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Risk Management and Fixed Income Markets

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Please note:
Since January 2012, this Research Programme has become part of the FMG Research Programme in Financial Regulation and Risk Management|. The information on this page is therefore no longer being updated.

The research of the programme covers a broad range of theoretical and empirical issues involved in the valuation and risk management with fixed income securities. There are currently several research projects underway involving defaultable securities. These involve the estimation of structural models of defaultable bonds and the modelling of contagion effects in these markets. The programme also includes research in the area of modelling relatedness of extreme risks and of operational risk.

The programme focuses on the following research questions

  • Contingent claims analysis and dynamic capital structure
  • Valuation and portfolio analysis of fixed income instruments and associated derivatives
  • Risk assessment, capital allocation and regulation
  • Security design
  • Empirical analysis of credit and fixed income markets

Programme members

Programme director

  • Ron Anderson

Senior researchers

  • Jon Danielsson
  • Oliver Linton
  • Antonio Mele
  • Philippe Mueller
  • Yves Nosbusch
  • Jean-Pierre Zigrand

Researchers

  • Jan Bena
  • Runquan Chen
  • Vincent Fardeau
  • Xiaoxia Hao
  • Aytek Malkhozov
  • Ping Zhou

Associate members

  • John Phelan
  • Amlan Roy
  • Ian Tonks
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