Title
Market based measures of systemic risk using synthetic CDOs
Code
GA23-07128S
Summary
The aims are to:
1) Develop a pricing model for synthetic CDOs inspired by the Davis and Lo (2001).
2) Propose a new systemic risk measure.
3) Develop optimal portfolio strategies that perform better under systemic risk and change
dynamically the asset allocation based on the market conditions.
Start year
2023
End year
2025
Provider
Grantová agentura ČR
Category
Obecná forma
Type
Standardní projekty
Solver
Information system of research, development and innovation (in Czech)