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)
