Hierarchical and Adaptive Methods for Efficient Risk Estimation

用于高效风险评估的分层和自适应方法

• 批准号: 2278936
• 金额: --
• 依托单位: University of Edinburgh
• 依托单位国家: 英国
• 项目类别: Studentship
• 财政年份: 2019
• 资助国家: 英国
• 起止时间: 2019 至 无数据
• 项目状态: 已结题
• 来源: https://gtr.ukri.org/projects?ref=studentship-2278936
• 关键词: Hierarchical; Adaptive; Methods; Efficient; Risk

This project aims to expand upon existing adaptive schemes to efficiently compute important measures of risk with applications to finance. In particular, we aim to apply these methods to the Credit Value Adjustment (CVA) Capital Charge - which requires banks to reserve money to protect against losses resulting from a party who is owe money to the bank defaulting and not repaying money owed. The CVA charge is a key component in the Basel III accord which aims to mitigate the risks which played a key role in the 2008 financial crash. The nature of the explicit formula for the CVA charge and the variety of variables influencing the charge render standard computational methods infeasible. Banks often resort to using cheap, inaccurate approximations instead. It is our goal to improve upon the complexity of accurate computational methods to provide an efficient, accurate alternative to these cheap approximations. We also plan to expand the research for use in other (so-called xVA) financial risk-measures. It is also our goal to generalize the same approach to incorporate various financial contracts with computationally difficult structure.

该项目旨在扩展现有的自适应方案，以有效地计算金融应用中的重要风险措施。特别是，我们的目标是将这些方法应用于信贷价值调整（CVA）资本费用-这要求银行储备资金，以防止因欠银行款项的一方违约而不偿还欠款而造成的损失。CVA收费是巴塞尔III雅阁的关键组成部分，该协议旨在减轻在2008年金融危机中发挥关键作用的风险。CVA收费的明确公式的性质和各种变量影响收费呈现标准的计算方法是不可行的。银行经常使用廉价、不准确的近似值。我们的目标是改进精确计算方法的复杂性，为这些廉价的近似提供一个有效，准确的替代方案。我们还计划扩大研究，用于其他（所谓的xVA）金融风险措施。我们的目标也是推广相同的方法，将各种金融合同与计算困难的结构。