Dr. Rand Low is a UQBS Honorary Fellow, and is a Vice-President at Blackrock, Inc.
Rand has published several articles peer-reviewed academic journals in the areas of portfolio optimization, trading strategies, risk management and Value-at-Risk modelling. He is also the recipient of $500k of research grants & scholarship funding from government & university foundations. Rand has also received an Australia Award - Endeavour Fellowship and pursued his postdoctoral research at New York University - Stern School of Business. Working in Wall St, Rand has worked in the quantitative finance pertaining to mortgage and asset backed securitizations, economic capital for equity investments, regulatory capital for credit portfolios, and operational risk capital.
The authors analyze the impact of different values of the VBS and sample size applied as inputs in a BV–VPIN model based on the US market in order to ascertain the optimal criteria for application across all other countries in our data set.
Monitoring transmission of systemic risk: application of partial least squares structural equation modeling in financial stress testing
This paper illustrates how the transmission of systemic risk from shadow banking to the regulated banking sector can be modeled using partial least squares structural equation modeling in an effort to help regulators better monitor and manage contagion.