Postdoctoral fellowship on extreme risk analysis in Rennes

*Two-year postdoctoral position **at ENSAI*

A postdoctoral position in statistics is available as part of the AXA
Research Fund Flash Call COVID-19 grant “Tail risk management and
mitigation using innovative extreme value techniques”. The postdoctoral
fellow will be based at ENSAI and the CREST lab in Rennes, France, and will
be supervised by Gilles Stupfler.

*Project description:* The goal of this project is to work on the inference
and prediction of risk in the context of strongly disruptive events, such
as the current twin shocks of the COVID-19 pandemic and the oil price
crash, but also climate change and related extreme climate episodes. The
project will follow two strands of work:

1.

Carrying out inference on non-stationary extremes, with a view on
modelling the economic and financial consequences of the global spread of
COVID-19 given auxiliary geographical, sanitary and climate information, by
developing a general methodology using various risk metrics, including
recently introduced expectile- and extremile-based risk measures.

2.

Harnessing the wealth of functional data at our disposal to construct
nonparametric estimators for extreme regression risk measures with
functional covariates, with a view on analysing and predicting the
aftermath of the COVID-19 pandemic.

*Qualifications:* The candidate should hold a PhD degree in probability or
statistics and have an emerging track record of high-quality publications
and data analysis. It is expected that the candidate will have expertise in
either extreme value analysis and/or high-dimensional data analysis.
Substantial experience of Matlab, R, Python and/or C++ is necessary.

*Duration, salary and benefits:* The position is due to start on 1st
October 2020 for a maximal duration of 24 months. Monthly net salary is
approximately €2,000 (gross salary in the region of €3,700). Substantial
funding is available for equipment, travel and expenses.

*Application procedure:* Please provide a full academic CV and a cover
letter, in which you will in particular mention whether you are legally
able to work in France. Applications will be reviewed as they are received.
We especially welcome and encourage applications from women, people part of
ethnic/religious minorities, people with disabilities, and LGBT colleagues.

Applications and enquiries should be made by email at *gilles.stupfler@ensai.fr*.

*This position is open until filled. Early application is strongly
encouraged.*