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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,  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