Objective
Research objectives and content
The objective of the project is to build analytical tools to price securities subject to credit / default risk. Credit risk is particularly important for financial products issued by firms or governments in emerging capital markets. Most pricing models so far have been built, in default-free frameworks and are biased when the possibility of default is introduced: theoretical prices do not match observed prices. The project will start with a review of the current state-of-the-art and will then try to design analytically tractable models able to value financial instruments properly and to replicate the prices and behaviour of securities traded in financial markets. The project will aim at practical applicability of the formulae while being theoretically consistent.
Training content (objective, benefit and expected impact)
The project will have a high training content as it includes the writing of a PhD thesis in Economics. The course requires attendance to regular seminars, yearly presentations of advancement in research, and it enables students to follow some chosen lectures in any relevant field. Links with industry / industrial relevance (22)
The project is very relevant to the banking industry and also to supranational institutions such as the EBRD or the EIB which invest in emerging financial markets. These institutions need tools to value securities with substantial default risk to manage their portfolios.
Fields of science (EuroSciVoc)
CORDIS classifies projects with EuroSciVoc, a multilingual taxonomy of fields of science, through a semi-automatic process based on NLP techniques. See: The European Science Vocabulary.
CORDIS classifies projects with EuroSciVoc, a multilingual taxonomy of fields of science, through a semi-automatic process based on NLP techniques. See: The European Science Vocabulary.
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Programme(s)
Multi-annual funding programmes that define the EU’s priorities for research and innovation.
Multi-annual funding programmes that define the EU’s priorities for research and innovation.
Topic(s)
Calls for proposals are divided into topics. A topic defines a specific subject or area for which applicants can submit proposals. The description of a topic comprises its specific scope and the expected impact of the funded project.
Calls for proposals are divided into topics. A topic defines a specific subject or area for which applicants can submit proposals. The description of a topic comprises its specific scope and the expected impact of the funded project.
Call for proposal
Procedure for inviting applicants to submit project proposals, with the aim of receiving EU funding.
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Procedure for inviting applicants to submit project proposals, with the aim of receiving EU funding.
Funding Scheme
Funding scheme (or “Type of Action”) inside a programme with common features. It specifies: the scope of what is funded; the reimbursement rate; specific evaluation criteria to qualify for funding; and the use of simplified forms of costs like lump sums.
Funding scheme (or “Type of Action”) inside a programme with common features. It specifies: the scope of what is funded; the reimbursement rate; specific evaluation criteria to qualify for funding; and the use of simplified forms of costs like lump sums.
Coordinator
1348 LOUVAIN-LA-NEUVE
Belgium
The total costs incurred by this organisation to participate in the project, including direct and indirect costs. This amount is a subset of the overall project budget.