Loughborough University
About the Project
Risk management is the identification, analysis, acceptance, or mitigation of uncertainty in investment decisions. Financial risk is indisputably the most critical among various types of risk since financial activities can directly affect a country’s economy and other livelihood conditions. Therefore, quantitatively measuring financial risk has become one of the main targets of the government, policymakers, investors, enterprises, and other stakeholders who are interested in economic activities. However, the complicated and volatile real world makes financial risk management extremely challenging and difficult.
Traditionally, a quantile-based quantitative measure, Value-at-Risk (VaR) was proposed by JP Morgan, and the Basle Committee on Bank Supervision announced that capital adequacy requirements for commercial banks are to be based on VaR.
However, it has been proved that VaR can not satisfy some coherent requirements to measure risk. In contrast to the insensitive nature of quantile to outliers, expectile has the ability to detect potential changes at any level, especially for extreme risk, and thus is strongly recommended to be used on financial risk management[1]. We aim to investigate the possible nonlinearity feature and heteroscedasticity of the return correlations in the FTSE Index. And develop a unified approach of statistical modelling based on expectile to detect the financial risk when it approaches a threshold, so that can timely prevent potential loss. In the proposed approach, one does not preset the threshold and lets it be determined via time series data [2].
Note: The Basle Committee consists of central bankers from a group of 10 countries. This committee sets minimum standards for capital requirements in member countries.
References
- A Daouia, S Girard, and G Stupfler. Tail expectile process and risk assessment. Bernoulli, 26(1):531–56, 2020.
- L Su and P Xu. Common threshold in quantile regressions with an application to pricing for reputation. Econometric Reviews, 38(4):417–50, 2019.
94% of Loughborough’s research impact is rated world-leading or internationally excellent. REF 2021
Supervisors
- Primary supervisor: Dr Peng Liu
Entry requirements
Applicants should have, or are expected to achieve, at least a 2:1 Honours degree (or equivalent) in Mathematics or in a related subject.
English language requirements
Applicants must meet the minimum English language requirements. Further details are available on the International website.
Start date
October 2025
Tuition fees for 2025-26 entry
- UK fee – To be confirmed Full-time degree per annum
- International fee – £22,360 Full-time degree per annum
Fees for the 2025-26 academic year apply to projects starting in October 2025.
How to apply
All applications should be made online. Under programme name, select Mathematical Sciences. Please quote the advertised reference number: MA/PL-SF4/2025 in your application.
To avoid delays in processing your application, please ensure that you submit a CV and the minimum supporting documents.
The following selection criteria will be used by academic schools to help them make a decision on your application. Please note that this criteria is used for both funded and self-funded projects.
Please note, applications for this project are considered on an ongoing basis once submitted and the project may be withdrawn prior to the application deadline, if a suitable candidate is chosen for the project.
To help us track our recruitment effort, please indicate in your email – cover/motivation letter where (theacademicjob.com) you saw this job posting.