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- Chaire "Risques Financiers de la Fondation du Risque"
- Chaire "Dérivés du Futur de la Fédération Bancaire Française"
- Chaire "Risque de Crédits de la Fédération Bancaire Française"
- Chaire "Finance et Développement Durable"
- Chaire "Les Particuliers Face au Risque financiers de la Fondation du Risque"
- University of Maine (Le Mans), French Ministry for Research
The research of this project is mainly done by the teams at École Polytechnique and the École des Ponts ParisTech. Société Générale is a partner of this project. The research follows the guidelines:
- Improvement of numerical methods used by financial institutions (in particular Monte-Carlo)
- Develop models with high dimension based in the theory of random matrices
- Study means of prevention and management of risk by taking into account problems of liquidity in dynamic hedging and volatility
- Creation of new tools oriented to the thematics of statistical arbitrage, pricing of complex derivatives and credit derivatives
This project is hosted by the Europlace Institute of Finance and cooperates with the academics at École Polytechnique and the University of Paris-Dauphine. Electricity of France - Research and Development and Calyon are the two industry partners of this project.
The mail goal of the project is to contribute to the production of knowledge and methods allowing to estimate, quantify and manage the risks pressing on the sustainable development. This is achieved by crossing quantitative finance and various fields of the economy - in particular, the economy of the environment and the economy of the energy raw materials. It is a question of integrating these fields completely into the financial workings of the economy, supplying to the shareholders, politicians and economic decision-makers means to express the choices of the society as financial choices.
The research of this project is done mainly by the teams at the University of Paris-Dauphine, at ENSAE ParisTech and CEA - Centre d'Études Actuarielles. Groupama is a partner of this project. The project's objectives focus on developing a specific culture of risk management around five guiding lines:
- Behaviour of individuals and groups in face of risk
- Decision taking in finance and insurance
- Asymmetry of information, incentives
- Pension, savings and life cycle
- Impact of correlations in pricing and hedging
University of Maine (Le Mans), French Ministry for Research and "Région Pays de la Loire"