ABOUT ME
John Weirstrass Muteba Mwamba is an Associate Professor in Financial Economics, and Coordinator of the masters’ programme in Financial Economics at the University of Johannesburg, South Africa. Prof J.W. Muteba Mwamba holds a B.Sc. Honours degree in Mathematical Statistics and Computer Programming from D.R Congo (2002), a masters’ degree in Financial Economics (2009), and a Ph.D. degree in Financial Economics (2012) from the University of Johannesburg. Prof J.W. Muteba Mwamba also holds a certificate in Decision Sciences from the INSEAD Business School in Paris - France. His research interests lie in the areas of Portfolio Optimization, Risk Management, Financial Statistics, Statistical Machine Learning, and Decision Theory. He is currently lecturing courses in Statistics, Mathematics, Portfolio Theory, Machine Learning for Big Data, and Risk Management at both graduate and undergraduate levels. He has been an ad hoc reviewer for international journals such as European Journal of Finance, Applied Economics, Economic Modelling, Energy Economics, British Journal of Mathematics and Computer Sciences, etc. He is a current member of the South African Economic Society, and the Founder of the Analytics Research Group – a think tank in Quantitative Finance.
RESEARCH INTERESTS
EDUCATION
Econometric Modelling: making use of various statistical techniques to develop problem solving econometrics models for different applications.
2009 - 2012: PhD Economics (with specialization in Financial Economics)
University of Johannesburg
Risk Management: market, credit, operational, and liquidity risk modeling for capital requirement adequacy (Basel II, III) using extreme value distributions, copulas, Laplace transforms and fuzzy set theory
Statistical Machine Learning: Supervised learning with regression and classification for financial econometrics. Unsupervised Learning with clustering for portfolio selection
2011 - 2011
Visiting PhD Student in Decision Sciences
INSEAD - Paris
2007 - 2009: M.Com Financial Economics
University of Johannesburg
1996 - 2001: B.Sc Honours Mathematical Statistics and Computer Programming
Institut Superieur De Statistique
Financial Econometrics: linear, non-linear models, volatility models, time series models, categorical data models, panel data model using R packages.
Bayesian Statistics: Bayesian econometrics, and Bayesian portfolio optimization using Gibbs sampler with R packages.
Non-parametric Econometrics: univariate and multivariate kernel regression using R, Matlab, and Python
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Hedge Fund Investment: performance measurements of fund managers’ skill, and hedge fund investment strategies selection;