Technische Universität Wien

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 industry partners (BA-CA, AFFA) 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 research modules with the Bank Austria Creditanstalt 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. Pricing and hedging under transaction costs, 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 (AFFA) is: 9. Quantification of counterparty risk for exotic swaps.

Adresse	Wiedner Hauptstrasse 8 / 105-1 FAM 1040 Wien
Website	https://www.prismalab.at/
Organisationstyp	Christian Doppler Labor
Mitarbeiter in F&E	10
Branchen	Sozial-, Wirtschaftswissenschaften
Zusätzliche Keywords	Abhängigkeitsstrukturen / dependence structures, exotische Swapgeschäfte / exotic swaps, Kreditrisiko / credit risk, Kreditrisikoderivate / credit risk derivatives, Lévy-Prozesse / Lévy processes, Marktrisiko / market risk, Numerische Methoden der Finanzmathematik / numerical methods in finance, Operationelles Risiko / operational risk, Risikomaße / risk measures, Zinsstrukturmodelle / term structure models for interest rates, Zusammenfassung von Risiken / aggregation of risks, Zuteilung von Risikokapital / allocation of risk capital