Einstein cartoon

Research Interests

My main research interests are extreme value theory, time series analysis, Bayesian statistics, Monte Carlo methods, and applications to financial risk assessment.

In my Ph.D. dissertation I proposed to obtain measures of market risk by using extreme value models for multivariate stationary processes. The model takes into account "stylized facts" of financial time series, such as time-varying volatility, clustering of extreme events, and cross-sectional extremal dependence. A more precise description of my dissertation is given in the abstract.

Talks

I have presented my dissertation work at:

Other Activities

I am research assistant for Robert N. Rodriguez at SAS Institute Inc. At SAS, I am mainly involved in testing and documenting the new Statistical Graphics Using ODS in SAS 9.1.

Future Research

In the future, I plan to continue research in the following areas:

Undergraduate Work

The paper Comparing Different Methods of Calculating Value at Risk (click here for revised version) is based on my undergraduate thesis.

Last updated: 2008-12-15