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Fully funded PhD studentship with Coventry University's Centre for Financial and Corporate Integrity

Coventry University

Qualification Type: PhD
Location: Coventry
Funding for: UK Students, EU Students, International Students
Funding amount: Bursary plus tuition fees (UK/EU/International)
Hours: Full Time
Placed On: 8th March 2019
Expires: 7th June 2019

We are looking for an enthusiastic PhD student who will work with a dedicated supervisory team to undertake original research in the field of quantitative finance. This project concentrates on seeking methods and financial products to reduce the impacts of natural and man-made disasters. Insurance companies do not have the adequate fund to cover the losses caused by catastrophic events, such as earthquakes, tsunamis, floods, or hurricanes. Catastrophe (CAT) risk bonds are an example of insurance linked securities (ILS) that transfer a specific set of risks from an issuer or sponsor to investors and share the risk to another level – global financial markets.

To-date, the value of CAT risk bonds are produced using approximation methods, e.g. Monte-Carlo simulation which is computationally expensive. Alternative methods, e.g. the Expectation-Maximization (EM) algorithm is used to find maximum likelihood parameters where equations cannot be solved directly, which can then be applied to catastrophic risks for the first time. This project also investigates empirical asset pricing and sovereign risks on the pricing with the application on the historical data.

This fully funded PhD includes stipend at current RCUK rates, plus tuition fees

How to apply

Applicants should have:

  • A minimum of a 2:1 first degree in Statistics, Mathematics, Financial Mathematics, Data Science, Computer Sciences, Biostatistics/Bioinformatics, or other closely related fields with a minimum 60% mark in the project element or equivalent with a minimum 60% overall module average.
  • A minimum of English language proficiency (IELTS overall minimum score of 7.0 with a minimum of 6.5 in each component)
  • The potential to engage in innovative research and to complete the PhD within a 3.5 years
  • A strong interest in Finance.
  • Strong mathematical and analytical skills, self-discipline, problem-solving capacity, intellectual curiosity, and creativity are essential qualities in order to successfully complete a PhD thesis;
  • Skills in programming (in particular R, Matlab or Python), numerical modelling and knowledge of finance or data science are beneficial but not necessary.

For further information, please contact: Dr Jia Shao (jia.shao@coventry.ac.uk )

   
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