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Scholarly Interest Report
         
Kamal Hamidieh
Instructor
Pfeiffer/VIGRE Instructor of Statistics
 
e-mail:Kamal.Hamidieh@rice.edu
 
  • Ph.D. Statistics (2008) University of Michigan, Ann Arbor, MI
  • B.S. Electrical Engineering (1995) University of Texas, Austin, TX
 
Primary Department
   Department of Statistics
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Websites
 Dr. Hamidieh's Webpage
 
Research Areas
 Applied Interest - Developing Estimation Techniques and Software for the Analysis of Extremes and Their Clustering and Dependence. Theoretical Interest - Exploring and Modeling the Statistical Behavior of the Extremes, Times Between Extremes and Their Clustering With a Goal of Better Characterizing Rare Events Leading to Large Values. Additional Interests - Heavy Tails, High Frequency Data Analysis, Volatility Models, Point Process Stochastic Modeling, Time Series Analysis, Copula Modeling, and Applications of Statistics in Risk Management, Finance, Economics, and Weather.
 
Selected Publications
 Refereed articles
 

Balta, E., Menendez, S.C., Embrechts, P., Ergashev, B., Hamidieh, K., Kiefer, N., Swenson, K. "Mapping Out the Challenges: Operational Risk - Modeling the Extreme." National Institute of Statistical Sciences Report (Feb 2009) Submitted

 
 Articles
 

Hamidieh, K. "Estimating the Marginal Distribution of Excess Values over a Large Threshold in Dependent Data." Submitted

 
 

Hamidieh, K. "Recovering the Tail Shape Parameter of the Risk Neutral Density from Option Prices." Submitted

 
 

Hamidieh, K., Ensor, K. "A Simple Method for Time Scaling Value-at-Risk: Let the Data Speak for Themselves." Journal of Risk Management in Financial InstitutionsSubmitted

 
 

Hamidieh, K., Stoev, S. Michailidis, G. "Risk Measures for Extreme Clustered Losses." Submitted

 
 

Hamidieh, K., Stoev, S., Michailidis, G. "Intensity Based Estimation of Extreme Loss Event Probability and Value-at-Risk." Submitted

 
 

Kam Hamideh, Stilian Stoev, and George Michailidis "On the Estimation of the Extremal Index Based on Scaling and Resampling.." Journal of Computational and Graphical Statistics, 18(3) (2008)

 
 

Kam Hamideh, Stilian Stoev, and George Michailidis "Incorporating Clustering of Large Losses into Risk Measures." In Press

 
 

Kam Hamideh, Stilian Stoev, and George Michailidis "Intensity Based Estimation of Value-at-Risk."  (2009) In Press

 
 Book reviews
 

Hamidieh, K. "Synthetic CDOs: Modeling Valuation, and Risk Management." Journal of Applied StatisticsSubmitted

 
Presentations
 Invited Talks
 

"Intensity Based Estimation of Extreme Loss Event Probability and Value-at-Risk." Economics Department, Rice University, Houston, TX. (March 2010)

 
 

"Recovering the Tail Shape Parameter of the Risk Neutral Density from Option Prices." JSM Joint Statistical Meeting, Vancouver, Canada. (August 2011)

 
 

"Recovering the Tail Shape Parameter of the Risk Neutral Density from Option Prices." National Institute of Standards and Technology (NIST), Joint Research Conference on Statistics in Quality, Industry, and Technology, Gaithersburg, MD. (May 2010)

 
 

Speaker.  "Recovering the Tail Shape Parameter of the Risk Neutral Density from Option Prices." Department of Statistics, Rice University, Houston, TX. (November 8, 2010)

 
 

"Recovering the Tail  Shape Parameter of the Risk Neutral Density from Option Prices." Department of Statistics, University of California, Riverside, CA. (November 2010)

 
 Other
 

"Intensity Based Estimation of Extreme Loss Event Probability and Value-at-Risk." JSM Joint Statistical Meetings, Vancouver, Canada. (August 2010)