My research concerns financial risk management, especially market risk management, and new advancements in the field. After the financial crisis in 2008 it has become apparent that the current regulatory framework requires some fundamental changes in order to enhance the reliability and robustness of the models in use. The pre-2008 models severely underestimated many risks related to financial instruments, especially derivatives and other complex instruments. 

From an academic point of view, this offers a fruitful situation due to the numerous open questions in the field. For example, it is not clear what risk measure or measures should be used and how risk factors should be statistically modeled. The upcoming regulatory changes will likely shift the emphasis from VaR (Value-at-Risk) based models to ES (Expected shortfall) based models. This would fix the problem that VaR is not a subadditive, but would bring other issues, because ES is not elicitable (i.e. it cannot be backtested). There are also other new advancements in the field: lately some authors have studied the so called expectiles. Expectiles have some desirable properties from the point of view of risk management. They are both elicitable and subadditive, which makes them an attractive alternative to ES and VaR.