Photo of Ba M. Chu

Ba M. Chu

Associate Professor

Degrees: B.A. (Hanoi), M.Sc., M.Phil., Ph.D. (London)

Office: B-857 Loeb, 613-520-2600 x 1546

E-mail: ba [dot] chu [at] carleton [dot] ca

Web site: carleton.ca/~bchu

Languages spoken other than English: Vietnamese, Chinese (Mandarin)

Research fields: optimal asset allocation, risk management, dependence modelling, asymptotic theory

Expertise:
• estimating VaR using the large deviations approach
• copulas
• goodness-of-fit testing using L-moments
• order-based measures of non-linear dependence

Selected publications:

k-Nearest Neighbour Estimation of Inverse-Density-Weighted Expectations with Dependent Data” (with David T. Jacho-Chávez), Econometric Theory, forthcoming.

“Large Deviations Estimation of the Windfall and Shortfall Probabilities for Optimal Diversified Portfolios,” Annals of Finance, Vol. 8, No. 1 (February 2012), pp. 97–122.

“Limit Theorems for the Discount Sums of Moving Averages,” Journal of Time Series Analysis, Vol. 33, No. 1 (January 2012), pp. 1–12.

“Recovering Copulas from Limited Information and an Application to Asset Allocation,” Journal of Banking and Finance, Vol. 35, No. 7 (July 2011), pp. 1824–1842.