Curriculum Vitae – Professor Carol Alexander

A         Personal

1. Details

Name:              Carol Olivia Alexander

Appointment:   Professor of Financial Risk Management

D.O.B:                         31 December 1955

 

2. Education and Qualifications

1976                B.Sc. (Sussex) in Mathematics with Experimental Psychology

1980                Ph.D. (Sussex) in Algebraic Number Theory

1985                M.Sc. (LSE) in Mathematical Economics and Econometrics

 

2. Previous Appointments

1977 – 1978    Editor, John Wiley (one-year, interim PhD research)

1981 – 1982    Postdoctoral Research Fellow, University of Amsterdam

1982 – 1983    Bond Analyst, UBS Phillips and Drew, London

1983 – 1985    Part-Time Teaching and Research Assistant, London School of Economics

1985 – 1996    Lecturer in Mathematics and Economics, University of Sussex

1996 – 1998    Lecturer in Mathematics, University of Sussex (Part-Time)

Academic Director, Algorithmics Inc., London (Part-Time)

1998                Director, Head of Market Risk Modelling, Nikko Securities, London

2000 – 2008    Director of Research, ICMA Centre

1999 – 2008    Chair of Financial Risk Management, ICMA Centre

 

B          Teaching

Courses:

I convene the following courses, providing all the lectures (except *). Credits and approximate numbers of students given in parentheses

 

1999 – 2004    Market Risk                                                     (20 Credits, 60 students)

2002 –                         Volatility Analysis                                           (20 Credits, 35 students)

2005 – 2006    MSc Research Projects                                     (20 Credits, 180 students)

2005 –                         Quantitative Methods in Finance                     (20 Credits, 200 students)

2008 – 2009    Mathematics for Financial Engineers* (20 Credits, 5 students)

 

Enhancement in Programme Development:

·       Established the Eurekahedge prize for the best research project on Hedge Funds

·       Obtained PRM accreditation for the MSc in Financial Risk Management

·       Set up a very successful student exchange programme with the Elite Masters programme, Technical University of Munich

 

Supporting Students Learning:

·         Established a large database of self-assessment questions for Masters students, available through the BlackBoard Learning Management System

 

Involvement in Quality Management Process:

·         Designed spreadsheets for teaching allocations and for student feedback

·         Provided faculty and administration staff at ICMA with statistics on student intake and their pre-course assessment results

C         Consultancy

1990 - 1991     First generation GARCH models, Hill Samuel Bank, London

1992                Volatility trading models, Equitable House Investments, London

1994 - 2003     Hedge-fund software design, Pennoyer Capital Management, New York

1996 - 1997     Spot-futures arbitrage models, EDF Man, London

1996                Internal VaR model implementation, Shell Pension Fund, Den Haag, Holland

1997 - 1998     Orthogonal GARCH models, Robert Fleming, London

1998 - 1999     Academic Director, Algorithmics Inc., Toronto

2003 - 2006     Expert witness, Richards Butler, London

2009                VaR model design, Credit Agricole Asset Management, London

 

D         Internal and External  Activities

2000 – 2008:   Director of Research, ICMA Centre

·         Started online discussion paper series

·         Started weekly research seminar

·         Active role in structuring research plans

·         Active role in management of website research section

 

2002 –  :          Chair of the Academic Advisory Council of Professional Risk Manager’s International                                 Association (and Board Member since 2009)

 

E          Research and Scholarship

1. Research Grants: with year of award

1981         Leverhulme post-doctoral research grant, University of Amsterdam

1986         Nuffield award for new lecturers in science, University of Sussex

1994         ESRC grant for time series analysis in financial markets

2003         FDMR grant for research into hedge funds

2003         British Academy grant for collaborative research in Romania – with Simon Burke, Henley Business School, Economics

2003         International Financial Risk Institute Award

2005         Australian Prudential Regulatory Authority – with Elizabeth Sheedy, MacQuarie University, Sydney

2008         Europlace Institute of Finance – with Steve Ohana, ESCP-EAP, Paris

 

2. Research Students: with (expected) year of completion

2004         Ali Yigitbasioglu: Defaultable Convertible Bonds with Volatility Uncertainty and Call Notice Periods

2004         Anca Dimitriu: Portfolio Optimization Models for Traditional and Alternative Investments

2005         Dmitri Lvov: Pricing Convertible Bonds and Bermudan Swaptions by Monte Carlo Simulation

2006         Leonardo Nogueira: Pricing Options with Local and Stochastic Volatility Models

2006         Emese Lazar: Multi-state Volatility Models: Theory and Applications

2007         Andreza Barbosa: Exchange Traded Funds and Hedge Funds

2008        Naoufel El Bachir: Stochastic Default Intensity Modelling with Dependent Jump Processes

2009         Aanand Venkatrammanan: Closed Form Multi-Asset Option Pricing

2009         Joydeep Lahiri: Pricing CDS with Jump-Diffusion Intensity Models

2010         Stamatis Leontsinis: Model-Free Moment Indices

2010         Silvia Stanescu: Analytic Moments for GARCH Returns and Variances

2010         Andreas Kaeck: Dynamic Properties of Derivative Indices

2010         Daniel Ledermann: Random orthogonal Matrix Simulation

2012         Dimitris Korovilas: Financial News Impact on Option Implied Densities

2012         Juan Arismendi: Tail Covariance, Skewness and Kurtosis 

Publications (2004-2009): See website for complete list

 

1.          Alexander, C. and E. Lazar (2009)  ‘Modelling regime-specific stock price volatility’ Oxford Bulletin of Economics and Statistics, 71:6, 761 - 797

2.          Alexander, C., A. Kaeck and L. Nogueira (2009) ‘Model risk adjusted hedge ratios’ Journal of Futures Markets, 29: 11, 1021-1045

3.          Alexander, C. and E. Sheedy (2008) ‘Developing a stress testing framework based on market risk models’ Journal of Banking and Finance 32:10, 2220-2236

4.          Alexander, C. (2008)  In Risk- Management in Commodity Markets: From Shipping to Agriculturals and Energy, H. Geman (ed.), Wiley

5.          Alexander, C. and A. Kaeck (2008) ‘Regime dependent determinants of credit default swap spreads’ Journal of Banking and Finance 32:6, 1008 – 1021.

6.          Alexander, C. and A. Barbosa (2008) ‘Hedging exchange traded funds’ Journal of Banking and Finance 32:2, 326-337

7.          Alexander, C. (2008) ‘Moving average models for volatility and correlation.’ In Handbook of Finance, Volume 1. F. J. Fabozzi (ed.), Wiley

8.          Alexander, C. (2008) ‘Statistical models of operational loss’ In Handbook of Finance, Volume 1. F. J. Fabozzi (ed.), Wiley

9.          Alexander, C. and A. Venkatramanan (2008) ‘Commodity options’ In Handbook of Commodity Investing, F.J. Fabozzi, R. Füss and D.G. Kaiser (ed.), Wiley

10.       Alexander, C. (2008) Market Risk Analysis, Volume I: Quantitative Methods in Finance. Wiley

11.       Alexander, C. (2008) Market Risk Analysis, Volume II: Practical Financial Econometrics. Wiley

12.       Alexander, C. (2008) Market Risk Analysis, Volume III: Pricing, Hedging and Trading Financial Instruments. Wiley

13.       Alexander, C. (2008) Market Risk Analysis, Volume IV: Value at Risk Models. Wiley

14.       Alexander, C. and E. Sheedy Eds. (2008) The Professional Risk Manager’s Guide to Finance Theory and Application. (McGraw-Hill)

15.       Alexander, C. and E. Sheedy Eds. (2008) The Professional Risk Manager’s Guide to Financial Markets. (McGraw-Hill)

16.       Alexander, C. and E. Sheedy Eds. (2008) The Professional Risk Manager’s Guide to Financial Instruments. (McGraw-Hill)

17.       Alexander, C. and L. Nogueira (2007) ‘Model-free price hedge ratios for homogeneous claims on tradable assets’ Quantitative Finance 7:5, 473 – 479.

18.       Alexander, C. and A. Barbosa (2007) ‘Effectiveness of minimum variance hedging’ Journal of Portfolio Management 33:2, 46 - 59

19.       Alexander, C. and L. Nogueira (2007) ‘Model-free hedge ratios and scale-invariant models’  Journal of Banking and Finance, 31:6, 1839-1861

20.       A. Yigitsbasioglu and C. Alexander (2006) ‘Pricing and hedging convertible bonds: delayed calls and uncertain volatility’ International Journal of Theoretical and Applied Finance, 9:2, 415-437

21.       Alexander, C. and E. Lazar (2006) ‘Normal mixture GARCH(1,1): applications to foreign exchange markets’ Journal of Applied Econometrics, 21:2 307-336

22.       Alexander, C. and A. Dimitriu (2006) ‘Rank alpha funds of hedge funds’, in Fund of Hedge Funds: Performance, Assessment, Diversification and Statistical Properties, Edited by Greg N. Gregoriou, Elsevier Press

23.       Alexander, C. and A. Dimitriu (2005). ‘Hedge Fund Index Tracking’. In G.N. Gregoriou, G. Hübner, N. Papageorgiou, and F. Rouah (ed.), Hedge Funds: Insights in Performance Measurement, Risk Analysis, and Portfolio Allocation. John Wiley & Sons, Inc., 165–179

24.       Alexander, C. and A. Dimitriu (2005) ‘Rank alpha funds of hedge funds’, Journal of Alternative Investments, 8:2, 48-61

25.       Alexander, C. and A. Dimitriu (2005) ‘Detecting switching strategies in equity hedge funds returns’, Journal of Alternative Investments, 8:1, 7-13.

26.        Alexander, C. (2005) ‘The present and future of risk management’ Journal of Financial Econometrics, 3:1, 3-25

27.       Alexander, C. and A. Barbosa (2005) ‘The spider in the hedge’ Review of Futures Markets, 11:1, 89-113

28.       Alexander, C. and A. Dimitriu (2005) ‘Indexing and statistical arbitrage: tracking error or cointegration?’ Journal of Portfolio Management, 31:2, 50-63.

29.       Alexander, C. and A. Dimitriu (2005) ‘Indexing, cointegration and equity market regimes’ International Journal of Finance and Economics, 10, 213-231.

30.       Alexander, C. and A. Scourse (2004) ‘Bivariate normal mixture spread option valuation’  Quantitative Finance, 4:6 1-12.

31.       Alexander, C. (2004) ‘Normal mixture diffusion with uncertain volatility: modelling short and long term smile effects’ Journal of Banking and Finance, 28:12 2957-2980

32.       Alexander, C. and A. Dimitriu (2004) ‘Sources of out-performance in equity markets: common trends, mean reversion and herding’ Journal of Portfolio Management, 30:4, 170-185

33.       Alexander, C. and A. Dimitriu (2004) ‘Equity indexing: optimising passive investments’  Quantitative Finance, 4:3 30 - 33

34.       Alexander, C. and E. Sheedy Eds. (2004) The Professional Risk Manager’s Handbook: Volume 1, Finance Theory, Instruments and Markets (PRMIA Publications, Illinois)

35.       Alexander, C. and E. Sheedy Eds. (2004) The Professional Risk Manager’s Handbook: Volume 2, Financial Mathematics (PRMIA Publications, Illinois)

36.       Alexander, C. and E. Sheedy Eds. (2004) The Professional Risk Manager’s Handbook: Volume 3, Financial Risk Management (PRMIA Publications, Illinois)

37.       Alexander C. and A. Dimitriu (2004), 'The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations', in Intelligent Hedge Fund Investing, Ed. Barry Schachter, Risk Publications

38.       Alexander, C. and L. Nogueira (2004) ‘Stochastic local volatility’ Proceedings of the second international IASTED conference on financial engineering and applications, MIT, 136-141

39.       Alexander, C. and E. Lazar (2004) ‘Time aggregation of normal mixture GARCH’ Proceedings of the second international IASTED conference on financial engineering and applications, MIT, 210-215

40.       Alexander, C. (2004) ‘Principles of the skew’ in Alexander Lipton (ed.) Exotic Options. Risk Publications, 57-64.

41.       Alexander, C. (2004) ‘Correlation in crude oil and natural gas markets’ in Managing Energy Price Risk (3^rd Edition) V. Kaminsky (ed.). Risk Publications  573-606