Promote, share and disseminate research in economics and finance

FINANCIAL RISKS

Program type Chaire
Foundations fdr
Labelled Labellisée LABEX Louis Bachelier
Creation 01-04-2007
Renewal 01-04-2012
End / Next renewal 30-03-2017
Scientific project:

The Financial Risks Chair addresses new challenges in modelling: rare events, contagion and systemic risk, valuation, hedging and robustness, dependency modelling, credit risk. To this end, it develops numerical and simulation methods: simulation of extreme risks, and nonlinear equations for market friction (large portfolios, funding, uncertain volatility, illiquidity).

Contact:
Aldjia Mazari
aldjia.mazari@polytechnique.edu
01 69 33 46 38
Scientific directors
Nicole El Karoui
Nicole El Karoui
Nizar Touzi
Nizar Touzi
Academic partners
Ecole Nationale des Ponts et Chaussées
Ecole Polytechnique
Université Pierre et Marie Curie
Economic partners
Société Générale