Emese received a PhD in Finance from the ICMA Centre, The University of Reading in 2006. Previously she obtained an MSc in Financial Engineering and Quantitative Analysis with a distinction from the ICMA Centre.
Emese’s research interests include: risk measurement and management, model risk, volatility and correlation models and their applications in Econometrics and in pricing structured products, as well as machine learning and applications in Finance. She has published in numerous journals such as Journal of Applied Econometrics, International Journal of Forecasting, Journal of Banking and Finance as well as Econometric Reviews. Emese presently teaches Market Risk and Derivatives Modelling.
Forecasting VaR using analytic higher moments for GARCH processesDr Emese Lazar, Carol Alexander, Silvia Stanescu
The module is designed to provide an introduction to the models and pricing of interest rates and credit derivatives. It conveys the basic concepts and analytical methodology for the valuation...
The purpose of the module is to provide an understanding of the latest developments in banking regulations that are the main driving force behind changes in our approaches to risk...
- Financial Econometrics
- Market Risk
- Volatility Modelling