Dr Emese Lazar
Undergraduate Programme Area Director
Programme Director: MSc Financial Engineering
Programme Director: Financial Investment Banking
Associate Professor of Quantitative Finance
SpecialismsFinancial Econometrics, Market Risk, Volatility Modelling
LocationICMA 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.
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...