Rate My Professor Emese Lazar

Professor Emese Lazar is Professor of Finance and Deputy School Director of Teaching and Learning at the ICMA Centre, Henley Business School, University of Reading. She joined the ICMA Centre in 2005. Her academic background includes a PhD in Finance from the University of Reading, a BSc in Finance and Banking from the University of Economic Studies, Bucharest, and a BSc in Computer Science from the University of Bucharest. Emese Lazar teaches postgraduate modules including Market Risk and Climate Change and Risk Management. She is a member of the Econometrics with Data Science research cluster and supervises PhD students in areas such as risk management, financial econometrics, and machine learning applications in finance.

Professor Lazar's research specializations encompass risk measurement and management, model risk, econometric modelling and applications in finance, pricing structured products, green finance, climate risk in finance, and machine learning models in finance. She has published in leading academic journals such as the Journal of Applied Econometrics, International Journal of Forecasting, Journal of Financial Econometrics, Journal of Banking and Finance, and European Journal of Operational Research. Key publications include 'Environmental performance and credit ratings: A transatlantic study' (2024), 'Measures of Model Risk for Continuous-Time Finance Models' (2024), 'On the estimation of Value-at-Risk and Expected Shortfall at extreme levels' (2024), 'Loss function-based change point detection in risk measures' (2023), 'Model risk of volatility models' (2022), 'Model Risk of Expected Shortfall' (2019), 'Forecasting risk measures using intraday data in a generalized autoregressive score framework' (2020), 'Information Entropy and Measures of Market Risk' (2017), and 'Forecasting VaR using analytic higher moments for GARCH processes' (2013). Together with Professor Radu S. Tunaru and Ning Zhang, she won the Best Research Paper Award at an international conference. Her work advances methodologies for assessing financial risks, including those related to climate change and market volatility, impacting both academic research and financial practice.