EPSRC CASE Studentship on Measuring Catastrophic Risk
Brunel Business School and Barclays Bank
A tax-free stipend at the EPSRC standard rate (£12,600 in 2007/8, updated annually) + £1000 per annum enhancement + University fees (£3,235 in 2007/8)
Applications are invited for a research studentship in the field of risk modelling and analysis, leading to the award of a PhD degree from Brunel Business School. The post is funded for three and a half years, by the EPSRC CASE programme in partnership with Barclays Bank. The successful candidate will acquire practical experience at the Operational Risk Division of Barclays Bank and join two interdisciplinary research centres at Brunel.
The wide range of risk exposures of financial institutions makes it possible to decompose catastrophic risk into its components. Contributing factors may involve extreme shifts in interest rates, exchange rates, equity prices, commodity prices, credit quality or operational performance.
1. The project will focus first on estimating an overall measure of catastrophic risk, and then decomposing with attention to the operational risk component. It will be investigated whether operational risk events are more likely to cause catastrophic losses.
2. Modelling and evaluating the operational component of the catastrophic risk measure will involve statistical and computational techniques, within an effective approximate-reasoning framework. Metaheuristics will adapt the solution algorithm to the complexity of the problem.
3. This top-down analysis can contribute to calibrating bottom-up operational risk models.
The successful candidate will be an enthusiastic and self-motivated person who has an enquiring and rigorous approach to research. Relevant work experience will be considered as an advantage. The interdisciplinary project requires a background in some of the following areas: computational finance, financial engineering, operations research, statistics, mathematics, computer science. For details of the research group see http://www.carisma.brunel.ac.uk and http://Brunel.ac.uk/about/acad/BBS/research/centres/Brese.
The studentship is subject to the EPSRC rules for eligibility. UK applicants, or EU applicants who have been in the UK for the three years preceding the start of the project, are awarded the full studentship. Other EU applicants are awarded a tax-free stipend of £6,000 per annum plus University fees. The funding further provides for attending international conferences. Non-EU citizens are not eligible.
Closing Date for Applications: 29 June 2007
For further details please contact Dr Antoaneta Serguieva at antoaneta.serguieva@brunel.ac.uk. Applications should be addressed to the Assistant School Manager, Operations and Research, Brunel Business School, Uxbridge UB8 3PH, UK, email bbsresadmin@brunel.ac.uk. Applications should include a CV, a covering letter, the name and addresses of two referees, the transcripts of your degrees and the University application form. A form can be downloaded from http://www.brunel.ac.uk/3551/GS-Docs/AR3.pdf. Applicants must arrange for their referees to send references directly to the Assistant School Manager for Operations and Research (email is sufficient) by the closing date. Reference forms can be downloaded from www.Brunel.ac.uk/3551/GS-Docs//referenceform.pdf.
