Erik Thorsén

Stockholm University

Erik Thorsén earned his PhD in mathematical statistics from Stockholm University in 2022, with his award-winning thesis titled “Optimal Portfolios in the High-dimensional Setting”. He has published his research in various reputable journals and currently serves as a Data Scientist.

Articles by Erik Thorsén

Original research

Volatility-sensitive Bayesian estimation of portfolio value-at-risk and conditional value-at-risk

The authors put forward a new means to integrate volatility information in the estimation of value-at-risk and conditional value-at-risk which is shown to be effective in risk estimation during volatile market conditions.

04 Jul 2024