Recently, Kees Oosterlee from CWI's Scientific Computing group has been awarded a project from the H2020 European Industrial Doctorates (EID) Program.
The EID program is aimed at facilitating collaboration between knowledge institutions and industry. Within the program, a candidate PhD student carries out his or her research for 18 months at a participating company. Collaboration between companies and knowledge institutions increases the chances of knowledge being implemented and used.
The awarded project ABC-EU-XVA is a collaboration between 12 European academic and industry partners. CWI will be coordinator of the project, which furthermore involves four major European banks, Banco Santander (Spain), Rabobank (Netherlands), Belfius Bank (Belgium) and Abanca (Spain), a European insurer (Unipol, Italy) and the Amsterdam branch of consulting and risk management company EY (formerly Ernst & Young). The industry partners join efforts with universities from Brussels, A Coruña, Bologna and Delft, and CWI to educate 6 PhD students on various relevant aspects of modern financial risk management. Co-PI Prof. Carlos Vazquez: "At the University of A Coruna, Spain we are very happy with this project, it suits very well with our focus on Industrial Mathematics. Jointly with our colleagues in the EU, we will work on the resilience of the financial system.”
Scope of the project
Following the recent global financial crisis, new regulatory reforms in the field of the adjustments of prices of financial derivatives have been mandated (X-Value Adjustment). These regulations are implemented to improve the stability, robustness and resilience of the financial system. Financial institutions are now required to apply and report on various adjustments in account books and product prices to reflect the risk management costs of the associated risks. The institutions need new models and procedures to meet the new regulations. The researchers in this project will therefore execute research in the field of mathematical modelling, numerical computation and risk management, concerning valuation adjustments of financial contracts. The aim is to improve the way the institutions hedge possible losses and to determine the amount of capital required to meet the new requirements.
Kees Oosterlee of CWI: “We will be looking for excellent and flexible PhD students for this EU project. The students will be in 2 countries for a longer period of time during three years. This is of course a great adventure to experience during a PhD period.”
The awarded funding for this project amounts to 1.6 million euros, of which approximately 1/3rd will go to CWI. The project will kick off 1 November 2018.
More information:
CWI's Scientific Computing group
