Ahmad Farhat

Chatham Financial

Ahmad Farhat obtained his PhD in topology at the University of Wrocław and MSc degree in mathematics at the American University of Beirut. He is currently a member of the models team at Chatham Financial. His research interests include applied topology, set-theoretic and geometric topology, and quantitative finance.

Articles by Ahmad Farhat

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

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.

22 Aug 2017