Prof Rama Cont
Senior Research Fellow
Professor of Mathematical Finance and Head of Mathematical & Computational Finance Group, Oxford Mathematical Institute
Rama Cont is Professor of Mathematical Finance and Head of the Mathematical and Computational Finance Group at the Oxford Mathematical Institute and a Fellow of St Hugh’s College.
His research in finance has focused on the quantitative modeling of financial instability and extreme market risks: discontinuities in market behavior, liquidity risk, endogenous risk, stress testing and systemic risk.
Prof. Cont has extensive experience in the stress testing of large financial institutions and market infrastructures, in particular central counterparties (CCPs), and has participated as an expert in many stress testing exercises across Europe, Asia, the US and Latin America. He has served as a consultant to the Basel Committee on Banking reform, the European Central Bank, the New York Federal Reserve, the US Commodity Futures Commission (CFTC), the US Office of Financial Research, the International Monetary Fund (IMF), DTCC, LCH, B3 (the Brazilian securities clearinghouse), the Chicago Merchantile Exchange (CME) and the Hong Kong Exchange, on matters related to stress testing and the design of margin and risk management systems. He currently serves as Scientific counselor to the Financial Stability Division of Norges Bank, the central bank of Norway.
He was awarded the Louis Bachelier Prize by the French Academy of Sciences in 2010 for his research on mathematical modeling in finance and the Royal Society Award for Excellence in Interdisciplinary Research in 2017 for his research on systemic risk.
Monitoring indirect contagion
01 Jul 19
We propose two indicators for quantifying the potential exposure of financial institutions to indire...
Liquidity at Risk: Joint Stress Testing of Solvency and Liquidity
01 Jun 19
We propose a structural framework for the joint stress testing of solvency and liquidity: our approa...