Risk modeling and financial trading strategies, forecasting risks and opportunities for financial securities, and probabilistic modeling for risk-informed decisions


A CIRANO Associate Researcher and Fellow since 1999, Thomas McCurdy is Professor of Finance and holds the Bonham Chair in International Finance at the Rotman School of Management at the University of Toronto. He is the Founder and Academic Director of the BMO Financial Group Finance Research and Trading Lab. He is also an Associate Editor for the Journal of Financial Econometrics.

Holding a Ph.D. in Economics from the London School of Economics and Political Science, his recent research focuses on developing and applying quantitative methods for forecasting the dynamics of asset return distributions. He has a particular interest in sources of volatility and skewness, as well as the measurement and management of risk that results from the changing shape of return distributions.

He has also co-authored over 45 learning-by-doing simulation cases designed to practice deriving robust strategies for decisions associated with topics in market microstructure, valuation, derivatives, commodities, portfolio and risk management.

[ - ]
[ + ]

CIRANO Publications by Thomas McCurdy

As an author