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Applied mathematics for risk measures in finance and insurance, in the wake of the crisis

Objective

The EID WAKEUPCALL has been set up with the knowledge that, in the WAKE of the financial crisis, a reconsideration of fundamental assumptions that have been standard in the mathematical models for the valuation of financial and insurance products, like CALLs is taking place. The crisis alerted to reiterate models, assumptions and computations. It is now better understood that the usual paradigm, in which financial risks can be mitigated, spread, or even hedged away perfectly, is too simplistic for markets under stressed conditions. Lead by the Basel Committee on Banking Supervision, financial and insurance institutions are currently implementing new paradigms regarding risk management. Many of the updates in the risk measures involve sophisticated mathematics. In this sense, the crisis has provided important feedback on appropriate directions for the required mathematical improvements. As regards to hedging and risk mitigation, which are important steps in the risk management chain, nowadays even the hedging of basic financial instruments has become a complicated task. More sophisticated models are needed if hedging programs are to remain effective under financial stress.
We wish to bring together academic researchers in financial mathematics and high level professionals in financial and insurance industries, discuss and interact by means of early-stage researchers (ESRs). We are interested in the mathematical models, as well as in advanced solution techniques used for pricing and risk measurement. We wish to educate young experts in modern risk measures and management. Advanced courses by academic and professional lecturers will be selected for the education of the ESRs. We will additionally work on providing entrepeneurial skills to ESRs as they will have a unique knowledge of applied mathematics on practically relevant research questions in computational finance. All ESRs will produce software, according to latest standards in high performance computing.

Field of science

  • /natural sciences/mathematics/applied mathematics
  • /natural sciences/mathematics/applied mathematics/mathematical model
  • /social sciences/sociology/governance/crisis management
  • /social sciences/economics and business/economics/macroeconomics
  • /natural sciences/mathematics

Call for proposal

H2020-MSCA-ITN-2014
See other projects for this call

Funding Scheme

MSCA-ITN-EID - European Industrial Doctorates

Coordinator

STICHTING NEDERLANDSE WETENSCHAPPELIJK ONDERZOEK INSTITUTEN
Address
Winthontlaan 2
3526 KV Utrecht
Netherlands
Activity type
Research Organisations
EU contribution
€ 510 748,56

Participants (9)

BANCO SANTANDER SA
Spain
EU contribution
€ 0
Address
Paseo De Pereda 9 Al 12
39004 Cantabria
Activity type
Private for-profit entities (excluding Higher or Secondary Education Establishments)
VORTECH BV
Netherlands
EU contribution
€ 0
Address
Westlandseweg 40 D
2624 AD Delft
Activity type
Private for-profit entities (excluding Higher or Secondary Education Establishments)
ALMA MATER STUDIORUM - UNIVERSITA DI BOLOGNA
Italy
EU contribution
€ 516 122,64
Address
Via Zamboni 33
40126 Bologna
Activity type
Higher or Secondary Education Establishments
UNIVERSIDADE DA CORUNA
Spain
EU contribution
€ 495 745,92
Address
Calle De La Maestranza 9
15001 La Coruna
Activity type
Higher or Secondary Education Establishments
ANALISTAS FINANCIEROS INTERNACIONALES SA
Spain
EU contribution
€ 0
Address
C/ Marques De Villamejor 5
28006 Madrid
Activity type
Private for-profit entities (excluding Higher or Secondary Education Establishments)
ERNST & YOUNG ACCOUNTANTS LLP
United Kingdom
EU contribution
€ 0
Address
6 More London Place
SE1 2DA London
Activity type
Private for-profit entities (excluding Higher or Secondary Education Establishments)
TECHNISCHE UNIVERSITEIT DELFT
Netherlands
EU contribution
€ 0
Address
Stevinweg 1
2628 CN Delft
Activity type
Higher or Secondary Education Establishments
NIER INGEGNERIA SPA
Italy
EU contribution
€ 0
Address
Via Clodoveo Bonazzi 2
40013 Castel Maggiore (Bo)
Activity type
Private for-profit entities (excluding Higher or Secondary Education Establishments)
UNIPOL GRUPPO FINANZIARIO SPA
Italy
EU contribution
€ 0
Address
Via Stalingrado 45
40128 Bologna
Activity type
Private for-profit entities (excluding Higher or Secondary Education Establishments)

Partners (1)

ACE Venture Lab
Netherlands
Address

Amsterdam
Activity type
Private for-profit entities (excluding Higher or Secondary Education Establishments)