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Dr George Christodoulakis - research

Research interests

Indicative research interests include:

  • Credit Risk and Market Risk: credit rating, asset pricing, risk model validation, securitization, syndicated loans, forecasting
  • Asset Management: Black-Littermann asset allocation, robust performance measurement, private equity funds
  • M&A and State Asset Privatisation Transactions: optimality of transactions, incentives-value trade-off, performance and economic impact
  • Financial Regulation: impact of regulation on risk taking, systemic risk and financial stability, regulatory capture, market manipulation, financial crime, regulation of credit rating agencies
  • Behavioural Finance: estimation of preferences, risk-on / risk-off patterns, loss aversion, corporate governance, responsible investment

Prospective PhD Students

Completed PhD Students

  • Enrique Eugenio Batiz Zuk, "Distributions of Credit Portfolio Losses", 2011
  • Waseem Larik, "Credit Risk and Systemic Financial Stability", 2012
  • Yong Woong Lee, "Generalized Dependence Structures in Distributions of Credit Portfolio Losses", 2009-2012

PhD Viva Examinations

  • Patricio Contreras, University of Cambridge, "Three Essays on Risk Management: From Portfolio to Open Economy Sovereign Risk", 2008
  • John Heap, University of Manchester, "Enhanced Techniques for Complex Interest Rate Derivatives", 2008
  • Cao Yang, University of Manchester, "Multi-Asset and Stochastic Volatility Option and Bond Pricing Models: Valuations and Calibrations", 2009
  • Riko Miura, University of London, "Linkages between Absolute Returns, GARCH Processes and Long Memory", 2009

Journal Affiliations