layout: single title: “Research” permalink: /research/ author_profile: true toc: true toc_label: “On This Page” toc_icon: “bars” toc_sticky: true —
Research Overview
I am a PhD candidate in Banking and Finance at UCD Michael Smurfit Graduate Business School. My research focuses on option-implied information, tail risk, risk-neutral and physical distributions, density forecasting, and financial risk management.
Working Papers
Option-Implied Tail Risk
This project studies downside and upside tail behaviour extracted from option-implied distributions using extreme value methods.
Density Forecasting and Market Risk
This project evaluates risk-neutral and physical density forecasts, with applications to VaR, Expected Shortfall, and market risk management.
Sector ETF Option-Implied Information
This project studies option-implied information from sector ETF options and its relation to sector-level risk and return dynamics.