Christian Doppler Laboratory for Portfolio Risk Management (PRisMa Lab)

Abstract
The research carried out at the Christian Doppler Laboratory for Portfolio Risk Management (PRisMa Lab) combines academic, methodological research with a strong input from and interaction with its founding industry partner Bank Austria for the mutual benefit of both. The laboratory concentrates on integrated financial risk management, taking dependence structures, in particular portfolio effects, into account. It aims to develop and apply advanced mathematical tools in finance and risk management, originating from diverse areas like mathematical statistics, dependence modelling, stochastic analysis, functional analysis, theory of stochastic processes, risk theory, numerical analysis and simulation.

The research modules in cooperation with our industry partners have been:

• Measuring operational risk with methods from insurance mathematics (M1)
  (with Bank Austria, January 2006 - December 2010)
• Risk-adjusted value functionals and capital allocation (M2)
  (with Bank Austria, January 2006 - December 2013)
• Measures of risk and risk-based capital allocation (M3)
  (with Bank Austria, January 2006 - December 2010)
• Dependence modelling for pricing and risk management (M4)
  (with Bank Austria, January 2006 - December 2013)
  (with COR & FJA AG, April 2009 - December 2013)
• Modelling of fixed income markets (M5 old)
  (with Bank Austria, October 2005 - September 2007)
• Pricing and hedging under transaction costs (M5 new)
  (with Bank Austria, October 2007 - December 2010)
• Credit risk models and credit derivatives (M6)
  (with Bank Austria, January 2006 - December 2008)
  (with Oesterreichische Kontrollbank, April 2012 - March 2013)
• Numerical methods in finance (M7)
  (with Bank Austria, January 2006 - December 2010)
• Modelling of market risk with jump processes (M8)
  (with Bank Austria, January 2006 - December 2013)
• Quantification of counterparty risk for exotic swaps (M9 old)
  (with Austrian Federal Financing Agency, March 2006 - December 2011)
• Modelling of fixed income markets (M9 new)
  (with Austrian Federal Financing Agency, January 2012 - December 2013)

Key words
Actuarial mathematics, financial mathematics, dependence structures, credit risk, credit risk derivatives, Lévy processes, market risk, numerical methods in finance, operational risk, risk measures, term structure models for interest rates, allocation of risk capital

Location
Research Group for Financial and Actuarial Mathematics
Institute for Mathematical Methods in Economics
Vienna University of Technology
Wiedner Hauptstraße 8-10/105-1
A-1040 Vienna, Austria

Duration
October 1, 2005 - December 31, 2013

Project partners
Bank Austria (BA), Am Hof 2, A-1010 Vienna, Austria.
Contact persons: Dr. Gerhard Deschkan, Dr. Peter Schaller
 
Austrian Federal Financing Agency (ÖBFA), Seilerstätte 24, A-1010 Vienna, Austria.
Contact person: Dr. Martha Oberndorfer, Mag. Klaus Kumpfmüller
 
COR & FJA AG (FJA), Wiedner Hauptstraße 76/1/4, A-1040 Vienna, Austria.
Contact persons: Dipl.-Math Axel Helmert, Dr. Christian Weber
 
Oesterreichische Kontrollbank AG (OeKB), Strauchgasse 1-3, A-1011 Wien, Austria.
Contact person: Mag. Karl Heinz Überlackner, Dr. Christoph Schwärzler

Sponsor / Awarding authority
Christian Doppler Research Association (CDG), Haus der Forschung, Sensengasse 1, A-1090 Vienna, Austria.
Contact person: Dr. Judith Brunner