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Module C - Risk Management

The Risk Management Module aims at extending market and credit risk research into non-standard domains such as liquidity risk, operational risk and model risk. Indeed, current models of financial risk struggle to adequately capture some basic investment and financing variables, such as interest rates and volatility. This module unifies the resources of FINRISK's network in Lugano, Zurich and the Geneva area to quantify critical economic variables to the satisfaction of both researchers and practitioners in finance.

Coordinator: Prof. Loriano Mancini

Project C1Credit Risk and Non-Standard Sources of Risk in Finance
Leader: Prof. Rajna Gibson Brandonmore

In this research project we will pursue three main objectives: first, to study credit risk and its economic implications in the context of domestic and of international asset pricing models as well as its influence on the choice of financial arrangements - such as margining or clearing - for the trading derivatives instruments. Second, we will examine how non-standard sources of risk can be modeled and assess limitations to their quantification through model risk assessment. Finally, we will to determine how non- standard sources of risk affect agents and corporations investment and financing decisions, how they affect the economy at large and finally how they influence asset prices.

Project C2Volatility and Stability in Financial Markets
Leader: Prof. Giovanni Barone-Adesimore

This research project includes seven topics, concerning multivariate risk modelling, option pricing and relative stock performance.

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  The National Centres of Competence in Research (NCCR) are a research instrument of the
Swiss National Science Foundation.