School of Business and Economics

Research

Ilias Chondrogiannis

Photo of  Ilias Chondrogiannis

Doctoral Researcher in Accounting and Financial Management

Studies

  • BSc Economics - University of Athens, Dept of Economics
  • MSc Economics and finance - University of York, Dept of Economics and Related Studies
  • MA International Relations/ European Union Studies - Leiden University, Dept of Humanities

 

Qualifications

A1/ A2 Equities and Derivatives Trader (Hellenic Stock Exchange Commission)

 

Teaching experience

Modules: Intermediate Microeconomics, Intermediate Macroeconomics, Introduction to Finance, Thomson Reuters Eikon seminars

Preferred areas: Microeconomics, Macroeconomics, Econometrics, Mathematics and Statistics, Political Economy, Growth and Development, Asset Pricing, Corporate Finance

 

Research Interest:

My research interests lie in asset pricing, portfolio management, tail risk and incomplete markets with extensions to violations of normality, asymmetric information and extreme event risk. My current research focuses on how jumps in asset prices affect managerial decisions in funds, proper modelling of heavy tails (stochastic jump-diffusion, Poisson and Hawkes processes) and applications in specific markets and puzzles. Further extensions include the effects of jumps in CDS markets and systemic risk, expansions in incomplete markets and portfolio selection under uncertainty. I am also greatly interested in both the theoretical and applied aspect, as well as micro- and macroeconomic applications of the above. The quantitative methods of choice are Bayesian analysis (MCMC, particle filtering) and GARCH variations (GARCH, TARCH, GARCH-DCC).

Outside the scope of research in Finance, I maintain a long and established interest in Micro- and Macroeconomics, Political Economy, History of Economic Thought, Growth and Development, and I welcome ideas from those areas.

 

Supervisors: 

  • Prof Mark Freeman (York)
  • Dr Andrew Vivian

 

Thesis Title/Topic:

'Long-term decision making in the presence of financial disasters'

 

Featured Publications:

  • Chondrogiannis, I., Freeman, M., Vivian, A., Long term decision making in the presence of financial disasters (Working paper)