Applied mathematics for risk measures in finance and insurance, in the wake of the crisis


The EID WAKEUPCALL has been set up with the knowledge that, in the WAKE of the financial crisis, a reconsideration of fundamental assumptions that have been standard in the mathematical models for the valuation of financial and insurance products, like CALLs is taking place. The crisis alerted to reiterate models, assumptions and computations. It is now better understood that the usual paradigm, in which financial risks can be mitigated,spread, or even hedged away perfectly, is too simplistic for markets under stressed conditions. Lead by the Basel Committee on Banking Supervision, financial and insurance institutions are currently implementing new paradigms regarding risk management. Many of the updates in the risk measures involve sophisticated mathematics. In this sense, the crisis has provided important feedback on appropriate directions for the required mathematical improvements. As regards to hedging and risk mitigation, which are important steps in the risk management chain, nowadays even the hedging of basic financial instruments has become a complicated task. More sophisticated models are needed if hedging programs are to remain effective under financial stress.We wish to bring together academic researchers in financial mathematics and high level professionals in financial and insurance industries, discuss and interact by means of early-stage researchers (ESRs). We are interested in the mathematical models, as well as in advanced solution techniques used for pricing and risk measurement. We wish to educate young experts in modern risk measures and management. Advanced courses by academic and professional lecturers will be selected for the education of the ESRs. We will additionally work on providing entrepeneurial skills to ESRs as they will have a unique knowledge of applied mathematics on practically relevant research questions in computational finance. All ESRs will produce software, according to latest standards in high performance computing.

Project details

Unibo Team Leader: Andrea Pascucci

Unibo involved Department/s:
Dipartimento di Matematica

Stichting Centrum Voor Wiskunde En Informatica(Netherlands)

Other Participants:
Ernst & Young Accountants LLP (Netherlands)
Banco Santander S.A (Spain)
Analistas Financieros Internacionales, S.A. (Spain)
Universidade Da Coruña (Spain)
Technische Universiteit Delft - Delft University Of Technology (Netherlands)
Nier Ingegneria S.P.A. (Italy)
Vortech (Netherlands)
ALMA MATER STUDIORUM - Università di Bologna (Italy)
Unipol Gruppo S.P.A. (Italy)

Total Eu Contribution: Euro (EUR) 1.522.617,12
Project Duration in months: 48
Start Date: 01/01/2015
End Date: 31/12/2018

Cordis webpage

This project has received funding from the European Union’s Horizon 2020 research and innovation programme under grant agreement No 643045 This project has received funding from the European Union’s Horizon 2020 research and innovation programme under grant agreement No 643045