Portfolio Risk Managment

 Website of the laboratory

Partner:

Description of the laboratory:

The research carried out at the Christian Doppler Laboratory for Portfolio Risk Management (PRisMa Lab) combines academic, methodological research with a strong input from and interaction with its founding industry partner Bank Austria Creditanstalt (BA-CA) for the mutual benefit of both. The laboratory concentrates on integrated financial risk management, taking dependence structures, in particular portfolio effects, into account. It aims to develop and apply advanced mathematical tools in finance and risk management, originating from diverse areas like mathematical statistics, dependence modelling, stochastic analysis, functional analysis, theory of stochastic processes, risk theory, numerical analysis and simulation.

The initial research modules with Bank Austria Creditanstalt the are:

1. Measuring operational risk with methods from insurance mathematics,


2. Risk-adjusted value functionals and capital allocation,


3. Measures of risk and risk-based capital allocation,


4. Dependence modelling for pricing and risk management,


5. Modelling of fixed income markets,


6. Credit risk models and credit derivatives,


7. Numerical methods in finance,


8. Modelling of market risk with jump processes.
   

    

   
   

The research module with the Austrian Federal Financing Agency (ÖBFA) is:

1. Quantification of counterparty risk for exotic swaps.

Staff:

	Laboratory Director
	Prof.Dr. Uwe Schmock