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Professor Emese Lazar

Professor of Finance

Deputy School Director of Teaching and Learning, Henley Business School

Emese Lazar

Specialisms

  • Risk Measurement, 
  • Model Risk, 
  • Financial Econometrics, 
  • Derivatives Pricing, 
  • Green Finance, 
  • Climate Risk in Finance, 
  • Machine Learning

Location

ICMA Centre, Whiteknights Campus

Emese joined the ICMA Centre in 2005. She holds a PhD in Finance from the University of Reading. Previously she obtained an MSc in Financial Engineering and Quantitative Analysis with a Distinction from the ICMA Centre, University of Reading. She also received a BSc in Finance and Banking from the University of Economic Studies, Bucharest, and a BSc in Computer Science from the University of Bucharest.

Emese’s research interests include: risk measurement and management, model risk, Econometric modelling and applications in Finance, as well as pricing structured products. She also works in Green Finance, Climate Risk in Finance and, more generally, applications of Machine Learning models in Finance, and she supervises PhD students working in these areas.

She has published in numerous journals such as European Journal of Operational Research, Journal of Applied Econometrics, International Journal of Forecasting, Journal of Banking and Finance as well as Journal of Financial Econometrics. She is also an Associate Editor of the journal Econometrics, and member of the Econometrics with Data Science research cluster at the university.

Emese presently teaches Market Risk and Climate Change and Risk Management postgraduate modules. She also has the role of Deputy School Director of Teaching and Learning in Henley Business School.

Orcid ID: 0000-0002-8761-0754

Reference: Lazar, E. , Qi, S. and Tunaru, R. (2024) Measures of model risk for continuous-time finance models. Journal of Financial Econometrics. ISSN 1479-8417 (In Press)
Henley faculty authors:
Professor Emese Lazar
Reference: Qiu, Z., Lazar, E. and Nakata, K. (2024) VaR and ES forecasting via recurrent neural network-based stateful models. International Review of Financial Analysis, 92. 103102. ISSN 1873-8079 doi: https://doi.org/10.1016/j.irfa.2024.103102
Henley faculty authors:
Professor Emese Lazar
Reference: Lazar, E. , Pan, J. and Wang, S. (2024) On the estimation of Value-at-Risk and Expected Shortfall at extreme levels. Journal of Commodity Markets. 100391. ISSN 2405-8513 doi: https://doi.org/10.1016/j.jcomm.2024.100391
Henley faculty authors:
Professor Emese Lazar
Reference: Lazar, E. , Wang, S. and Xue, X. (2023) Loss function-based change point detection in risk measures. European Journal of Operational Research, 310 (1). pp. 415-431. ISSN 0377-2217 doi: https://doi.org/10.1016/j.ejor.2023.03.033
Henley faculty authors:
Professor Emese Lazar
Reference: Jiang, Y. and Lazar, E. (2022) Forecasting VIX using filtered historical simulation. Journal of Financial Econometrics, 20 (4). pp. 665-680. ISSN 1479-8417 doi: https://doi.org/10.1093/jjfinec/nbaa041
Henley faculty authors:
Professor Emese Lazar
Reference: Lazar, E. and Qi, S. (2022) Model risk in the over-the-counter market. European Journal of Operational Research, 298 (2). pp. 769-784. ISSN 0377-2217 doi: https://doi.org/10.1016/j.ejor.2021.07.021
Henley faculty authors:
Professor Emese Lazar
Reference: Lazar, E. and Zhang, N. (2022) Model risk of volatility models. Econometrics and Statistics. ISSN 2452-3062 doi: https://doi.org/10.1016/j.ecosta.2022.06.002
Henley faculty authors:
Professor Emese Lazar
Reference: Alexander, C. and Lazar, E. (2021) The continuous limit of weak GARCH. Econometric Reviews, 40 (2). pp. 197-216. ISSN 1532-4168 doi: https://doi.org/10.1080/07474938.2020.1799592
Henley faculty authors:
Professor Emese Lazar
Reference: Alexander, C., Lazar, E. and Stanescu, S. (2021) Analytic moments for GJR-GARCH (1,1) processes. International Journal of Forecasting, 37 (1). pp. 105-124. ISSN 0169-2070 doi: https://doi.org/10.1016/j.ijforecast.2020.03.005
Henley faculty authors:
Professor Emese Lazar
Reference: Avino, D. and Lazar, E. (2020) Rethinking capital structure arbitrage: a price discovery perspective. The Journal of Alternative Investments, 22 (4). pp. 75-91. ISSN 1520-3255 doi: https://doi.org/10.3905/jai.2020.1.093
Henley faculty authors:
Professor Emese Lazar
Reference: Lazar, E. and Xue, X. (2020) Forecasting risk measures using intraday data in a generalized autoregressive score (GAS) framework. International Journal of Forecasting, 36 (3). pp. 1057-1072. ISSN 0169-2070 doi: https://doi.org/10.1016/j.ijforecast.2019.10.007
Henley faculty authors:
Professor Emese Lazar
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: https://doi.org/10.30687/978-88-6969-442-4/007
Henley faculty authors:
Professor Emese Lazar
Reference: Lazar, E. and Zhang, N. (2019) Model risk of expected shortfall. Journal of Banking and Finance, 105. pp. 74-93. ISSN 0378-4266 doi: https://doi.org/10.1016/j.jbankfin.2019.05.017
Henley faculty authors:
Professor Emese Lazar
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: https://doi.org/10.3390/e21121204
Henley faculty authors:
Professor Emese Lazar
Reference: Pele, D. T., Lazar, E. and Dufour, A. (2017) Information entropy and measures of market risk. Entropy, 19 (5). 226. ISSN 1099-4300 doi: https://doi.org/10.3390/e19050226
Henley faculty authors:
Professor Emese Lazar - Dr Alfonso Dufour Daniel Traian Pele
Reference: Avino, D. , Lazar, E. and Varotto, S. (2015) Time varying price discovery. Economics Letters, 126. pp. 18-21. ISSN 0165-1765 doi: https://doi.org/10.1016/j.econlet.2014.09.030
Henley faculty authors:
Professor Emese Lazar - Professor Simone Varotto Davide Avino
Reference: Avino, D. , Lazar, E. and Varotto, S. (2013) Price discovery of credit spreads in tranquil and crisis periods. International Review of Financial Analysis, 30. pp. 242-253. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2013.08.002
Henley faculty authors:
Professor Emese Lazar - Professor Simone Varotto Davide Avino
Reference: Alexander, C. , Lazar, E. and Stanescu, S. (2013) Forecasting VaR using analytic higher moments for GARCH processes. International Review of Financial Analysis, 30. pp. 36-45. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2013.05.006
Henley faculty authors:
Professor Emese Lazar Carol Alexander- Silvia Stanescu
Reference: Symeonidis, L., Prokopczuk, M. , Brooks, C. and Lazar, E. (2012) Futures basis, inventory and commodity price volatility: an empirical analysis. Economic Modelling, 29 (6). pp. 2651-2663. ISSN 0264-9993 doi: https://doi.org/10.1016/j.econmod.2012.07.016 (http://www.sciencedirect.com/science/journal/02649993)
Henley faculty authors:
Professor Marcel Prokopczuk - Professor Emese Lazar Lazaros Symeonidis
Reference: 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 doi: https://doi.org/10.1111/j.1468-0084.2009.00563.x
Henley faculty authors:
Professor Emese Lazar C. Alexander
Reference: Badescu, A., Kulperger, R. and Lazar, E. (2008) Option valuation with normal mixture GARCH models. Studies in nonlinear dynamics & econometrics, 12 (2). 5. ISSN 1558-3708 doi: https://doi.org/10.2202/1558-3708.1580
Henley faculty authors:
Professor Emese Lazar Alex Badescu- Reg Kulperger
Reference: 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 doi: https://doi.org/10.1002/jae.849
Henley faculty authors:
Professor Emese Lazar Carol Alexander
Reference: 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.
Henley faculty authors:
Professor Emese Lazar Carol Alexander

Climate Change and Risk Management

This module provides a detailed discussion of the climate risks faced by corporations and financial institutions. Students will learn how climate data and climate models can be used to measure...

Module code: ICM518

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