here - COMISEF

Marianna Lyra
Schlangenzahl 43, 35392 Giessen Germany
E-mail: • Tel. + 49 15224221582 (mobile), + 49 641 99-22642
(office) • Homepage:
Personal information
Date of birth: July 26, 1983
Research interests
Current research interests: credit risk assignment and validation, modelling the dependence
structure of defaults, stochastic search methods and their application in financial problems.
Future research: use of optimization heuristics to tackle real world applications in finance. In
particular, risk modelling might be subject of further implementations without imposing
unrealistic assumptions on the underlying problem.
University employment and affiliation
since 2007
Early stage researcher in Computational Statistics and Finance, Dept. of
Economics, University of Giessen, Germany
PhD student in Computational Optimization Methods in Finance, Dept. of
Economics, University of Giessen, Germany
Programme of study focused on heuristic optimization methods in financial
problems with realistic assumptions, statistical methods in finance, model
selection. Courses and tutorials were taught by national and international
scholars (Prof. Dr. P. Winker, Prof. M. Gilli, Prof. J. Harrington, Prof. H-M.
PhD thesis: “Heuristic optimization techniques for credit risk assessment and
Expected submission: August 2010
MSc in Finance, University of Cyprus
MSc thesis: “Corporate governance in emerging markets: The case of
Undergraduate studies: Public and business administration (major in
Finance), University of Cyprus
Research grants
Sept. 2007 PhD research funded by the EU Commission through Marie Curie Research
Sept. 2010
and Training Network COMISEF
List of Publications
A. Articles
1. Lyra M., J.Paha, S.Paterlini, P.Winker (2010). Optimization Heuristics for
Determining Internal Rating Grading Scales. Journal of Computational Statistics
& Data Analysis 54(11), 2693–2706.
2. Winker, P., M. Lyra and C. Sharpe (2010). Least median of squares estimation by
optimization heuristics with an application to the CAPM and multi factor models.
Computational Management Science. DOI 10.1007/s10287-009-0103-x.
B. Edited Books
1. Di Tollo, G. and M. Lyra (2010). Elman nets for credit risk assessment. In:
Decision Theory and Choices: a Complexity Approach (M. Faggini and P. C.
Vinci, Eds.). Springer. Milan.
C. Working papers / Submitted or in preparation
1. Lyra, M., A. Onwunta and P. Winker (n.d.). Threshold accepting for credit risk
assessment and validations. COMISEF Working Paper Series.
2. Lyra M. Heuristic Strategies in Finance – An Overview.
Scientific affiliations and program committees
Member of the local organizing committee 2nd International Workshop on Computational
and Financial Econometrics (CFE'09), 29-31 October 2009, Limassol, Cyprus
Member of the local organizing committee 2nd International Workshop on Computational
and Financial Econometrics (CFE'08), 19-21 June 2008, Neuchâtel, Switzerland
A. Conferences
COMPSTAT 2010 conference, Paris, 22-27 August 2010
16th International Conference on Computing in Economics and Finance, City University
London, l5-17 July 2010
36th Macromodels International Conference, Krakow Poland, 2-5 December 2009
3rd International Workshop on Computational and Financial Econometrics, Limassol,
Cyprus, 29-31 October 2009
35th Macromodels International Conference, Gdansk Poland, 3-4 December 2008
5th International Conference in Computational Science, Imperial College London, 26-28
March 2008
2nd International Workshop on Computational and Financial Econometrics, Neuchatel,
Switzerland, 19-21 June 2007
PhD Courses and Tutorials
Course on The Political Economy of Intergenerational Transfers, Goettigen University,
Germany, summer semester 2010
Course on Presenting Science, HDM Center for Didactics Giessen, Germany, 11-12 January
Course on Monetary Policy and Theory, Giessen University, winter semester 09/10
Course on Industrial Organization, University of Giessen, winter semester 09/10
Workshop “Lectures on Cartels”, Prof. Joseph Harrington, University of Giessen, 20-21
January 2010
Tutorial on Statistical Model Selection, Limassol Cyprus, 26 – 28 October 2009
Course Econometric Analysis of Microdata, Giessen University, winter semester 08/09
Tutorial Convergence Analysis, Schloss Rauischholzhausen, Giessen, Germany, 15-19
October 2008
Tutorial on Complementary Skills and Optimization Methods, Klagenfurt, Austria 16-19
June 2008
Tutorial Advanced Econometrics, University La Sapienza, Rome, 12-14 June 2008
Tutorial Heuristics Optimization in Agent Based Models, University of Essex, UK, 22-23
May 2008
Course on Teaching Culturally Diverse Groups of Students-A reflection on Aglo-Saxon and
Asian academic teaching styles, HDM Center for Didactics, Marburg Germany, 5-6 March
Tutorial Quantitative Finance, Birkbeck College, University of London, 18 – 19 October
Tutorial Optimization Heuristics, Chesa Laret, Sils Maria, Switzerland, 24 – 26 September
Teaching Experience
Graduate level
Quantitative methods in finance exercises and labs (SPSS) – teaching assistant, MSc in
Finance, University of Cyprus (Sept. 2005 – June 2007).
Undergraduate level
Statistics I & II exercise classes, Faculty of Statistics and Econometrics, University of
Giessen (summer semester 09 – winter semester 09/10)
Mathematical modelling to students with special needs, Dept. of Business Administration,
University of Cyprus (Oct. 2006 – July 2007)
Student Supervision
Co-supervisor of Diploma Thesis at the Chair of Statistics and Econometrics of Uni. Giessen
with title: “Dependency in Credit Risk Model – Theory and Empirical Validation”
(Supervisor: Prof. Dr. Peter Winker), winter semester 09/10.
Supervisor of a seminar paper at the Chair of Statistics and Econometrics of Uni. Giessen
with title: “Macroeconomic factors that drive financial asset prices: The case of the Capital
Asset Pricing Model with Human Capital”, summer semester 09. The paper was presented as
part of a seminar on Econometrics of Education.
Business Experience
Feb 2006 JCC Payments Systems Ltd, Cyprus Internal Auditor and Payroll
Aug. 2007
July - Oct
NCR, Member of data entry team for the Laiki Signature Verification Project
June - Sept
ANDREAS GREGORIOU - Tax Consultant. Personal Assistant for a tax
consultant office
Personal skills and competences
A. Technical skills
Programming languages: Matlab (excellent), C++ (basic)
Mathematical-statistical software: Matlab, R, SPSS, EVIEWS (basic), and others
B. Language proficiency
Mother tongue: Greek
Other languages: English (Proficient User), German (Basic User)
Learning the German language, dancing, composing melodies and playing the piano
Voluntarily support the Cypriot emerging services when requested to do so, as supervisor of
Civil Defense
Further references
Prof. Dr. Peter Winker, Department of Economics, University of Giessen, Germany, and
Center for European Economic Research (ZEW), Mannheim, Germany
email: peter.winker(at)
Prof. Erricos J. Kontoghiorghes, Department of Public and Business Administration,
University of Cyprus
Andreas Gregoriou, Tax consultant, address: Arbishop Makarios III Avenue 42E, Apart. 301,
CY 1065, Nicosia Cyprus
Tel: + 357- 22768700