I am currently a PhD student at the University of Warwick. My supervisors are Robin Ball and Juergen Branke. I previously studied Mathematics (BSc) and Complexity Science (MSc) at Warwick. In between my MSc & PhD I worked at Goldman Sachs for 18 months in their Market Risk Technology team. I am also a qualified ski instructor.
My work centres around risk. During my PhD I have considered two different approaches:
- The estimation and exploration of the risk associated with extreme events. This work has particular relevance to Reverse Stress Testing, which deals with questions akin to "What is the chance that my business will fail?".
- Portfolio Optimisation: By using a stochastic technique [R. Ball et Al., Phys. Rv. Lett. 91, 030201 (2003)] we have constructed a fast and effective portfolio optimisation method. The method optimises a risk weighted return and it's only assumption is that historical data is a valid indicator of the future. No normality assumptions are required.
j dot mascie-taylor at warwick dot ac dot uk
D2.16 (Complexity Science),
University of Warwick,