Grigorios Kontaxis

Grigorios Kontaxis was born on 17 December, 1989 in Athens. He holds a Bachelor’s degree in Informatics and Telecommunications from the National and Kapodistrian University of Athens and a Master’s in Mathematical Trading and Finance from Cass Business School. Furthermore, he is a Phd candidate at the National Technical University of Athens. Grigorios has worked as a Quantitative Analyst in Vienna at Erste Bank between 2014 and 2017. Moreover, he has been working in the finance sector in London since 2018. Today, he is a Quantitative Risk Manager at the London Stock Exchange. His main interests are investment risk, risk models and portfolio analysis.

Articles by Grigorios Kontaxis

Original research

Evaluation of backtesting on risk models based on data envelopment analysis

In this study, different value-at-risk models, which are used to measure market risk, are analyzed under different estimation approaches and backtested with an alternative strategy.

11 Feb 2022

Original research

Evaluation of backtesting techniques on risk models with different horizons

In this study different value-at-risk (VaR) models are analyzed under different estimation approaches (filtered historical simulation, extreme value theory and Monte Carlo simulation) and backtested with different techniques.

23 Nov 2021