IRisk Lab Spring 2020 Projects
Implied Portfolio Value-at Risk: model-free and forward-looking risk estimates for investment portfolios
The Value-at-Risk (VaR) is one of the key risk measures to determine the risk levels of trading portfolios. The VaR…
Measuring intra-day systemic risk in high-frequency order books
Measuring the degree of co-movement between stock prices is of utmost importance when dealing with portfolio selection, risk measurement and…
P2P insurance: risk sharing of heterogeneous risks
The main objective of an insurance contract is to provide an adequate risk sharing scheme between insured and insurer. An…
Model-free hedging via reinforcement learning
Under the complete market model assumption, risk neutral approach for pricing and hedging financial derivatives have been the standard solution…
Holistic principle for risk aggregation and capital allocation: an extension to Solvency II standard
A novel holistic principle for risk aggregation and capital allocation has recently been proposed in [1], to remedy the issues…
Cyber risk profile construction via individual cyber losses aggregation – continued
This project is a continuation of the IRisk Lab project, Cyber risk profile construction via individual cyber losses aggregation, in…
European-type basket option pricing – continued
This project is a continuation of the IRisk Lab project, European-type basket option pricing: independence and comonotonicity approximations with modern…