| EPSRC Reference: |
GR/R80667/01 |
| Title: |
Distributed Risk Management |
| Principal Investigator: |
Jacka, Professor SD |
| Other Investigators: |
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| Researcher Co-Investigators: |
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| Project Partners: |
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| Department: |
Statistics |
| Organisation: |
University of Warwick |
| Scheme: |
Standard Research (Pre-FEC) |
| Starts: |
09 December 2002 |
Ends: |
08 December 2005 |
Value (£): |
156,641
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| EPSRC Research Topic Classifications: |
| Mathematical Aspects of OR |
Statistics & Appl. Probability |
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| EPSRC Industrial Sector Classifications: |
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| Panel History: |
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Summary on Grant Application Form |
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Problems of risk management have been around for a long time. In the context of monetary risk, until fairly recently the actuarial profession and its traditional approach has been pre-eminent. With the emergence of arbitrage free pricing theory (AFPT) in finance this has changed.In order to gain the benefits of AFPT, risk needs to be interpreted in the context of a market. Recent development in Mathematical Finance have made this goal achievable. The proposed research is to achieve it by extending the existing analysis of AFPT in the presence of bid-offer spreads and of coherent risk measures so that an integrated approach to monetary risk management, hedging and reserving is feasible.In detail, the research will establish how to impute a market in risk from a given coherent risk measure, establish how to expand such a market to allow for a dynamic approach to hedging/reserving, explore finite and implementable approximations to such a (potentially infinite) market and seek to produce a prototype implementation.
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Key Findings |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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Potential use in non-academic contexts |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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Impacts |
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| Description |
This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk |
| Summary |
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| Date Materialised |
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Sectors submitted by the Researcher |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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| Project URL: |
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| Further Information: |
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| Organisation Website: |
http://www.warwick.ac.uk |