|Funding for:||UK Students, EU Students, International Students|
|Funding amount:||Bursary plus tuition fees (UK/EU/International)|
|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:
For further information, please contact: Dr Jia Shao (email@example.com )
Type / Role: