QRSLab: Quantitative Risk
Solutions Lab
The QRSLab
is a new research laboratory in the Department of Mathematics and
Statistics at the University of NSW. The agenda of this laboratory is
to produce innovative and cutting edge statistical solutions to
modelling in applied financial risk; hedge fund models and risk; time
series model; traditional - market, credit and operational
risk; and insurance statistical modelling. This laboratory is
specifically interested in modelling applied numerical and
methodological
financial risk problems of
signficance in the financial industry - as such it aims to develop
strategic partnership of a research nature with industry.
If you are interested in the QRSLab - contact
me
Some of the QRSLab areas
of interest:
- Model risk and
insurance in Basel II
- Computations with
copula models in finance
and model risk (eg. Operational Risk, Insurance settings).
- Computations
with meta distributions for risk
modelling and associated model risk analysis
- Risk sensitivity and
stress testing
frameworks under Basel II and Solvency II – properties, algorithms,
methodology, impact on capital calculation and allocation.
- Dynamic latent
factor models and copula for
Operational Risk
- Cointegration
models, estimation, prediction
and model risk.
- Risk metrics and
analysis for the hedge fund
and private equity sectors.
- Alpha stable heavy
tailed models for
financial risk
- Claims reserving
models for insurance -
models and methodology
- Project risk and pricing for mining /
agriculture – via multifactor sde commodity models – online calibration
and estimation via Sequential Monte Carlo and Adaptive MCMC.
- Tracking VaR and
other risk measures
dynamically through non-linear filtering techniques.
- Rare-Event modelling and simulation
methodology.