Professor Radu Tunaru has been working in Finance since 2000 and he specialises in Structured Finance (credit risk), Financial Markets and Risk Management, Real Estate Finance and Model Risk. He has over 60 publication to date and he is currently head of Finance group in Kent Business School and Director of Centre for Quantitative Finance Research (CEQUFIN). He is the author of Model Risk in Financial Markets published in 2015 by World Scientific Press.
He has received six best paper awards so far and his latest work includes three papers on real-estate derivatives with Nobel laureate in Economics Robert Shiller. His career includes working for Bank of Montreal and for Merrill Lynch where he was a vice-president in Structured Finance EMEA RMBS. His latest research is in risk management, real-estate derivatives, Bayesian models for uncertainty in Finance, options pricing. He serves as an associate editor on the board of Frontiers in Finance and Economics, Journal of Portfolio Management and Journal of Banking and Finance.
Kent Business School
14:00 - 16:00 Monday
Also view these in the Kent Academic Repository
Prof. Radu Tunaru is an expert in Quantitative Finance and Risk Management. His research has been recognised with the following prizes
- European Financial Management Best paper award, vol 16, 2010, for the paper "Property Derivatives to Managing European Real-Estate Risk", jointly with Frank Fabozzi and Robert Shiller.
- WHU Campus for Finance 10th Research Conference 2010, 1st prize best research paper, for the paper "Pricing Models for Real-Estate Derivatives", co-authored by Frank Fabozzi, and Robert J. Shiller
- Multinational Finance Journal Best Paper Award, vol 5, 2001, for the paper "Emerging Markets: Investing with Political Risk"
- Eastern Finance Association prize for the Outstanding Paper in International Finance for the paper "Modelling Political Risk with a Doubly Stochastic Poisson Process", Charleston USA 2001
He is also the Director of CeQuFin, the Centre for Quantitative Finance at University of Kent, where is developing research connected to current problems faced on financial markets.
He has collaborated with a series of well-renowned academics in Finance such as Ephraim Clark, Catalina Stefanescu, Stuart Turnbull, Frank Fabozzi, Robert Shiller, Helyette Geman.
His current research is in the areas of
- Financial markets (market risk premium, trading volatility, real-options)
- Alternative investments (property, volatility, dividend)
- Risk management (backtesting VaR and expected shortfall, rating transition matrices).
- Risk Management
Elected on the Board of European Financial Management Association. Professor Radu Tunaru has been appointed a Subject Matter Expert in one of the Professional Risk Managers' International Association ( PRMIA) Advisory Groups. He has been approved to serve on the Quantitative (Quantitative tools, Quantitative risk modeling, Monte Carlo Simulation) group of PRMIA, the Professional Risk Managers' International Association, a non-profit professional association with more than 90,329 members in 211 countries.
- Christos Argyropoulos: Robust forecasting and backtesting of Value at risk (VaR) and Expected Shortfall (ES) risk measures
- Thorsten Riedle: An Analysis of Alternative Risk Measures
- Teng (Sherry) Zheng: Derivative Pricing and Hedging Under Model Uncertainty
- Ioannis Souropanis: Essays on Exchange Rate Forecasting
- Iason Kynigakis: Essays on Financial Econometrics and Forecasting
- Mattia Bevilacqua: Understanding Implied Market Volatility: Theoretical Developments and Applications from the Stock Market to the Alternative Assets
- Davide Vioto: The Evolution of Systemic Risk in Financial Markets
- Tommaso Paletta: Computational Methods for Pricing and Hedging Derivatives
- Catalin Cantia: Lévy Factor Models for Financial Applications
Potential applicants should have an excellent quantitative background in (Stochastic Processes, Asset Pricing, Numerical Methods, Portfolio Theory), great computational skills (any two of Matlab, S-Plus, WinBUGS, R, C++, Python), a relevant master with distinction and above all, great intellectual curiosity.
For informal discussion please send your CV to Prof. Radu Tunaru.