Proposed projects

Proposals by AAA

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 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.