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Draft:Carol Alexander

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Carol Alexander (born in the UK) is a British academic, financial consultant, and author known for her work in financial risk management, derivatives, and crypto asset markets.[1][2] She is a Professor of Finance at the University of Sussex[3] and a Visiting Professor at Peking University HSBC Business School.[4] Over her career, she has held various roles in both academia and the financial industry, with contributions to quantitative finance.[5][6] Alexander was the co-editor of the Journal of Banking and Finance for ten years and has published research on topics including volatility, hedging strategies, and market microstructure.

Alexander has received recognition for her contributions to finance and risk management. In 2022, she was named one of Wall Street's top 10 Women Quants.[7] She is a member of London Mathematical Society Louis Bachelier Prize Committee[8] and the Steering Committee for the Centre for Financial Industries at the Fields Institute.[9] She has appeared as a speaker in interviews and on financial news platforms including BBC News and CNBC.[10][11][12][13][14][15]

Early life and education

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Alexander grew up in the UK and demonstrated an early interest in mathematics. She earned a BSc in Mathematics with Experimental Psychology from the University of Sussex and later completed a PhD in Algebraic Number Theory under the supervision of mathematician Walter Ledermann.[16] Her doctoral thesis was titled Integral Bases of Dihedral Number Fields. After completing her PhD, she pursued an MSc in Econometrics and Mathematical Economics from the London School of Economics (LSE), where she focused on applying mathematical techniques to economic and financial problems, particularly in modelling market behaviour and risk.[16]

Academic career

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Alexander began her academic career at the University of Sussex in 1985, lecturing in both Mathematics and Economics.[16] Following the 1987 stock market crash, her research shifted towards econometric models for risk management, marking the beginning of her focus on quantitative finance.[16]

In 1999, she joined the ICMA Centre at the University of Reading as a Professor of Finance, where she contributed to the development of academic programmes in financial risk management.[16] During this time, she authored the four-volume series Market Risk Analysis (2008), which covers a range of topics in quantitative finance, including stochastic modelling, volatility estimation, and risk management techniques.[17]

In 2012, Alexander returned to the Sussex as a professor in the School of Business, Management, and Economics. Between 2013 and 2015, she served as the Chair of Business and Management.[16] Her research continued in financial econometrics and FinTech, with a focus on crypto asset markets and derivatives pricing. She co-founded the Quantitative FinTech group at Sussex, which conducts research on blockchain, high-frequency trading, and digital currencies.[18]

Alexander’s publications have covered various areas of finance and her works have been cited over 13,000 times, with an h-index of 53.[19] Research.com ranks her in the top 1500 best economics and finance scientists in the world.[20] Her research includes developing models for market volatility and hedging strategies, with a focus on GARCH models and stochastic volatility,[21] contributing to research on the pricing and hedging of derivatives, particularly through mathematical models,[22], and researching market behaviour and microstructure in digital asset markets such as Bitcoin and Ethereum.[23]

Books

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  • Corruption and Fraud in Financial Markets: Malpractice, Misconduct and Manipulation, John Wiley & Sons, 2022
  • Market Risk Analysis, Value at Risk Models, Wiley, 2009
  • Market Risk Analysis, Pricing, Hedging and Trading Financial Instruments, Wiley, 2008
  • Market Risk Analysis, Practical Financial Econometrics, Wiley, 2008
  • Market Risk Analysis, Quantitative Methods in Finance, Wiley, 2008
  • Operational Risk: Regulation, Analysis and Managements, Pearson Education, 2003
  • Market Models: A Guide to Financial Data Analysis, Wiley, 2001
  • Mastering Risk: Concepts, Pearson Education, 2001
  • The Handbook of Risk Management and Analysis, Wiley, 1996

Industry career

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In addition to her academic work, Alexander has held roles in the financial industry, applying her expertise in quantitative models to practical problems. Early in her career, she worked as a Bond Analyst for Phillips & Drew (now UBS) and later as Director of Algorithmics Inc., a provider of risk management software.[24] In 1997, she became Head of Market Risk Modelling for Nikko Global Holdings, leading a team in designing financial products and risk models.[24] More recently, she designed the first bitcoin volatility index for CryptoCompare, UK[25] following the methodology now published in the Journal of Alternative Investments.[26]

Consulting and expert witness work

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Alexander also works as a consultant and expert witness in financial litigation.[24] She has provided testimony in cases involving market manipulation, crypto asset fraud, and other financial disputes, most recently for White & Case, drawing on her expertise in modelling financial systems and market microstructure.[27]

References

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  1. ^ "About Carol Alexander". Carol Alexander. Retrieved 2024-10-12.
  2. ^ "Frontiers in Quantitative Finance". University of Oxford Mathematical Institute. Retrieved 2024-10-13.
  3. ^ "Carol Alexander Profile". University of Sussex. Retrieved 2024-10-12.
  4. ^ "Carol Alexander Profile". Peking University HSBC Business School. Retrieved 2024-10-12.
  5. ^ "FT Speakers: Carol Alexander". Financial Times. Retrieved 2024-10-13.
  6. ^ "Carol Alexander". Social Science Encyclopedia. Retrieved 2024-10-13.
  7. ^ "Top 10 Female Quants on Wall Street 2022". Rebellion Research. Retrieved 2024-10-12.
  8. ^ "Louis Bachelier Prize". London Mathematical Society. Retrieved 2023-10-12.
  9. ^ "Centre for Financial Industries". Fields Institute. Retrieved 2023-10-12.
  10. ^ "Bitcoin price briefly tops $69,000 for new all-time high". BBC News. Retrieved 2023-10-13.
  11. ^ "These are the boldest bitcoin predictions for 2024". CNBC. Retrieved 2023-10-13.
  12. ^ "Digital currency ether hits a record high, stealing bitcoin's limelight". NBC News. Retrieved 4 May 2022.
  13. ^ Kelly, Jemima. "Wha-Tether could be going on with the bitcoin price?". Financial Times. Retrieved 4 May 2022.
  14. ^ Browne, Ryan. "From a bitcoin crash to regulatory crackdowns: Analysts give their top predictions for crypto in 2022". CNBC. Retrieved 4 May 2022.
  15. ^ "NFTs: Are they the future of the music industry?". BBC News. Retrieved 4 May 2022.
  16. ^ a b c d e f "Carol Alexander Academic CV" (PDF). Carol Alexander. Retrieved 2024-10-12.
  17. ^ Alexander, Carol (2009). Market Risk Analysis. United Kingdom: Wiley.
  18. ^ "Quantitative FinTech (QFIN)". University of Sussex. Retrieved 2024-10-12.
  19. ^ "Carol Alexander". Google Scholar. Retrieved 2024-10-13.
  20. ^ "Best Economics and Finance Scientists". Research.com. Retrieved 2024-10-13.
  21. ^ Alexander, Carol, and Emese Lazar (2006). Normal mixture GARCH (1, 1): Applications to exchange rate modelling. Journal of Applied Econometrics 21(3), 307-336.
  22. ^ Alexander, Carol, and Aanand Venkatramanan (2011). Analytic Approximations for Multi‐Asset Option Pricing. Mathematical Finance: An International Journal of Mathematics, Statistics and Financial Economics 22(4), 667-689.
  23. ^ Alexander, Carol, Jun Deng, Jianfen Feng, and Huning Wan (2023). Net buying pressure and the information in bitcoin option trades. Journal of Financial Markets 63, 100764.
  24. ^ a b c "Carol Alexander Industry CV" (PDF). Carol Alexander. Retrieved 2024-10-12.
  25. ^ "BVIN - Bitcoin Volatility Index". CryptoCompare. Retrieved 2024-10-13.
  26. ^ Carol Alexander, Arben Imeraj (Spring 2021). "The Bitcoin VIX and Its Variance Risk Premium". The Journal of Alternative Investments. 23 (4): 84–109. doi:10.3905/jai.2020.1.112.
  27. ^ "Why users are pushing back against the world's largest crypto exchange". The Washington Post. Retrieved 2024-10-12.
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