Photo of Ba M. Chu

Ba M. Chu

Associate Professor

Degrees:B.A. (Hanoi), M.Sc., M.Phil., Ph.D. (London)
Phone:613-520-2600 x 1546
Office:B-857 Loeb

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

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

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

Refereed Publications in the Last 6 Years:

Most Significant Career Research Contributions:

“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.