Excessive risk exposure in financial markets is often mentioned as a reason for the financial crisis in 2008-2009. In the research group Quantitative Finance and Risk Analysis, researchers from Business Administration, Economics, and Mathematics work on the development of new models to describe and quantify risk and uncertainty and, in this way, contribute to shaping financial markets of tomorrow. In our research, we pay special attention to the socio-economic background of market participants.
At the investor level, a question arises what measure reflects the actual uncertainty and risk in practice and, at the same time, can be estimated using financial market data. Here, the effect of risk and uncertainty on savings and investment decisions is of particular interest. This yields implications for consumer protection through a realistic estimation of financial products, e.g., pension plans or mortgage loans. At the regulatory level, a question arises as to how we can use these risk and uncertainty measures to avoid future financial crises, as the one in 2008-2009, and their effects on the economy. Here, we consider not only finding an appropriate measure tailored to investment goals but also resolving the trade-off between the stability and flexibility of financial markets.
Research Initiative of Rhineland-Palatinate sponsors the work of the research group Quantitative Finance and Risk Analysis.
The core of the research group consists of
Prof. Dr. Matthias Neuenkirch (speaker)
Prof. Dr. Frank Seifried (deputy speaker)