UK - PhD Studentship at Centre for Computational Finance and Economic Agents
PhD Studentship at Centre for Computational Finance and and Economic Agents, University of Essex for the academic years 2007/08 to 2009/10
The Centre for Computational Finance and Economic Agents (CCFEA) is an innovative, interdisciplinary and laboratory based teaching and research Centre which is a showcase for cutting edge computational and evolutionary methods to simulate markets with artificially intelligent agents and to design real time trading and risk management systems.
An important area for research is the development of an agent based model of systemic risk from bank behavior relating to transfer of balance sheet and credit risks. This framework can explore coevolving strategies of banks with regard to securitization and off balance sheet derivatives positions with that of insurance companies and their portfolio choice of credit risk assets. The implications of the
strategies of these two classes of agents for the systemic stability will be analyzed after careful calibration (indirect estimation) with empirical data. This involves a model selection procedure based on heuristic optimization methods.
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