed-Form Approximations for Spread Options’ Applied Mathematical Finance (DOI: 10.1080/1350486X.2011.567120)
Alexander, C. and A. Venkatramanan ‘Analytic Approximations for Multi-Asset Option Pricing’ Mathematical Finance (DOI: 10.1111/j.1467-9965.2011.00481.x)
Kaeck, A. and C. Alexander ‘Stochastic volatility jump-diffusions for European equity index dynamics’ European Financial Management (DOI: 10.1111/j.1468-036X.2011.00613.x)
Alexander, C., A. Rubinov, M. Kalepky and S. Leontsinis (2012) ‘Regime-Dependent Smile-Adjusted Delta Hedging’ Journal of Futures Markets 32(3), 202-229
Ledermann, W., Alexander, C. and D. Ledermann (2011) ‘Random Orthogonal Matrix Simulation’ Linear Algebra and its Applications 434, 1444-1467
Alexander, C. and Lazar, E. (2009) Modelling regime-specific stock price volatility. Oxford Bulletin of Economics and Statistics, 71 (6). pp. 761-797. ISSN 1468-0084
Alexander, C., Kaeck, A. and Nogueira, L. (2009) Model risk adjusted hedge ratios. The Journal of Futures Markets, 29 (11). pp. 1021-1049. ISSN 1096-9934
Alexander, C. and Sheedy, E. (2008) Developing a stress testing framework based on market risk models. Journal of Banking & Finance, 32 (10). pp. 2220-2236. ISSN 0378-4266
Alexander, C. and Kaeck, A. (2008) Regime dependent determinants of credit default swap spreads. Journal of Banking & Finance, 32 (6). pp. 1008-1021. ISSN 0378-4266
Alexander, C. and Barbosa, A. (2008) Hedging index exchange traded funds. Journal of Banking & Finance, 32 (2). pp. 326-337. ISSN 0378-4266
Alexander, C. and Nogueira, L. M. (2007) Model-free hedge ratios and scale-invariant models. Journal of Banking & Finance, 31 (6). pp. 1839-1861. ISSN 0378-4266
Alexander, C. and Barbosa, A. (2007) Effectiveness of minimum-variance hedging. Journal of Portfolio Management, 33 (2). pp. 46-59. ISSN 0095-4918
Alexander, C. and Nogueira, L. M. (2007) Model-free price hedge ratios for homogeneous claims on tradable assets.Quantative Finance, 7 (5). pp. 473-479. ISSN 1469-7696
Yi?itsba?io?lu, A. B. and Alexander, C. (2006) Pricing and hedging convertible bonds: delayed calls and uncertain volatility.International Journal of Theoretical and Applied Finance, 9 (3). pp. 415-453. ISSN 1793-6322
Alexander, C. and Lazar, E. (2006) Normal mixture GARCH(1,1): applications to exchange rate modelling. Journal of Applied Econometrics, 21 (3). pp. 307-336. ISSN 1099-1255
Alexander, C. and Dimitriu, A. (2005) Indexing, cointegration and equity market regimes. International Journal of Finance & Economics, 10 (3). pp. 213-231. ISSN 1099-1158
Alexander, C. and Dimitriu, A. (2005) Detecting switching strategies in equity hedge funds returns. The Journal of Alternative Investments, 8 (1). pp. 7-13. ISSN 1520-3255
Alexander, C. and Dimitriu, A. (2005) Indexing and statistical arbitrage. Journal of Portfolio Management, 31 (2). pp. 50-63. ISSN 0095-4918
Alexander, C. (2005) The present and future of financial risk management. Journal of Financial Econometrics, 3 (1). pp. 3-25. ISSN 1479-8417
Alexander, C. and Dimitriu, A. (2005) Rank alpha funds of hedge funds. The Journal of Alternative Investments, 8 (2). pp. 48-61. ISSN 1520-3255
Alexander, C. and Barbosa, A. (2005) The spider in the hedge. Review of Futures Markets, 11 (1). pp. 89-113.
Alexander, C. (2004) Normal mixture diffusion with uncertain volatility: modelling short- and long-term smile effects.Journal of Banking & Finance, 28 (12). pp. 2957-2980. ISSN 0378-4266
Alexander, C. and Scourse, A. (2004) Bivariate normal mixture spread option valuation. Quantitative Finance, 4 (6). pp. 637-648. ISSN 1469-7696
Alexander, C. and Dimitriu, A. (2004) Equity indexing: optimize your passive investments. Quantitative Finance, 4 (3). C30-C33. ISSN 1469-7696
Books
Book
Alexander, C. (2009) Market risk analysis. Volume IV. Value at risk models. Wiley, pp492. ISBN 9780470997888
Alexander, C. (2008) Market risk analysis. Volume III. Pricing, hedging and trading financial instruments. Wiley. ISBN 9780470997895
Alexander, C. (2008) Market risk analysis. Volume I. Quantitative methods in finance. Wiley, pp318. ISBN 9780470998007
Alexander, C. (2008) Market risk analysis. Volume II. Practical financial econometrics. Wiley, pp426. ISBN 9780470998014
Alexander, C. and Sheedy, E., eds. (2008) The professional risk manager?s guide to finance theory and application.McGraw-Hill, pp400. ISBN 9780071546478
Alexander, C. and Sheedy, E., eds. (2008) The professional risk manager?s guide to financial instruments. McGraw-Hill, pp400. ISBN 9780071546492
Alexander, C. and Sheedy, E., eds. (2008) The professional risk manager?s guide to financial markets. McGraw-Hill. ISBN 9780071546485
Book or Report Section
Alexander, C. (2008) Hedging the risk of energy futures portfolios. In: Geman, H. (ed.) Risk management in commodity markets: from shipping to agriculturals and energy. Wiley, pp. 117-127. ISBN 9780470694251
Alexander, C. and Venkatramanan, A. (2008) Commodity options. In: Fabozzi, F. J., Füss, R. and Kaiser, D. G. (eds.) Handbook of commodity investing. Wiley, pp. 570-595. ISBN 9780470117644
Alexander, C. (2008) Moving average models for volatility and correlation and covarience matrices. In: Fabozzi, F. J. (ed.) Handbook of finance: valuation, financial modeling, and quantitative tools. Wiley, pp. 711-724. ISBN 9780470078167
Alexander, C. (2008) Statistical models of operational loss. In: Fabozzi, F. J. (ed.) Handbook of finance: valuation, financial modeling, and quantitative tools. Wiley, pp. 109-128. ISBN 9780470078167
Alexander, C. and Dimitriou, A. (2006) Rank alpha funds of hedge funds. In: Gregoriou, G. N. (ed.) Fund of hedge funds: performance, assessment, diversification and statistical properties. Elsevier, pp. 3-25. ISBN 9780750679848
Alexander, C. and Dumitriu, A. (2005) Hedge fund index tracking. In: Gregoriou, G. N., Hübner, G., Papageorgiou, N. andRouah, F. D. (eds.) Hedge funds: insights in performance measurement, risk analysis, and portfolio allocation. Wiley, pp. 165-181. ISBN 9780471737438
Alexander, C. and Dimitriu, A. (2004) The art of investing in hedge funds: fund selection and optimal allocations. In:Schachter, B. (ed.) Intelligent hedge fund investing. Risk Books. ISBN 9781904339229
Alexander, C. (2004) Correlation in crude oil and natural gas markets. In: Kaminsky, V. (ed.) Managing Energy Price Risk: The New Challenges and Solutions. Third Edition. Risk Books, pp. 573-606. ISBN 9781904339199
Alexander, C. (2003) Principles of the skew. In: Lipton, A. (ed.) Exotic options. Risk Books. ISBN 9781904339090
Reports
Alexander, C. and Pezier, J. (2003) Assessment and aggregation of banking risks. Report. International Finanial Risk Institute (IFCI). (Unpublished)
Conferences
Conference or Workshop Item
Alexander, C. and Nogueira, L. (2004) Stochastic local volatility. In: Second international IASTED conference on financial engineering and applications, 8-10 November, 2004, Massachusetts Institute of Technology, Cambridge, USA.
Alexander, C. and Lazar, E. (2004) Time aggregation of normal mixture GARCH models. In: Second international IASTED conference on financial engineering and applications, 8-10 November, 2004, Massachusetts Institute of Technology, Cambridge, USA.
