Rama Cont is the Professor of Mathematical Finance at the

University of Oxford , mottoeng = The Lord is my light , established = , endowment = £6.1 billion (including colleges) (2019) , budget = £2.145 billion (2019–20) , chancellor ...

. He is known for contributions to

probability theory Probability theory is the branch of mathematics concerned with probability. Although there are several different probability interpretations, probability theory treats the concept in a rigorous mathematical manner by expressing it through a set o ...

, stochastic analysis and mathematical modelling in finance, in particular mathematical models of

systemic risk In finance, systemic risk is the risk of collapse of an entire financial system or entire market, as opposed to the risk associated with any one individual entity, group or component of a system, that can be contained therein without harming the ...

. He was awarded the

Louis Bachelier Prize The Louis Bachelier Prize is a biennial prize in applied mathematics jointly awarded by the London Mathematical Society, the Natixis Foundation for Quantitative Research and the Société de Mathématiques Appliquées et Industrielles (SMAI) in ...

by the

French Academy of Sciences The French Academy of Sciences (French: ''Académie des sciences'') is a learned society, founded in 1666 by Louis XIV of France, Louis XIV at the suggestion of Jean-Baptiste Colbert, to encourage and protect the spirit of French Scientific me ...

in 2010.

Biography

Born in

Tehran Tehran (; fa, تهران ) is the largest city in Tehran Province and the capital of Iran. With a population of around 9 million in the city and around 16 million in the larger metropolitan area of Greater Tehran, Tehran is the most popul ...

(

Iran Iran, officially the Islamic Republic of Iran, and also called Persia, is a country located in Western Asia. It is bordered by Iraq and Turkey to the west, by Azerbaijan and Armenia to the northwest, by the Caspian Sea and Turkmeni ...

), Cont obtained his undergraduate degree from Ecole Polytechnique (France), a master's degree in theoretical physics from Ecole Normale Superieure and a degree in Chinese Language from

Institut national des langues et civilisations orientales Institut national des langues et civilisations orientales ( en, National Institute for Oriental Languages and Civilizations), abbreviated as INALCO, is a French university specializing in the teaching of languages and cultures from the world. ...

. His doctoral thesis focused on the application of

Lévy process In probability theory, a Lévy process, named after the French mathematician Paul Lévy, is a stochastic process with independent, stationary increments: it represents the motion of a point whose successive displacements are random, in which disp ...

es in financial modelling.

Career and achievements

Cont started his career as a CNRS researcher in applied mathematics at Ecole Polytechnique (France) in 1998 and held academic positions at Ecole Polytechnique,

Columbia University Columbia University (also known as Columbia, and officially as Columbia University in the City of New York) is a private research university in New York City. Established in 1754 as King's College on the grounds of Trinity Church in Manhatt ...

and

Imperial College London Imperial College London (legally Imperial College of Science, Technology and Medicine) is a public research university in London, United Kingdom. Its history began with Prince Albert, consort of Queen Victoria, who developed his vision for a cu ...

. He was appointed 'Directeur de Recherche CNRS' (

CNRS The French National Centre for Scientific Research (french: link=no, Centre national de la recherche scientifique, CNRS) is the French state research organisation and is the largest fundamental science agency in Europe. In 2016, it employed 31,637 ...

Senior Research Scientist) in 2008 and was chair of mathematical finance at

from 2012 to 2018. He was elected Statutory Professor in Mathematical Finance at the Oxford Mathematical Institute and professorial fellow of

St Hugh's College, Oxford St Hugh's College is one of the constituent colleges of the University of Oxford. It is located on a site on St Margaret's Road, to the north of the city centre. It was founded in 1886 by Elizabeth Wordsworth as a women's college, and accepte ...

in 2018. Cont's research focuses on probability theory, stochastic analysis and mathematical modelling in finance. His mathematical work focuses on pathwise methods in stochastic analysis and the Functional Ito calculus. In quantitative finance he is known in particular for his work on models based on jump processes, the stochastic modelling of limit order books as queueing systems ,

machine learning Machine learning (ML) is a field of inquiry devoted to understanding and building methods that 'learn', that is, methods that leverage data to improve performance on some set of tasks. It is seen as a part of artificial intelligence. Machine ...

methods in finance and the mathematical modelling of

. Alt URL
/ref> He was editor in chief of the ''Encyclopedia of Quantitative Finance''. Cont has served as advisor to central banks and international organizations such as the

International Monetary Fund The International Monetary Fund (IMF) is a major financial agency of the United Nations, and an international financial institution, headquartered in Washington, D.C., consisting of 190 countries. Its stated mission is "working to foster globa ...

and the

Bank for International Settlements The Bank for International Settlements (BIS) is an international financial institution owned by central banks that "fosters international monetary and financial cooperation and serves as a bank for central banks". The BIS carries out its work thr ...

stress testing Stress testing (sometimes called torture testing) is a form of deliberately intense or thorough testing used to determine the stability of a given system, critical infrastructure or entity. It involves testing beyond normal operational capacity, ...

and

monitoring. His work on network models, financial stability and central clearing has influenced central banks and regulators . He has given numerous media interviews on issues related to systemic risk and financial regulation.

Scientific contributions

Systemic risk modeling

Work by Cont and his collaborators on mathematical modeling of systemic risk and financial stability, in particular on network models of financial contagion and the modeling of indirect contagion via 'fire sales', has influenced academic research and policy in this area.[John Fell, Francesco Mazzaferro, Richard Portes, Eric Schaanning (2020) Fallen angels and indirect contagion: Rationale for and lessons from a system-wide analysis, 11 September 2020 https://voxeu.org/article/fallen-angels-and-indirect-contagion]

Central clearing

Cont's research on central clearing in over-the-counter (OTC) markets has influenced risk management practices of central counterparty clearing, central counterparties and regulatory thinking on central clearing. Cont has argued that central clearing does not eliminate

counterparty risk A credit risk is risk of default on a debt that may arise from a borrower failing to make required payments. In the first resort, the risk is that of the lender and includes lost principal and interest, disruption to cash flows, and increased ...

but transforms it into

liquidity risk Liquidity risk is a financial risk that for a certain period of time a given financial asset, security or commodity cannot be traded quickly enough in the market without impacting the market price. Types Market liquidity – An asset cannot be so ...

, therefore risk management and stress testing of central counterparties should focus on

and liquidity resources, not capital.

Risk measurement and Model risk

Cont introduced a rigorous approach for the assessment of

model risk In finance, model risk is the risk of loss resulting from using insufficiently accurate models to make decisions, originally and frequently in the context of valuing financial securities. However, model risk is more and more prevalent in activitie ...

* which has been influential in the design of model risk management frameworks in financial institutions. Cont, Deguest and Scandolo introduced the concept of 'risk measurement procedure', an empirical counterpart of the notion of

risk measure In financial mathematics, a risk measure is used to determine the amount of an asset or set of assets (traditionally currency) to be kept in reserve. The purpose of this reserve is to make the risks taken by financial institutions, such as bank ...

, and defined a robust class of risk measurement procedures known as ' Range Value-at-risk' (RVaR), a robust alternative to Expected shortfall. Cont, Kotlicki and Valderrama define the concept of

Liquidity at risk The Liquidity-at-Risk (short: LaR) is a measure of the liquidity risk exposure of a financial portfolio. It may be defined as the net liquidity drain which can occur in the portfolio in a given risk scenario. If the Liquidity at Risk is greater ...

, as the amount of liquid assets needed by a financial institution to face liquidity outflows in this scenario.

Awards and honours

Cont was awarded the

by the

in 2010 for his work on mathematical modelling of financial markets. He was elected

Fellow A fellow is a concept whose exact meaning depends on context. In learned or professional societies, it refers to a privileged member who is specially elected in recognition of their work and achievements. Within the context of higher education ...

of the Society for Industrial and Applied Mathematics (SIAM) in 2017 for "contributions to stochastic analysis and mathematical finance". He received the Award for Excellence in Interdisciplinary Research (APEX) from the

Royal Society The Royal Society, formally The Royal Society of London for Improving Natural Knowledge, is a learned society and the United Kingdom's national academy of sciences. The society fulfils a number of roles: promoting science and its benefits, re ...

in 2017 for his research on mathematical modelling of systemic risk.

Publications

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References

External links

Professional Homepage
* * {{DEFAULTSORT:Cont, Rama 1972 births Living people People associated with the University of Oxford École Polytechnique alumni 21st-century Iranian mathematicians Applied mathematicians Probability theorists Fellows of St Hugh's College, Oxford Fellows of the Society for Industrial and Applied Mathematics Academics of the University of Oxford Statutory Professors of the University of Oxford Columbia University faculty