Adviser
Rama Cont is Head of the Oxford Mathematical and Computational Finance Group.
He is Professor of Mathematical Finance at the University of Oxford.
Rama is known for contributions to probability theory, stochastic analysis and mathematical modelling in finance, in particular for his work on pathwise methods in stochastic analysis and mathematical models of systemic risk.
He was awarded the Louis Bachelier Prize by the French Academy of Sciences
He has served as advisor to central banks and international organizations such as the International Monetary Fund and the Bank for International Settlements on stress testing and systemic risk monitoring.
His work on models, financial stability and central clearing has influenced central banks and regulators.
Cont introduced a rigorous approach for the assessment of model risk which has been influential in the design of model risk management frameworks in financial institutions.
Work by Cont and his collaborators on mathematical modeling of systemic risk and financial stability, in particular on n the modeling of indirect contagion via 'fire sales', has influenced academic research and policy in this area
Cont's research on central clearing in OTC markets has influenced risk management practices of central counterparties and regulatory thinking on central clearing.
In the area of risk measurement and model risk: Cont introduced the concept of 'risk measurement procedure', an empirical counterpart of the notion of risk measure, and defined a robust class of risk measurement procedures known as 'Range Value-at-risk' (RVaR), a robust alternative to Expected shortfall. He also developed the concept of Liquidity at risk.
