Much of the research I carry out requires the use of investment models. As such, I have built a range of models in the past for various purposes. These include return-based multivariate models built around copulas and cash flow-based models that model the income received from a range of asset classes as well as the capital gains they produce.
At the moment, I am working on a long-term government and corporate bond model which underlies my research into defined benefit and defined contribution pension schemes.
I also produced a number of research papers when working in the investment industry on issues such as quantitative easing and its impact on bond markets, corporate bond spreads and other asset-related issues.