SFRA Training Course in Quantitative Methods - Course Leaders

The training course in Quantitative Methods for Enterprise Risk Management has been developed by expert academics at Heriot-Watt University.

Professor Andrew Cairns

Andrew Cairns is Professor of Financial Mathematics at Heriot-Watt University, Edinburgh. His research interests include financial risk management for pension plans and life insurers, including the development of a model for bond-price dynamics for use in the measurement and management of long-term interest-rate risks in pensions and life insurance. Andrew has also worked on the modelling of longevity risk: how this can be modelled, measured and priced, and how it can be transferred to the financial markets. Since 1996, he has been editor of the international actuarial journal ASTIN Bulletin - The Journal of the International Actuarial Association, and has been editor-in-chief of the publication since 2005. Andrew is the author of “Interest Rate Models: An Introduction", published by Princeton University Press in 2004. Andrew qualified as a Fellow of the Faculty of Actuaries in 1993. .

Professor Cairns will teach modules 1 and 3 of the Quantitative Methods course.

Link to Andrew Cairn's recent publications and Homepage.

Professor Alexander McNeil

Alexander McNeil is Maxwell Professor of Mathematics in the Department of Actuarial Mathematics and Statistics at Heriot-Watt University. He was formerly Assistant Professor in the Department of Mathematics at ETH Zurich. His research interests lie in the development of mathematical and statistical methodology for integrated financial risk management and include extreme value theory (EVT), risk theory, financial time series analysis and the modelling of correlated risks. He is joint author, together with Rüdiger Frey and Paul Embrechts, of the book, "Quantitative Risk Management: Concepts, Techniques and Tools", published by Princeton University Press in 2005. Alexander is an Honorary Fellow of the Faculty of Actuaries. .

Professor McNeil will teach modules 2 and 4 of the Quantitative Methods course.

Link to Alexander McNeil's publications and Homepage.

Dr Catherine Donnelly

Dr Catherine Donnelly teaches actuarial mathematics and finance at Heriot-Watt University. Her research interests lie in the quantification of risk, with a particular emphasis on applications in life insurance and pension schemes, and she has published her work in leading academic journals. Catherine has previously lectured at University of Waterloo, Canada, and at ETH Zurich, Switzerland. Before becoming an academic, Catherine worked in the pensions industry and is a Fellow of the Institute of Actuaries. .

Dr Donnelly will teach modules 5 and 6 of the Quantitative Methods course.

Link to Catherine Donnelly's publications and Homepage.