Quantitative Risk Management and Computational Finance

定量风险管理和计算金融

• 批准号: 216949-2013
• 负责人: Tan, KenSeng
• 金额: $ 2.11万
• 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: 2018
• 资助国家: 加拿大
• 起止时间: 2018-01-01 至 2019-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=666471
• 关键词: Quantitative; Risk; Management; 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 sophistication and complexity, accurate and reliable risk management has become both more complex and more essential. The recent financial crisis dramatically highlighted the importance of 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 four key areas. The first objective of Prof. Tan's research program is devoted to developing robust and theoretical sound model that manage the risks of an insurance company optimally via reinsurance. The second objective is to provide effective partial hedging strategy for hedging complicated financial and insurance products. Over the last 100 years, life expectancies have increased at the rate of approximately 2.5 years per decade. The enormous improvement in life expectancy is certainly one of the greatest achievements of modern civilization, but unanticipated mortality improvements can pose huge problems to individuals, pension sponsors, corporations and governments. Therefore, the third objective of Prof. Tan's research program focuses on innovative method of pricing mortality-linked securities and the analyzes pension underfunding risk and total pension cost. Prof. Tan 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 simulation algorithm for complex applications. 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 earlier parts of the research program.**

现代金融业-包括银行、投资和保险部门-在很大程度上依赖现代化的、以计算机为基础的风险分析和管理。 随着金融产品的复杂性和复杂性不断增加，准确可靠的风险管理变得更加复杂和重要。最近的金融危机突出了风险管理的重要性。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四个关键领域。谭教授的研究项目的第一个目标是致力于开发强大的理论模型，通过再保险优化管理保险公司的风险。第二个目标是为复杂的金融保险产品提供有效的部分套期保值策略。在过去100年中，预期寿命以每十年约2.5岁的速度增长。预期寿命的巨大改善无疑是现代文明最伟大的成就之一，但意外的死亡率改善可能会给个人、养老金赞助商、公司和政府带来巨大问题。因此，谭教授研究计划的第三个目标是研究与死亡率挂钩的证券的定价方法，并分析养老金资金不足风险和养老金总成本。陈教授认识到，在实践中遇到的许多问题往往是不容易处理的。因此，Tan教授的研究计划的最后一个目标集中在复杂应用的最先进的仿真算法上。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。这极大地补充了在研究计划的早期部分中建立的分析结果。