Research Assistant in Finance

Applications are invited for the one-year fixed term post of Research Assistant in Finance at the Bradford University School of Management. The starting date is 1st October 2010.

You will provide research assistance to the project "Pension Plan Solvency and Extreme Market Movements: A Regime Switching Approach". You will work under the supervision of Mark Freeman, Professor of Finance and Head of the Accounting and Finance Group at the School of Management.

This project is being run in collaboration with Leeds University Business School. It is expected that you will work closely with Dr. Iain Clacher and Prof. David Hillier at Leeds as well as Prof. Freeman at Bradford. This project will also involve significant interaction with actuarial firms in the Leeds / Bradford conurbation and with the project’s practitioner advisor; Malcolm Kemp of Nematrian and the Institute of Actuaries.

The project is being sponsored by the Rotman International Centre for Pension Management at the University of Toronto (www.rotman.utoronto.ca/icpm). The contract may be extended conditional on successful further applications for external research funding.

Key duties and responsibilities include (i) To estimate multivariate regime-switching models for asset returns (ii) To work with actuarial firms to combine the regime-switching models of asset returns with existing stochastic pension fund liability models (iii) To write user-oriented VBA code to help practitioners estimate their funds’ solvency risk within this framework. (iv) To write the associated technical documentation (v) To assist in academic and practitioner-based dissemination activity (vi) To assist in writing further research funding applications. There may also be the requirement to undertake some teaching activity.

Candidates will ideally have, or be very close to receiving, a doctorate in finance, economics, actuarial science or a closely related subject. Some experience of working with pension fund problems is desirable. Your doctoral thesis should demonstrate particular strength in the area of applied econometrics with extensive experience of working with advanced econometric packages. Knowledge of at least one of (i) GAUSS (ii) VBA programming, (iii) estimating Markov regime switching models, is desirable.