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Personal information Date of birth: July 26, 1983 Nationality: Cypriot Research interests


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Marianna Lyra

Schlangenzahl 43, 35392 Giessen Germany

E-mail: marianna_lyra@yahoo.com • Tel. + 49 15224221582 (mobile), + 49 641 99-22642 (office) • Homepage: www.comisef.eu

Personal information

Date of birth: July 26, 1983

Nationality: Cypriot
Research interests

Current research interests: credit risk assignment and validation, modelling the dependence structure of defaults, stochastic search methods and their application in financial problems. Future research: use of optimization heuristics to tackle real world applications in finance. In particular, risk modelling might be subject of further implementations without imposing unrealistic assumptions on the underlying problem.


University employment and affiliation

since 2007 Early stage researcher in Computational Statistics and Finance, Dept. of Economics, University of Giessen, Germany



Education

2007-now PhD student in Computational Optimization Methods in Finance, Dept. of

Economics, University of Giessen, Germany

Programme of study focused on heuristic optimization methods in financial problems with realistic assumptions, statistical methods in finance, model selection. Courses and tutorials were taught by national and international scholars (Prof. Dr. P. Winker, Prof. M. Gilli, Prof. J. Harrington, Prof. H-M. Krolzig)

PhD thesis: “Heuristic optimization techniques for credit risk assessment and validation”

Expected submission: August 2010

2005-2007 MSc in Finance, University of Cyprus

MSc thesis: “Corporate governance in emerging markets: The case of Cyprus”

2001-2005 Undergraduate studies: Public and business administration (major in Finance), University of Cyprus
Research grants

Sept. 2007 - PhD research funded by the EU Commission through Marie Curie Research

Sept. 2010 and Training Network COMISEF
List of Publications


  1. Articles

    1. Lyra M., J.Paha, S.Paterlini, P.Winker (2010). Optimization Heuristics for Determining Internal Rating Grading Scales. Journal of Computational Statistics & Data Analysis 54(11), 2693–2706.

    2. Winker, P., M. Lyra and C. Sharpe (2010). Least median of squares estimation by optimization heuristics with an application to the CAPM and multi factor models. Computational Management Science. DOI 10.1007/s10287-009-0103-x.




  1. Edited Books

    1. Di Tollo, G. and M. Lyra (2010). Elman nets for credit risk assessment. In: Decision Theory and Choices: a Complexity Approach (M. Faggini and P. C. Vinci, Eds.). Springer. Milan.




  1. Working papers / Submitted or in preparation

    1. Lyra, M., A. Onwunta and P. Winker (n.d.). Threshold accepting for credit risk assessment and validations. COMISEF Working Paper Series.

    2. Lyra M. Heuristic Strategies in Finance – An Overview.


Scientific affiliations and program committees

Member of the local organizing committee 2nd International Workshop on Computational

and Financial Econometrics (CFE'09), 29-31 October 2009, Limassol, Cyprus
Member of the local organizing committee 2nd International Workshop on Computational

and Financial Econometrics (CFE'08), 19-21 June 2008, Neuchâtel, Switzerland


Talks

  1. Conferences

COMPSTAT 2010 conference, Paris, 22-27 August 2010


16th International Conference on Computing in Economics and Finance, City University London, l5-17 July 2010
36th Macromodels International Conference, Krakow Poland, 2-5 December 2009
3rd International Workshop on Computational and Financial Econometrics, Limassol, Cyprus, 29-31 October 2009
35th Macromodels International Conference, Gdansk Poland, 3-4 December 2008
5th International Conference in Computational Science, Imperial College London, 26-28 March 2008
2nd International Workshop on Computational and Financial Econometrics, Neuchatel, Switzerland, 19-21 June 2007
PhD Courses and Tutorials

Course on The Political Economy of Intergenerational Transfers, Goettigen University, Germany, summer semester 2010


Course on Presenting Science, HDM Center for Didactics Giessen, Germany, 11-12 January 2010
Course on Monetary Policy and Theory, Giessen University, winter semester 09/10
Course on Industrial Organization, University of Giessen, winter semester 09/10
Workshop “Lectures on Cartels”, Prof. Joseph Harrington, University of Giessen, 20-21 January 2010
Tutorial on Statistical Model Selection, Limassol Cyprus, 26 – 28 October 2009
Course Econometric Analysis of Microdata, Giessen University, winter semester 08/09
Tutorial Convergence Analysis, Schloss Rauischholzhausen, Giessen, Germany, 15-19 October 2008
Tutorial on Complementary Skills and Optimization Methods, Klagenfurt, Austria 16-19 June 2008
Tutorial Advanced Econometrics, University La Sapienza, Rome, 12-14 June 2008
Tutorial Heuristics Optimization in Agent Based Models, University of Essex, UK, 22-23 May 2008
Course on Teaching Culturally Diverse Groups of Students-A reflection on Aglo-Saxon and Asian academic teaching styles, HDM Center for Didactics, Marburg Germany, 5-6 March 2008
Tutorial Quantitative Finance, Birkbeck College, University of London, 18 – 19 October 2007
Tutorial Optimization Heuristics, Chesa Laret, Sils Maria, Switzerland, 24 – 26 September 2007
Teaching Experience

Graduate level

Quantitative methods in finance exercises and labs (SPSS) – teaching assistant, MSc in Finance, University of Cyprus (Sept. 2005 – June 2007).


Undergraduate level

Statistics I & II exercise classes, Faculty of Statistics and Econometrics, University of Giessen (summer semester 09 – winter semester 09/10)


Mathematical modelling to students with special needs, Dept. of Business Administration, University of Cyprus (Oct. 2006 – July 2007)
Student Supervision

Co-supervisor of Diploma Thesis at the Chair of Statistics and Econometrics of Uni. Giessen with title: “Dependency in Credit Risk Model – Theory and Empirical Validation” (Supervisor: Prof. Dr. Peter Winker), winter semester 09/10.


Supervisor of a seminar paper at the Chair of Statistics and Econometrics of Uni. Giessen with title: “Macroeconomic factors that drive financial asset prices: The case of the Capital Asset Pricing Model with Human Capital”, summer semester 09. The paper was presented as part of a seminar on Econometrics of Education.

Business Experience

Feb 2006 - JCC Payments Systems Ltd, Cyprus Internal Auditor and Payroll

Aug. 2007 responsibilities


July - Oct NCR, Member of data entry team for the Laiki Signature Verification Project

2005
June - Sept ANDREAS GREGORIOU - Tax Consultant. Personal Assistant for a tax

2004 consultant office
Personal skills and competences
A. Technical skills

Programming languages: Matlab (excellent), C++ (basic)

Mathematical-statistical software: Matlab, R, SPSS, EVIEWS (basic), and others
B. Language proficiency

Mother tongue: Greek



Other languages: English (Proficient User), German (Basic User)

Hobbies

Learning the German language, dancing, composing melodies and playing the piano

Voluntarily support the Cypriot emerging services when requested to do so, as supervisor of

Civil Defense



Further references

Prof. Dr. Peter Winker, Department of Economics, University of Giessen, Germany, and Center for European Economic Research (ZEW), Mannheim, Germany

email: peter.winker(at)wirtschaft.uni-giessen.de

webpage: http://wiwi.uni-giessen.de/home/oekonometrie

Prof. Erricos J. Kontoghiorghes, Department of Public and Business Administration, University of Cyprus

email: erricos@dcs.bbk.ac.uk

webpage: http://www.new.ucy.ac.cy/el-GR/~erricos.aspx

Andreas Gregoriou, Tax consultant, address: Arbishop Makarios III Avenue 42E, Apart. 301, CY 1065, Nicosia Cyprus

Tel: + 357- 22768700



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