Core Research Applications
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Consumer & SME Lending
- Prediction of delinquency and prepayment risk
- Alternative data for credit underwriting
- Optimal portfolio design
- Online marketplace lending
- Loan servicing and and debt collection strategies
- Risk management and stress testing
Real Estate & Mortgages
- Mortgage prepayment, Â delinquency, and foreclosure
- House prices: Valuation and dynamics
- Housing market efficiency
- Securitization: structuring, risk analysis and valuation
- GSE capital analytics
- Mortgage risk premia
Investment Technology & Capital Markets
- Optimal Portfolios: sparseness, robustness
- Market impact & optimal execution
- Asymmetric Volatility
- Portfolio deleveraging
- American options
Corporate Credit
- Credit derivatives & securities analysis
- Credit portfolio risk analytics
- Portfolio optimization and stress testing
- Design and analysis of structured credit securities
Financial Market Regulation
- Migration of financial services in response to regulatory changes
- Securitization and subprime mortgage lending
- Implementation of Dodd-Frank corporate disclosure requirements via statistical sampling
- Bank capital and risk taking
Systemic Financial Risk
- Measurement of systemic risk
- Design and analysis of contingent convertible bonds