Overview
Carol O. Alexander is a British financial economist (Professor of Finance, University of Sussex; formerly University of Reading and Algorithmics), known for market-risk modelling, volatility and covariance estimation, and the Market Risk Analysis textbook series.
Key Contributions / Features
- Covariance matrices for VaR (Alexander-Leigh 1997): showed that EWMA fits the centre of returns but fails VaR tails under BIS backtesting, and introduced orthogonalization for building large risk-factor covariance matrices (Value at Risk).
- Orthogonal / principal-component GARCH (Alexander 2002): a PCA-based method for generating large GARCH covariance matrices from a few univariate factor-volatility models, with positive-semi-definiteness conditions (Covariance Matrix Estimation).
- Author of Market Risk Analysis (4 vols.) and Quantitative Methods in Finance.
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