Please note:
Since January 2012, this Research Programme has become part of the FMG Research Programme in Financial Regulation and Risk Management|. The information on this page is therefore no longer being updated.
The research of the programme covers a broad range of theoretical and empirical issues involved in the valuation and risk management with fixed income securities. There are currently several research projects underway involving defaultable securities. These involve the estimation of structural models of defaultable bonds and the modelling of contagion effects in these markets. The programme also includes research in the area of modelling relatedness of extreme risks and of operational risk.
The programme focuses on the following research questions
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Contingent claims analysis and dynamic capital structure
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Valuation and portfolio analysis of fixed income instruments and associated derivatives
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Risk assessment, capital allocation and regulation
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Security design
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Empirical analysis of credit and fixed income markets
People
Programme Director
Senior Researchers
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Dr Jon Danielsson
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Professor Oliver Linton
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Dr Antonio Mele
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Dr. Philippe Mueller
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Dr Yves Nosbusch
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Dr Jean-Pierre Zigrand
Researchers
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Mr Jan Bena
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Mr Runquan Chen
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Mr Vincent Fardeau
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Ms Xiaoxia Hao
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Mr Aytek Malkhozov
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Ms Ping Zhou
Associate Members
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Mr John Phelan
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Dr Amlan Roy
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Professor Ian Tonks
Research and projects
Deutsche Bank PhD Fellowship
The Deutsche Bank PhD Fellowship Programme was established with the generous support of Deutsche Bank and is awarded to two first-rate LSE doctoral students on an annual basis.
Awardees will have demonstrated an outstanding aptitude for financial research and will have the intention of pursuing doctoral research in the following areas:
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Financial Risk Measurement
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Risk Management
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Financial Regulation
For further details, please see the Fellowship webpage|.
Deutsche Bank Prize in Financial Risk Management and Regulation 2011
The prize essay competition on research papers in the field of financial risk management and regulation is organised by the Financial Markets Group with the generous support of Deutsche Bank. The award committee for 2011 consisted of Ron Anderson, Malcolm Knight and Christopher Polk. In judging the papers submitted the committee applied three criteria:
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The contribution dealt with a substantial problem of financial risk management and regulation.
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The contribution was submitted by one or more LSE research students.
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The contribution exhibited the high standards of originality and rigour appropriate for a leading international research university.
We are pleased to announce that the winner of the competition is:
"Credit Rating and Competition"
by Nelson Camanho, Pragyan Deb, and Zijun Liu,
all doctoral students in finance and members of the Financial Markets Group.
For further details, please see the DB Prize 2011 webpage|.
Publications