Biography
George graduated from the Athens University of Economics & Business where he obtained his first degree in Economics and his first Masters in Economics & Econometrics. Following, he obtained his Masters and PhD in Finance from the University of London, Birkbeck College. George has been a member of staff at the University of Exeter and the Cass Business School of City University, an advisor to the Governor of the Bank of Greece and has substantial experience in the banking sectors of London and Athens. He was appointed at Manchester Business School in 2006.
- George's teaching concentrates on credit risk, market risk, financial engineering and financial econometrics.
His research focuses on:
- Credit Risk: credit pricing, credit rating, credit risk model validation, securitization, syndicated loans, bank asset and risk management, microfinance, banking, sovereign risk, systemic risk and financial stability, credit guarantees and contingent liabilities
- Market Risk: option-implied density functions, implied risk aversion, VaR, factor models with random betas, portfolio performance attribution
- Financial Regulation: Impact of regulation on risk taking, systemic risk and financial stability. Regulatory Capture. Market Manipulation. Financial Crime. Regulation of Credit Rating Agencies
- Financial Econometrics: asymmetric loss forecasting under non-gaussian distributions, modeling and forecasting volatility and dependence, theoretical financial time series, simulation-based estimation methods, estimation of credit loss distributions, behavioural finance - estimation of forecast loss preference functions
Prospective PhD Students
Current PhD Students
- Enrique Eugenio Batiz Zuk, "Distributions of Credit Portfolio Losses", 2006-2009
- Wan Zainudin, "Competing Risks in Energy Finance", 2008-2011
- Waseem Larik, "Credit Risk and Systemic Financial Stability", 2008-2011
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
Journal Affiliations
Systemic Risk Society
Systemic Risk Society has been formed to promote the research of financial and economic systemic risks. Group members are experts from financial institutions, regulation and policy bodies and academia. The group should advance the understanding, prediction, management and pricing of systemic risk. Request an invitation to become a member by clicking this pointer.
Authored books- Christodoulakis, G.A. 2008, Forecasting Correlation in Financial Assets and Portfolios, Wiley.
Edited books- Christodoulakis, G.A. & Satchell S E 2007, The Analytics of Risk Model Validation, Elsevier Butterworth-Heinemann.
Chapters in books- Christodoulakis, G.A. & Satchell S E 2007, 'The Validity of Credit Risk Rating Model Validation Methods', in Christodoulakis, G. A. and S. E. Satchell (ed.), The Analytics of Risk Model Validation, Elsevier Butterworth-Heinemann, London.
- Christodoulakis, G.A. 2004, 'Sharpe Style Analysis in the MSCI Countries and Sectors: A Monte Carolo integration approach (Reprinted from ORIJ)', in Knight, J. and S. Satchell (ed.), Linear Factor Models in Finance, Elsevier Butterworth-Heinemann, London, pp. 87-98.
- Christodoulakis, G.A. 2002, 'Generating Composite Volatility Forecasts with Radom Factor Betas', Forecasting Volatility in the Financial Markets, Elsevier Butterworth-Heinemann, London, pp. 347-365.
- Christodoulakis, G.A. 2001, 'Short-Termism in Financial Markets', in Mitchie, J. (ed.), Reader's Guide to the Social Sciences, Routledge Taylor & Francis, Chicago, pp. 1480-1481.
Journal articles- Christodoulakis, G.A. & Mamatzakis M Forthcoming, 'Assessing the Prudence of Economic Forecasts in the EU', Journal of Applied Econometrics.
- Christodoulakis, G.A. & Stephen Satchell 2008, 'The Accuracy of Credit Scoring Receiver Operating Characteristic in the Presence of Macroeconomic Shocks', Journal of Risk Model Validation, vol. 2 (3), pp. 1-14.
- Christodoulakis, G.A. 2008, 'Asymmetric Rotation of Risk Factors in a Global Portfolio', Journal of Risk Finance, vol. 9 (4), pp. 391-403.
- Christodoulakis, G.A. & Mamatzakis M 2008, 'The European Union GDP Forecast Rationality Under Asymmetric Preferences', Journal of Forecasting, vol. 27 , pp. 483–492.
- Christodoulakis, G.A. 2007, 'The Evolution of Credit Risk Phenomena, Methods and Management', Bank of Greece Economic Bulletin, vol. 28(2), pp. 85-95.
- Christodoulakis, G.A. 2007, 'Markovian Credit Transition Probabilities Under Inequality Constraints: the US Portfolio 1984-2004', Journal of Credit Risk, vol. 3/3, pp. 25-39.
- Christodoulakis, G.A. 2007, 'Common Volatility and Correlation Clustering in Asset Returns', European Journal of Operational Research, vol. 182, pp. 1263–1284.
- Christodoulakis, G.A. 2006, 'Generalised Rational Bias in Financial Forecasts', Annals of Finance, vol. 2(4), pp. 397-405.
- Christodoulakis, G.A. & Peel D 2006, 'The Relationship Between Expected Utility and Higher Moments for Distributions Captured by the Gram-Charlier Class', Finance Research Letters, vol. 3(4), pp. 273-276.
- Christodoulakis, G.A. 2005, 'Financial Forecasts in the Presence of Asymmetric Loss Aversion, Skewness and Excess Kurtosis', Finance Research Letters, Elsevier, vol. 2(4), pp. 227-233.
- Christodoulakis, G.A. & Satchell, S E 2004, 'Forecast Evaluation in the Presence of Unobserved Volatility', Econometric Reviews, vol. 23(3), pp. 175-198.
- Christodoulakis, G.A. 2004, 'Credit Risk Models of Merton (1974)-Type and their Predictive Ability as Early Warning Systems', Bulletin of the Hellenic Banks Association, vol. 38, pp. 51-59.
- Christodoulakis, G.A. 2003, 'Sharpe Style Analysis in the MSCI Countries and Sectors: a Monte Carlo integration approach', Operational Research, vol. 2, pp. 123-137.
- Christodoulakis, G.A. & Satchell, S E 2002, 'Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns', European Journal of Operational Research, vol. 139(2), pp. 351-370.
- Christodoulakis, G.A. & Satchell S E 2002, 'On the Evolution of Global Style Factors in the MSCI University of Assets', International Transactions in Operational Research, Blackwell, vol. 9(5), pp. 643-660.
- Christodoulakis, G.A. & Stephen E. Satchell 1999, 'The Simulation of Option Prices with Applications to LIFFE Options on Futures', European Journal of Operational Research, vol. 114(2), pp. 249-262.
Other peer reviewed publications- Christodoulakis, G.A. & Emmanuel Mamatzakis 2008, 'Behavioural Asymmetries in the Spot-Forward G10 Exchange Rates: An Answer to an Old Puzzle', Working Paper, Submitted to Journal for Publication.
- Christodoulakis, G.A., Poon, S. & Enrique Batiz 2008, 'Empirical Estimation of Credit Loss Distributions: Vasicek and Beyond', Working Paper.
- Christodoulakis, G.A. 2008, 'The Competing Risks of Compliance with Basel Core Principles and their Effects on Bank Risk-Taking and Financial Stability', Submitted to Journal for Publication.
- Christodoulakis, G.A. 2008, 'Unemployment Dynamics', Working Paper.
- Christodoulakis, G.A. 2008, 'Evidence on the Dynamics of Social Welfare in European Union', Working Paper.
- Enrique Batiz Zuk, Christodoulakis, G.A. & Poon, S. 2007, 'The Distribution of Credit Portfolio Losses', Working Paper, under revision.
- Christodoulakis, G.A. & Ba Chu 2007, 'A Method to Estimate the Preference Structure of Joint Financial Forecast Decisions', Working Paper.
- Christodoulakis, G.A., 'Conditions for Rational Investment Short-Termism', Working Paper, Submitted to Journal for Publication, 2007.
- Christodoulakis, G.A., 'Hubris Hypothesis and the Reciprocity of Preferences and Densities in Optimal Forecast Decisions', Working Paper, Submitted to Journal for Publication, 2007.
- Christodoulakis, G.A. & Emmanuel Mamatzakis, 'Return Attribution Analysis of the UK Insurance Portfolios', Working Paper, Submitted to Journal for Publication, 2007.
- Christodoulakis, G.A., 'The Robustness of Simulation-Based Markovian Transition Probabilities for Ultra-Small Samples of Non-Performing Credit', Working Paper, Submitted to Journal for Publication, 2008.
- Christodoulakis, G.A. & Satchell S E, 'Exact Elliptical Distributions for Models of Conditionally Random Financial Volatility', Working Paper, Submitted to Journal for Publication, 2006.
- Christodoulakis, G.A. & David Peel, 'The Central Bank Inflation Bias in the Presence of Asymmetric Preferences and Non-normal Shocks', Submitted to Journal for publication, 2007 .
- Christodoulakis, G.A. & Satchell S E, 'Stability Conditions for Heteroscedastic Factor Models with Conditionally Autoregressive Betas', Working Paper, Submitted to Journal for Publication, 2007.
Journal articles- Christodoulakis, G.A. 2007, 'Common Volatility and Correlation Clustering in Asset Returns', European Journal of Operational Research, vol. 182, pp. 1263–1284.
- Christodoulakis, G.A. 2006, 'Generalised Rational Bias in Financial Forecasts', Annals of Finance, vol. 2(4), pp. 397-405.
- Christodoulakis, G.A. & Satchell, S E 2004, 'Forecast Evaluation in the Presence of Unobserved Volatility', Econometric Reviews, vol. 23(3), pp. 175-198.
- Christodoulakis, G.A. & Satchell, S E 2002, 'Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns', European Journal of Operational Research, vol. 139(2), pp. 351-370.
Authored books- Christodoulakis, G.A. 2008, Forecasting Correlation in Financial Assets and Portfolios, Wiley.
Edited books- Christodoulakis, G.A. & Satchell S E 2007, The Analytics of Risk Model Validation, Elsevier Butterworth-Heinemann.
Chapters in books- Christodoulakis, G.A. & Satchell S E 2007, 'The Validity of Credit Risk Rating Model Validation Methods', in Christodoulakis, G. A. and S. E. Satchell (ed.), The Analytics of Risk Model Validation, Elsevier Butterworth-Heinemann, London.
- Christodoulakis, G.A. 2004, 'Sharpe Style Analysis in the MSCI Countries and Sectors: A Monte Carolo integration approach (Reprinted from ORIJ)', in Knight, J. and S. Satchell (ed.), Linear Factor Models in Finance, Elsevier Butterworth-Heinemann, London, pp. 87-98.
- Christodoulakis, G.A. 2002, 'Generating Composite Volatility Forecasts with Radom Factor Betas', Forecasting Volatility in the Financial Markets, Elsevier Butterworth-Heinemann, London, pp. 347-365.
- Christodoulakis, G.A. 2001, 'Short-Termism in Financial Markets', in Mitchie, J. (ed.), Reader's Guide to the Social Sciences, Routledge Taylor & Francis, Chicago, pp. 1480-1481.
Journal articles- Christodoulakis, G.A. & David Peel 2009, 'The Central Bank Inflation Bias in the Presence of Asymmetric Preferences and Non-Normal Shocks', Economics Bulletin, vol. Forthcoming.
- Christodoulakis, G.A. & Stephen Satchell 2008, 'The Accuracy of Credit Scoring Receiver Operating Characteristic in the Presence of Macroeconomic Shocks', Journal of Risk Model Validation, vol. 2 (3), pp. 1-14.
- Christodoulakis, G.A. 2008, 'Asymmetric Rotation of Risk Factors in a Global Portfolio', Journal of Risk Finance, vol. 9 (4), pp. 391-403.
- Christodoulakis, G.A. & Mamatzakis M 2008, 'The European Union GDP Forecast Rationality Under Asymmetric Preferences', Journal of Forecasting, vol. 27 , pp. 483–492.
- Christodoulakis, G.A. 2007, 'The Evolution of Credit Risk Phenomena, Methods and Management', Bank of Greece Economic Bulletin, vol. 28(2), pp. 85-95.
- Christodoulakis, G.A. 2007, 'Markovian Credit Transition Probabilities Under Inequality Constraints: the US Portfolio 1984-2004', Journal of Credit Risk, vol. 3/3, pp. 25-39.
- Christodoulakis, G.A. 2007, 'Common Volatility and Correlation Clustering in Asset Returns', European Journal of Operational Research, vol. 182, pp. 1263–1284.
- Christodoulakis, G.A. 2006, 'Generalised Rational Bias in Financial Forecasts', Annals of Finance, vol. 2(4), pp. 397-405.
- Christodoulakis, G.A. & Peel D 2006, 'The Relationship Between Expected Utility and Higher Moments for Distributions Captured by the Gram-Charlier Class', Finance Research Letters, vol. 3(4), pp. 273-276.
- Christodoulakis, G.A. 2005, 'Financial Forecasts in the Presence of Asymmetric Loss Aversion, Skewness and Excess Kurtosis', Finance Research Letters, Elsevier, vol. 2(4), pp. 227-233.
- Christodoulakis, G.A. & Satchell, S E 2004, 'Forecast Evaluation in the Presence of Unobserved Volatility', Econometric Reviews, vol. 23(3), pp. 175-198.
- Christodoulakis, G.A. 2004, 'Credit Risk Models of Merton (1974)-Type and their Predictive Ability as Early Warning Systems', Bulletin of the Hellenic Banks Association, vol. 38, pp. 51-59.
- Christodoulakis, G.A. 2003, 'Sharpe Style Analysis in the MSCI Countries and Sectors: a Monte Carlo integration approach', Operational Research, vol. 2, pp. 123-137.
- Christodoulakis, G.A. & Satchell, S E 2002, 'Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns', European Journal of Operational Research, vol. 139(2), pp. 351-370.
- Christodoulakis, G.A. & Satchell S E 2002, 'On the Evolution of Global Style Factors in the MSCI University of Assets', International Transactions in Operational Research, Blackwell, vol. 9(5), pp. 643-660.
Other peer reviewed publications- Christodoulakis, G.A. & Emmanuel Mamatzakis 2008, 'Behavioural Asymmetries in the Spot-Forward G10 Exchange Rates: An Answer to an Old Puzzle', Working Paper, Submitted to Journal for Publication.
- Christodoulakis, G.A., Poon, S. & Enrique Batiz 2008, 'Empirical Estimation of Credit Loss Distributions: Vasicek and Beyond', Working Paper.
- Christodoulakis, G.A. 2008, 'The Competing Risks of Compliance with Basel Core Principles and their Effects on Bank Risk-Taking and Financial Stability', Submitted to Journal for Publication.
- Christodoulakis, G.A. 2008, 'Unemployment Dynamics', Working Paper.
- Christodoulakis, G.A. 2008, 'Evidence on the Dynamics of Social Welfare in European Union', Working Paper.
- Enrique Batiz Zuk, Christodoulakis, G.A. & Poon, S. 2007, 'The Distribution of Credit Portfolio Losses', Working Paper, under revision.
- Christodoulakis, G.A. & Ba Chu 2007, 'A Method to Estimate the Preference Structure of Joint Financial Forecast Decisions', Working Paper.
Authored books- Christodoulakis, G.A. 2008, Forecasting Correlation in Financial Assets and Portfolios, Wiley.
Edited books- Christodoulakis, G.A. & Satchell S E 2007, The Analytics of Risk Model Validation, Elsevier Butterworth-Heinemann.
Chapters in books- Christodoulakis, G.A. & Satchell S E 2007, 'The Validity of Credit Risk Rating Model Validation Methods', in Christodoulakis, G. A. and S. E. Satchell (ed.), The Analytics of Risk Model Validation, Elsevier Butterworth-Heinemann, London.
- Christodoulakis, G.A. 2004, 'Sharpe Style Analysis in the MSCI Countries and Sectors: A Monte Carolo integration approach (Reprinted from ORIJ)', in Knight, J. and S. Satchell (ed.), Linear Factor Models in Finance, Elsevier Butterworth-Heinemann, London, pp. 87-98.
- Christodoulakis, G.A. 2002, 'Generating Composite Volatility Forecasts with Radom Factor Betas', Forecasting Volatility in the Financial Markets, Elsevier Butterworth-Heinemann, London, pp. 347-365.
- Christodoulakis, G.A. 2001, 'Short-Termism in Financial Markets', in Mitchie, J. (ed.), Reader's Guide to the Social Sciences, Routledge Taylor & Francis, Chicago, pp. 1480-1481.
Journal articles- Christodoulakis, G.A. & Mamatzakis M Forthcoming, 'Assessing the Prudence of Economic Forecasts in the EU', Journal of Applied Econometrics.
- Christodoulakis, G.A. & David Peel 2009, 'The Central Bank Inflation Bias in the Presence of Asymmetric Preferences and Non-Normal Shocks', Economics Bulletin, vol. Forthcoming.
- Christodoulakis, G.A. & Stephen Satchell 2008, 'The Accuracy of Credit Scoring Receiver Operating Characteristic in the Presence of Macroeconomic Shocks', Journal of Risk Model Validation, vol. 2 (3), pp. 1-14.
- Christodoulakis, G.A. 2008, 'Asymmetric Rotation of Risk Factors in a Global Portfolio', Journal of Risk Finance, vol. 9 (4), pp. 391-403.
- Christodoulakis, G.A. & Mamatzakis M 2008, 'The European Union GDP Forecast Rationality Under Asymmetric Preferences', Journal of Forecasting, vol. 27 , pp. 483–492.
- Christodoulakis, G.A. 2007, 'The Evolution of Credit Risk Phenomena, Methods and Management', Bank of Greece Economic Bulletin, vol. 28(2), pp. 85-95.
- Christodoulakis, G.A. 2007, 'Markovian Credit Transition Probabilities Under Inequality Constraints: the US Portfolio 1984-2004', Journal of Credit Risk, vol. 3/3, pp. 25-39.
- Christodoulakis, G.A. 2007, 'Common Volatility and Correlation Clustering in Asset Returns', European Journal of Operational Research, vol. 182, pp. 1263–1284.
- Christodoulakis, G.A. 2006, 'Generalised Rational Bias in Financial Forecasts', Annals of Finance, vol. 2(4), pp. 397-405.
- Christodoulakis, G.A. & Peel D 2006, 'The Relationship Between Expected Utility and Higher Moments for Distributions Captured by the Gram-Charlier Class', Finance Research Letters, vol. 3(4), pp. 273-276.
- Christodoulakis, G.A. 2005, 'Financial Forecasts in the Presence of Asymmetric Loss Aversion, Skewness and Excess Kurtosis', Finance Research Letters, Elsevier, vol. 2(4), pp. 227-233.
- Christodoulakis, G.A. & Satchell, S E 2004, 'Forecast Evaluation in the Presence of Unobserved Volatility', Econometric Reviews, vol. 23(3), pp. 175-198.
- Christodoulakis, G.A. 2004, 'Credit Risk Models of Merton (1974)-Type and their Predictive Ability as Early Warning Systems', Bulletin of the Hellenic Banks Association, vol. 38, pp. 51-59.
- Christodoulakis, G.A. 2003, 'Sharpe Style Analysis in the MSCI Countries and Sectors: a Monte Carlo integration approach', Operational Research, vol. 2, pp. 123-137.
- Christodoulakis, G.A. & Satchell, S E 2002, 'Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns', European Journal of Operational Research, vol. 139(2), pp. 351-370.
- Christodoulakis, G.A. & Satchell S E 2002, 'On the Evolution of Global Style Factors in the MSCI University of Assets', International Transactions in Operational Research, Blackwell, vol. 9(5), pp. 643-660.
- Christodoulakis, G.A. & Stephen E. Satchell 1999, 'The Simulation of Option Prices with Applications to LIFFE Options on Futures', European Journal of Operational Research, vol. 114(2), pp. 249-262.
Other peer reviewed publications- Christodoulakis, G.A. & Emmanuel Mamatzakis 2008, 'Behavioural Asymmetries in the Spot-Forward G10 Exchange Rates: An Answer to an Old Puzzle', Working Paper, Submitted to Journal for Publication.
- Christodoulakis, G.A., Poon, S. & Enrique Batiz 2008, 'Empirical Estimation of Credit Loss Distributions: Vasicek and Beyond', Working Paper.
- Christodoulakis, G.A. 2008, 'The Competing Risks of Compliance with Basel Core Principles and their Effects on Bank Risk-Taking and Financial Stability', Submitted to Journal for Publication.
- Christodoulakis, G.A. 2008, 'Unemployment Dynamics', Working Paper.
- Christodoulakis, G.A. 2008, 'Evidence on the Dynamics of Social Welfare in European Union', Working Paper.
- Enrique Batiz Zuk, Christodoulakis, G.A. & Poon, S. 2007, 'The Distribution of Credit Portfolio Losses', Working Paper, under revision.
- Christodoulakis, G.A. & Ba Chu 2007, 'A Method to Estimate the Preference Structure of Joint Financial Forecast Decisions', Working Paper.
- Christodoulakis, G.A., 'Conditions for Rational Investment Short-Termism', Working Paper, Submitted to Journal for Publication, 2007.
- Christodoulakis, G.A., 'Hubris Hypothesis and the Reciprocity of Preferences and Densities in Optimal Forecast Decisions', Working Paper, Submitted to Journal for Publication, 2007.
- Christodoulakis, G.A. & Emmanuel Mamatzakis, 'Return Attribution Analysis of the UK Insurance Portfolios', Working Paper, Submitted to Journal for Publication, 2007.
- Christodoulakis, G.A., 'The Robustness of Simulation-Based Markovian Transition Probabilities for Ultra-Small Samples of Non-Performing Credit', Working Paper, Submitted to Journal for Publication, 2008.
- Christodoulakis, G.A. & Satchell S E, 'Exact Elliptical Distributions for Models of Conditionally Random Financial Volatility', Working Paper, Submitted to Journal for Publication, 2006.
- Christodoulakis, G.A. & David Peel, 'The Central Bank Inflation Bias in the Presence of Asymmetric Preferences and Non-normal Shocks', Submitted to Journal for publication, 2007 .
- Christodoulakis, G.A. & Satchell S E, 'Stability Conditions for Heteroscedastic Factor Models with Conditionally Autoregressive Betas', Working Paper, Submitted to Journal for Publication, 2007.
|
