T. Ryan Deering

Chatham Financial

Ryan is a member of the Chatham Financial Quant team focusing on derivatives pricing, risk analytics, and FAS 157 credit risk modeling. Prior to joining Chatham, Ryan received his PhD in Mathematics from Duke University in Durham, North Carolina. His dissertation focused on signal processing with applications to speech recognition. He also holds BS and MA degrees in Mathematics from Duke University.

Articles by T. Ryan Deering

Original research

A vine copula–GARCH approach to corporate exposure management

This paper applies vine copulas with GARCH marginals to the problem of capturing asset dependence and tail dynamics for currency and commodity exposures commonly found in portfolios of global corporates.

05 Dec 2017

Original research

A vine copula–GARCH approach to corporate exposure management

22 Aug 2017

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