Aims and Scope

Excessive risk exposure in financial markets is often referred to as one of the reasons for the Global Financial Crisis of 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 the future. The group pays special attention to the socio-economic background of market participants.

At the investor level, the group analyzes what measure reflects 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 also generates implications for consumer protection through a realistic estimation of financial products, such as pension plans or mortgage loans. At the regulatory level, the group examines how these risk and uncertainty measures can be used to avoid future financial crises. The groups aims at finding an appropriate measure tailored to individual investment goals that also resolves the trade-off between the stability and flexibility of financial markets.

The Research Initiative of Rhineland-Palatinate sponsors the work of the research group Quantitative Finance and Risk Analysis.