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Dr Emese Lazar

Undergraduate Programme Area Director

Programme Director: MSc Financial Engineering
Programme Director: Financial Investment Banking
Associate Professor of Quantitative Finance

Emese Lazar


  • Financial Econometrics, 
  • Market Risk, 
  • Volatility Modelling


ICMA Centre, Whiteknights Campus

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.

She graduated from the Academy of Economic Studies in Bucharest, with a BSc in Finance and Banking. Also, she holds a BSc in Computer Science obtained from the University of Bucharest, Faculty of Mathematics. Her research interests include: risk measurement and management, model risk, volatility and correlation models and their applications in pricing structured products. Emese presently teaches Market Risk and Derivatives Modelling.

Reference: Lazar, E. and Zhang, N. (2020) Market risk measurement: preliminary lessons from the COVID-19 crisis. In: Billio, M. and Varotto, S. (eds.) A New World Post COVID-19 Lessons for Business, the Finance Industry and Policy Makers. Innovation in Business, Economics & Finance 1. Edizioni Ca'Foscari, pp. 97-107. ISBN 9788869694424 doi:
Reference: Alexander, C. and Lazar, E. (2020) The continuous limit of weak GARCH. Econometric Reviews. ISSN 1532-4168 doi:
Reference: Alexander, C., Lazar, E. and Stanescu, S. (2020) Analytic moments for GJR-GARCH (1,1) processes. International Journal of Forecasting. ISSN 0169-2070 doi: (In Press)
Reference: Pele, D. T., Lazar, E. and Mazurencu-Marinescu-Pele, M. (2019) Modelling expected shortfall using tail entropy. Entropy, 21 (12). 1204. ISSN 1099-4300 doi:

Derivatives Modelling

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...

Module code: ICM292

Market Risk

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...

Module code: ICM207