Professor  Paul Kofman

Sidney Myer Chair of Commerce


Phone number +61 3 8344 5311
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Research interests

  • Business Cycles and Default Risk (Asset pricing, Merton's default likelihood)
  • Constrained portfolio allocation
  • Diversification Breakdown and Downside Risk (Exceedance correlations, Portfolio allocation)
  • Extreme value analysis and financial applications
  • Financial econometrics
  • Insurance Pricing (Automobile insurance, Asymmetric Information)
  • Insurance rate making
  • Market Discipline of Financial Institutions (Credit spreads, Bank risk)
  • Price discovery in regulated financial markets
  • Regulation of Derivatives Exchanges (Limits, Spreads, Margins)