Risk analysis and computational finance

风险分析和计算金融

• 批准号: 216949-2008
• 负责人: Tan, KenSeng
• 金额: $ 1.31万
• 依托单位: University of Waterloo
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2009
• 资助国家: 加拿大
• 起止时间: 2009-01-01 至 2010-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=424723
• 关键词: Risk; analysis; computational; finance

The modern financial industry-comprising the banking, investment and insurance sectors - relies heavily on modern, computer-based risk analysis and management. As the array of financial products grows in variety and complexity, accurate and reliable risk management has become both more complex and more essential. Several tragic failures in recent years-such as the rapid demise of Enron, Barings Bank, Long Term Capital, Equitable Life in UK, and more recently the subprime crisis - have caused millions of investors to lose their money, and have provided ample evidence of the consequences of inappropriate risk management. Reliable risk mitigating and risk managing of the enterprise become a critical issue for the viability of a financial institution. It is this important area where Prof. Tan will have a significant contribution. Prof. Tan's research will focus on three key areas. The first objective of Prof. Tan's research program is devoted to developing robust and theoretical sound model for optimally using reinsurance to manage the risks of an insurance company. The second objective of Prof. Tan's research program is to analyze and assess the riskiness of an insurance business by analyzing the evolution of the surplus and its interplay between the premium, claims and interest. By incorporating many empirically observed characteristics of the claim experience, such as correlation and the possibility of large claims, the interest factor and delayed factor, Prof. Tan derives some theoretical results on the likelihood that an insurance business's surplus will ever fall below zero. This provides important information on the viability of insurance business and calls for appropriate risk mitigation measures if this probability is large. While the first two objectives focus mostly on the theoretical analysis, Prof. Tan also recognizes that many of the problems encountered in practice are often not tractable. Hence the last objective of Prof. Tan's research program focuses on the state-of-the-art numerical solution for complex models. The enhanced simulation technique has the potential of translating into a significant savings, both in time and in computing effort. This greatly complements the analytical results established in the first two objectives.

现代金融业包括银行、投资和保险部门，在很大程度上依赖于现代化的、基于计算机的风险分析和管理。随着金融产品种类和复杂性的增加，准确可靠的风险管理变得更加复杂和重要。近年来的几次悲剧性失败--如安然、巴林银行、长期资本、英国公平人寿的迅速倒闭，以及最近的次贷危机--使数百万投资者损失了资金，并提供了充分的证据证明不适当的风险管理的后果。可靠的风险缓解和风险管理的企业成为一个金融机构的生存能力的关键问题。正是在这一重要领域，谭教授将做出重大贡献。谭教授的研究将集中在三个关键领域。谭教授研究项目的第一个目标是致力于开发稳健的理论模型，以最佳地利用再保险来管理保险公司的风险。谭教授研究项目的第二个目标是通过分析盈余的演变及其在保费、索赔和利息之间的相互作用来分析和评估保险业务的风险。陈教授结合理赔经验的相关性、大额理赔的可能性、利息因素和延迟因素等许多经验观察到的特征，得出了保险业务盈余可能降至零以下的一些理论结果。这提供了关于保险业务可行性的重要信息，如果这种可能性很大，则需要采取适当的风险缓解措施。虽然前两个目标主要集中在理论分析上，但谭教授也认识到，实践中遇到的许多问题往往难以处理。因此，Tan教授的研究计划的最后一个目标集中在复杂模型的最先进的数值解上。增强的模拟技术有可能转化为一个显着的节省，无论是在时间和计算工作。这在很大程度上补充了前两个目标中确定的分析结果。