Ba M. Chu

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

Assistant Professor (Economics)

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

E-mail: ba_chu [at] carleton [dot] ca

Web site: http://www.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.

Short biography:

Ba Chu received his B.A. (in English literature) from Hanoi University and his M.Sc. and Ph.D. (in financial economics) from the University of London. Before coming to Canada, he worked as a post-doctoral fellow in the Cass Business School in London and as a post-doctoral fellow at the Warwick Business School under the sponsorship of Skandia Investment. His research program addresses various econometric issues arising in the construction, estimation, and assessment of statistical models for financial risk measurement, including (i) allocation and portfolio management, (ii) predicting and forecasting financial-asset and commodity prices and returns, (iii) modelling interrelated market movements, and (iv) risk preference analysis.