Faculty Member, Manchester Business School
Associate Professor of Finance, Director - MSc in Quantitative Finance, Advisor in Banking, Finance and Risk
About
George graduated from the Athens University of Economics & Business where he obtained his first degree in Economics and his first Masters in Economics & Econometrics. Following, he obtained his Masters and PhD in Finance from the University of London, Birkbeck College. George has been a member of staff at the University of Exeter and the Cass Business School of City University, an advisor to the Governor of the Bank of Greece and has substantial experience in the banking sectors of London and Athens. Since 2006 he is appointed at Manchester Business School and also acts as an adivisor in the banking and financial sector. His current research interests focus on credit risk, financial stability, financial regulation, forecasting, behavioral finance and econometric theory. Editor of the Analytics of Risk Model Validation (Elsevier) and Associate Editor of the Journal of Risk Model Validation (Risk Journals).
Selected Research Publications
1. The Robustness of Simulation-Based Markovian Transition Probabilities for Ultra-Small Samples of Non-Performing Credit, 2009
2. Return Attribution Analysis of the UK Insurance Portfolios, Annals of Finance, forthcoming, 2009, jointly authored with E. Mamatzakis
3. Pricing and Momentum of Syndicated Credit in Europe, Omega: International Journal of Management Science, forthcoming, 2009, jointly authored with T. Olupeka
4. Labour Market Dynamics in Greek Regions: a Bayesian Markov Chain Approach using Proportions Data, forthcoming, Review of Economic Analysis, forthcoming, 2009, jointly authored with E. Mamatzakis
5. The Central Bank Inflation Bias in the Presence of Asymmetric Preferences and Non-normal Shocks, Economics Bulletin, Vol. 29 (3), 2009, jointly authored with D. Peel, Lancaster University Management School
6. Assessing the Prudence of Economic Forecasts in the EU, Journal of Applied Econometrics, Vol. 24 (4), pp. 583-606, jointly authored with E. Mamatzakis
7. Assessing the Accuracy of Credit Scoring R.O.C. Estimates in the Presence of Macroeconomic Shocks, Journal of Risk Model Validation, Vol. 2 (3), 2008, (jointly authored with S E Satchell, Cambridge)
8. Asymmetric Rotation of Risk Factors in a Global Portfolio, Journal of Risk Finance, 2008, Vol. 9 (4), pp. 391-403, single authored
9. The European Union GDP Forecast Rationality Under Asymmetric Preferences, 2008, Journal of Forecasting, Vol. 27, pp. 483-492, jointly authored with E. Mamatzakis, also Working Paper No 30, Bank of Greece, ttp://www.bankofgreece.gr/en/publications/papers.htm
10. Markovian Credit Transition Probabilities under Inequality Constraints: the US Portfolio 1984-2004, Journal of Credit Risk, Vol. 3, 3, pp. 25-39, 2007, single authored
11. Common Volatility and Correlation Clustering in Asset Returns, European Journal of Operational Research, (Elsevier), Vol. 182, pp. 1263–1284, 2007, single authored
12. The Evolution of Credit Risk Phenomena, Methods and Management, Bank of Greece Economic Bulletin, Vol. 28(2), pp. 85-95, 2007, single authored
13. The Validity of Credit Risk Rating Model Validation Methods, in Christodoulakis G. A. and S. E. Satchell (eds.), “The Analytics of Risk Model Validation”, Elsevier Butterworth Heinemann, London, 2007, jointly authored with S. E. Satchell
14. Generalized Rational Bias in Financial Forecasts, Annals of Finance, (Springer Verlag), Vol. 2, pp. 397-405, 2006, single authored
15. The Relationship between Expected Utility and Higher Moments for Distributions captured by the Gram-Charlier Class, Finance Research Letters, (Elsevier), Vol. 3 (4), pp. 273-276, 2006, jointly authored with David Peel
16. Financial Forecasts in the Presence of Asymmetric Loss Aversion, Skewness and Excess Kurtosis, Finance Research Letters, (Elsevier), Vol. 2(4), pp. 227-233, 2005, single authored
17. Forecast Evaluation in the Presence of Unobserved Volatility, Econometric Reviews, (Taylor & Francis), Vol. 23(3), pp 175-198, 2004, jointly authored with S E Satchell
18. Credit Risk Models of Merton (1974)-type and their Predictive Ability as Early Warning Systems, Bulletin of the Hellenic Banks Association, Vol. 38, pp. 51-59, Summer, 2004, single authored
19. Sharpe Style Analysis in the MSCI Countries and Sectors: A Monte Carlo Integration Approach, Operational Research, (Springer) Vol. 2(2), pp. 123-137, 2003, reprinted in Satchell E (ed.), Linear Factor Models in Finance, pp 87-98, Elsevier-Butterworth-Heinemann, 2004, London, with the permission of HELORS, single authored
20. Correlated ARCH (CorrARCH): Modeling the Time-Varying Conditional Correlation Between Financial Asset Returns, European Journal of Operational Research, (Elsevier), 2002, Vol. 139 (2), pp 351-370, jointly authored with S. E. Satchell
21. On the Evolution of Global Style Factors in the MSCI Universe of Assets (May 2001, with S E Satchell), International Transactions in Operational Research, (Blackwell), Vol. 9(5), pp 643-60, 2002, jointly authored with S. E. Satchell
22. Generating Composite Volatility Forecasts with Random Factor Betas, in Knight J and S E Satchell eds., Forecasting Volatility in the Financial Markets, pp 347-365, Elsevier Butterworth-Heinemann, 2nd edition, London, 2002, single authored
23. Short-Termism in Financial Markets, in J. Mitchie (ed.), Reader's Guide to the Social Sciences, Routledge Taylor & Francis, Chicago, March, Vol. 2, pp 1480-1481, 2001, single authored
24. The Simulation of Option Prices with Applications to LIFFE Options on Futures, European Journal of Operational Research,(Elsevier), Vol. 114(2), pp 249-262, 1999, jointly authored with S. E. Satchell
25. Hashing GARCH: a re-assessment of Volatility Forecasting Performance, in Knight J. and S. Satchell, eds, Forecasting Volatility in the Financial Markets, Elsevier Butterworth-Heinemann, 1st edition 1998 and 2nd edition 2002, pp 168-192, London, jointly authored with S. E. Satchell
Contact Information
http://www.mbs.ac.uk/research/academicdirectory/viewprofile.aspx?sid=7029203
Booth Street West, Manchester M15 6PB, United Kingdom
0044-161-3066402
