Sharjah

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Profile

College / Department

College of Arts and Sciences
Department of Mathematics and Statistics

Teaching areas

Introduction to Statistics and Business Mathematics

Research areas

Extreme Value Analysis and Distribution Theory in analysing financial commodities data and cryptocurrency data, and Financial Risk models.

Education

PhD, University of Manchester, UK, 2015

Professional experience

University of Manchester 2015 - 2017
American University of Sharjah 2017 - Present

Memberships

Institute of Mathematical Statistics (IMS), The American Risk and Insurance Association (ARIA), and American Statistical Association (ASA).

Contact

schan@aus.edu
+971 6 515 4458

Dr. Stephen Chan

Assistant Professor
PhD in Financial Statistics, University of Manchester, UK

Stephen Chan was awarded the EPSRC Doctoral Prize Fellowship in 2016 at the University of Manchester, UK. His research areas includes extreme value analysis and distribution theory in analyzing financial commodities data and cryptocurrency data. He co-developed and co-wrote an R package, entitled “VaRES”, for computing value at risk and expected shortfall. He is a co-author of the book Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications.

Publications

Chan, S, Chu, J, Nadarajah, S and Osterrieder, J. A Statistical Analysis of Cryptocurrencies. Journal of Risk and Financial Management (2017), 10 (2) 12.
J Shao, AA Pantelous, BM Ayyub, S Chan, and S Nadarajah. Nuclear Catastrophe Risk Bonds in a Markov-Dependent Environment. ASCE-ASME Journal of Risk and Uncertainty in Engineering Systems, Part A: Civil Engineering, 3 (4) 04017018.
Chan, S, Nadarajah, S, and Afuecheta, E.An R package for value at risk and expected shortfall. Communications in Statistics, (2016), Taylor and Francis, 45 (9), 3416-3434.
Nadarajah, S, Chan, S, and Afuecheta, E. Tabulations for value at risk and expected shortfall. Communications in Statistics, (2016), Taylor & Francis, 46 (12), 5956-5984.
Nadarajah, S, Chan, S, and Afuecheta, E.On the distribution of some ordered variables. Communications in Statistics, (2016), Taylor & Francis, 45 (7), 2137-2142.
Chu, J, Nadarajah, S, and Chan, S. Statistical analysis of the exchange rate of Bitcoin. PLoS one, (2015), 10 (7), e0133678.
Afuecheta, E, Nadarajah, S and Chan, S. A note on “Modelling exchange rate returns: which flexible distribution to use?”. Quantitative Finance, (2015), Taylor and Francis, 15 (11) 1777-1785.
Chan, S, and Nadarajah, S. Extreme value analysis of electricity demand in the UK. Applied Economics Letters, (2015), Taylor and Francis, 22 (15), 1246-1251.
Afuecheta, E, Nadarajah, S, and Chan, S. GARCH modelling for five popular commodities. Empirical Economics, (2015), Springer, 48 (4), 1691-1712.
Nadarajah, S, Zhang, B, and Chan, S."Estimation methods for expected shortfall" Quantitative Finance (2014), 14 (2) 271-291.

Awards and Honors

EPSRC Doctoral Prize Fellow Research Grant (PI), GBP £60,000, University of Manchester, 2015-2
Institute of Mathematical Statistics (IMS) Travel Award $2000 grant, August 2017.

Other creative/research

Guest Editor Special Issue "Extreme Values and Financial Risk", Journal of Risk and Financial Management.
Software Packages: Nadarajah, S, Chan, S (2017). R package “Risk”, Computes 26 Financial Risk Measures for Any Continuous Distribution. R package version 1.0.
Software Packages: Nadarajah, S, Chan, S, and Afuecheta, E (2013). R package “VaRES”,Computes value at risk and expected shortfall for over 100 parametric distributions. R package version 1.0.
Published Book Chapter: Chan, S, and Nadarajah, S. Estimation methods for value at risk. Chapter 12 of Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications (edited by F. Longin), pp. 283-356. John Wiley and Sons, Chichester. (2016)

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