Dr Alexandra Dias

Associate Professor

Room 515, Level 5, Ken Edwards BuildingAlexandra Dias

Tel: +44 (0)116 252 5019

Email: alexandra.dias@le.ac.uk

Personal details

  • PhD in Mathematics Financial Risk Management from ETH Zurich
  • MSc in Actuarial Science and Financial Risk Management from the Universidade Técnica de Lisboa, Portugal
  • Licenciatura in Mathematics Actuarial Science from the Universidade Nova de Lisboa, Portugal

I joined the School in September 2011. Previously, I worked as a lecturer at Warwick Business School, as a credit analyst at Credit Suisse (Zurich) and as a research associate at RiskLab, ETH-Zurich.

I am an affiliate of the Finance Research and Industry Group.


Administrative responsibilities

  • Research Lead for the Finance Division
  • Work allocation of academic staff for the School of Business
  • Co-head of the Accounting and Finance Group from September 2014 to July 2016


You can access more publications on Google Scholar Citations.


Dias, A., 2016 (In Press, Accepted Manuscript), The economic value of controlling for large losses in portfolio selection, Journal of Banking and Finance, DOI: 10.1016/j.jbankfin.2016.04.016.

Dias, A., 2014, Semiparametric Estimation of Multi-Asset Portfolio Tail Risk, Journal of Banking and Finance, 49, 398-408, DOI: 10.1016/j.jbankfin.2014.05.033.

Dias, A., 2013, Market capitalization and Value-at-Risk, Journal of Banking and Finance, 37(12), 5248-5260, DOI: 10.1016/j.jbankfin.2013.04.015.

Dias, A. and P. Embrechts, 2010, Modeling exchange rate dependence dynamics at different time horizons, Journal of International Money and Finance, 29, 1687-1705.

Dias, A. and P. Embrechts, 2009, Testing for structural changes in exchange rates dependence beyond linear correlation, European Journal of Finance, 15(7), 619-637.

Dias, A. and P. Embrechts, 2004, Change-point analysis for dependence structures in finance and insurance. In: Risk Measures for the 21st Century, ed. Giorgio Szegoe, Wiley Finance Series, pp. 321-335.

Breymann, W., A. Dias and P. Embrechts, 2003, Dependence structures for multivariate high-frequency data in finance, Quantitative Finance, 3(1), 1-14.

Blum, P., A. Dias and P. Embrechts, 2002, The ART of dependence modelling: the latest advances in correlation analysis. In: Alternative Risk Strategies, ed. Morton Lane, Risk Books, London, pp. 339-356.


Dias, A., M. Salmon and C. Adcock (Eds.), 2013, Copulae and Multivariate Distributions in Finance, Routledge.


  • Quantitative financial risk modelling
  • Empirical finance
  • Portfolio selection
  • Modelling of extreme events in finance and insurance
  • Dependence modelling with copulas
  • Statistical methods for finance and insurance


  • Ning Guo (2005-2010) Thesis: Copula theory and applications (second supervisor)
  • Yuhan Zhang - Research area: Financial econometrics
  • Xinghua Xia - Research area: Financial risk management
  • Isaudin Ismail - Research area: Risk management in insurance

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Contact Details

School of Business
University of Leicester
University Road



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