Abstract
The research carried out at the Christian Doppler Laboratory for Portfolio Risk Management (PRisMa Lab) combines academic, methodological research with a strong input from and interaction with its founding industry partner Bank Austria for the mutual benefit of both. The laboratory concentrates on integrated financial risk management, taking dependence structures, in particular portfolio effects, into account. It aims to develop and apply advanced mathematical tools in finance and risk management, originating from diverse areas like mathematical statistics, dependence modelling, stochastic analysis, functional analysis, theory of stochastic processes, risk theory, numerical analysis and simulation.
The research modules in cooperation with our industry partners have been:
Key words
Actuarial mathematics, financial mathematics, dependence structures, credit risk, credit risk derivatives, Lévy processes, market risk, numerical methods in finance, operational risk, risk measures, term structure models for interest rates, allocation of risk capital
Location
Research Group for Financial and Actuarial Mathematics
Institute for Mathematical Methods in Economics
Vienna University of Technology
Wiedner Hauptstraße 8-10/105-1
A-1040 Vienna, Austria
Duration
October 1, 2005 - December 31, 2013
Project partners
Bank Austria (BA), Am Hof 2, A-1010 Vienna, Austria.
Contact persons: Dr. Gerhard Deschkan, Dr. Peter Schaller
Austrian Federal Financing Agency (ÖBFA), Seilerstätte 24, A-1010 Vienna, Austria.
Contact person: Dr. Martha Oberndorfer, Mag. Klaus Kumpfmüller
COR & FJA AG (FJA), Wiedner Hauptstraße 76/1/4, A-1040 Vienna, Austria.
Contact persons: Dipl.-Math Axel Helmert, Dr. Christian Weber
Oesterreichische Kontrollbank AG (OeKB), Strauchgasse 1-3, A-1011 Wien, Austria.
Contact person: Mag. Karl Heinz Überlackner, Dr. Christoph Schwärzler
Sponsor / Awarding authority
Christian Doppler Research Association (CDG), Haus der Forschung, Sensengasse 1, A-1090 Vienna, Austria.
Contact person: Dr. Judith Brunner
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URL: https://fam.tuwien.ac.at/prismalab/index.php
Last modification:
2022-08-17
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