I am co-Director of the Consortium For Data Analytics In Risk (CDAR), which was launched in 2015 with a generous grant from State Street. CDAR performs and disseminates research on the most important and pressing issues concerning financial markets and risk management. The Consortium supports a collaborative yet intellectually and geographically diverse group of researchers, and we aspire to integrate best practices from academia and industry.
CDAR research pages discuss the identification of financial risk factors via convex optimization, interest rates implied by futures markets, risk due to leverage, drawdown risk, counterparty risk and streak shooting in basketball. More research can be found on my SSRN page.