RiskBigData web page

Web page of the project "Complex Risk Management in the Big Data Regime"

Summary


This project intends to develop models and methods for financial risk management within a complex environment based on the massive amount of information produced by and available to economic agents.
As it is necessary to accommodate different fields of Mathematics, Economics, and Computer Science, the project includes researchers who represent an interdisciplinary effort required to develop results in this area. The researchers have been working in fields of Statistics, Numerical Optimization, Finance, Financial Econometrics, and Data Structures and Algorithms, which are the fields that are necessary for the developments proposed. The project has a set of consultants, academics of international renown in Finance, NumericalOptimization, and another group working in financial institutions, expected to make essential evaluations to direct the research to real financial risk management situations.
The models we propose to develop use three main elements for financial risk management, which are not exhaustive but constitute a substantial fraction that can help financial markets decision-making. Options contracts information, intraday stock prices, and portfolio allocation procedures are the elements to consider for a better characterization of financial risk, necessary for rational decision-making.

Graphical abstract

Working areas

Option pricing analysis

The observation of the option's contract elements is one of the most informative tasks available in financial markets. On its "good" use, they serve as insurances to adverse moves in the underlying asset prices.

Portfolio Management

Options data give information on the risk of investing in the underlying assets, but portfolios are constituted by deposits, bonds, funds, and stocks. Understanding the stock pricesand their returns evolution is essential to define the risk, which is crucial for portfolio allocation.

Volatility Measurements

This task includes studying volatility measurements related to modeling financial risk using stock returns directly and not indirectly through options price evolution.

People

JS

José Luis Santos

Principal Investigator

António Alberto Santos

Co-Principal Investigator

Advisory board

TA
Torben Gustav Andersen

Department of Finance - Northwestern University

News

The latest news related to the project