Quantitative Finance

Research activity in the field of quantitative finance has its roots in two macro-areas: credit risk and the management of equity and bond portfolios. Within the line of research linked to credit risk, are developed studies relating to: (i) new credit scoring models that include the correlation between default and temporal dynamics of insolvency probabilities; (ii) innovative simulation techniques for estimating the probability of rare events in credit portfolios; (iii) new models for measuring the systemic risk of sovereign debt; (iv) pricing of complex derivative instruments for the coverage of insolvency risks. Within the research field related to the techniques for the management of equity and bond portfolios, are developed studies relating to: (i) variance reduction techniques for parallel simulation applied to the estimation of the risk of large portfolios; (ii) analytical techniques for the calibration of models for the evolution of equity returns in the presence of stochastic volatility; (iii) new methodologies for the evaluation of equity portfolios in the static and dynamic case; (iv) assessment of model risk in the context of quantifying the risk of a financial portfolio; (v) development of stochastic models for the term structure of interest rate in order to estimate the relationships between yield curves, macroeconomic variables and the implicit structure of risk premia.