Proposed projects
Proposals by UBS AG
1. Secure Coding Gamification
In a world of where very public and very devastating hacks and data breaches are rapidly on the rise, increased software developer awareness of secure coding best practices is crucial to any business' success. Students will create a web game for development teams. Development teams will be able to point the game at a code repository of interest. The game will ingest that code and run best of breed open source security static code analysis tools against the repository. From there, a custom game instance will be created that presents development team with features such as: coding challenges, recorded responses, ratings, top scores, and overall analytics on the security of the repository.
2. Organizational Vulnerability Risk Assessment
More and more software vulnerabilities are identified each year. When they are announced, organizations prepare rapid responses and expend tremendous resources to close them as quickly as possible and with the least negative impact. However, only 2-5% of the vulnerabilities announced are ever actually exploited. Given this, a risk based approach to remediation could make for a much effective and efficient use of resources. Students will develop an organizational vulnerability risk assessment model and takes into consideration criteria such as: attack vector, attack complexity, exploitation status, vendor, platforms in use by organization, install size, and more.
3. Insider Threat Visualization
According to a recent Verizon global data breach investigation report, the research team found that approximately 25% of data breaches originated from malicious employees. By monitoring internal activities in an effective way, we can mitigate a quarter of data breach risk. To achieve this objective, the project team will apply cross domain techniques in cybersecurity, data analytics and data visualization to identify potential malicious employees and their activities. The application will visualize employees' activities over a designated period and highlight high risk activities. Furthermore, the application will apply data analytics techniques to identify suspicious activities and prevent data breaches at an early stage.
For further information on any of the above projects, please contact Viramontes, Victor <victor.viramontes@ubs.com>.
Proposals by Credit Suisse
1. Optimal trading strategy
The student will learn the optimal trading strategy that provide the minimum expected cost of trading over a fixed period of time. The theoretical framework is minimizing a combination of volatility risk and transaction costs arising from permanent and temporary market impact. The students are expected to develop the model based on the theoretical framework and to test the model performance by using intraday trading data in the stock market. We will guide students on both modeling and testing to complete this project.
2. Catastrophe stress testing
The student will learn to assess the financial risk of a bank under catastrophe events such as earthquake, tsunami, pandemics and flood. The assessment methodology is based on catastrophe risk model framework developed by the insurance industry. The students will develop the model as well as test the model performance by using historical data such as actual losses, direct and indirect impacts on the economy, corporations, and financial industry due to the catastrophes. We will guide students on both modeling and testing to complete this project.
3. Inflection point indicator - Currency crisis
The student will learn to predict the currency crisis of a country. The currency crisis predictive model is developed based on machine learning algorithm on historical financial and macroeconomic data. Currency crisis is defined as currency depreciation of at least 25% over a one month period. Relevant data for various countries are FX rate, external debt - short term, External debt – total, Current account deficit, inflation, foreign-direct investment, portfolio or other investment inflows, foreign currency reserves, level of M2/reserves, real interest rate, GDP, equity Index, export and import. We will guide the students both on the modeling and testing to ensure the success of this project.
For further information on any of the above projects, please contact Chew, Eric <lengsiang.chew@credit-suisse.com>.
