Advanced Risk Management Analytics


Our objectives are to research, develop, test, and implement:

1. New yield curve construction and smoothing algorithms and improvements to standard curve construction algorithms, in particular, that are better adapted to illiquid markets such as Mexico, Israel, etc. 2. We seek fully automated real-time curve construction algorithms, which will allow for traders to use and data vendors to provide curves evolving in real time.

3. Interest rate spread curve construction algorithms, to be applied both to corporate spread and inflation spread curves.

4. Extensions to some of the general work we have done on yield curves: in particular extensions of methods to a second dimension for volatility surfaces, and extension of methods to survival probability curve fitting from credit instruments.

R2 Financial Technologies will benefit from this project by having functioning prototypes and an understanding of remaining implementation obstacles to creating a production version of the curve and surface fitting software.

Marcus Shea
Faculty Supervisor: 
Dr. Luis Seco