Completed MSc Placements

2010

  • Modelling Sovereign Credit Risk
    Company: Barrie & Hibbert
    Student: Florian Kowarschik
    Supervisor: Professor Alexander McNeil
    Programme: MSc Quantitative Risk Management, Heriot-Watt University

    Project Summary: Modelling of sovereign bonds as credit-risky bonds in the Economic Scenario Generator (ESG), with a sovereign-specific credit calibration which is distinct from the corporate bond calibration.
  • Operational Risk Drivers for Insurance Companies
    Company: Barrie & Hibbert
    Student: Chris Sandys
    Supervisor: Alastair Baillie Strong
    Programme: MSc in Operations Research, University of Edinburgh

    Project Summary: Understand the drivers of market-related operational risk events for insurance companies for Solvency II.
  • Inflation Derivative Market and Valuation Models
    Company: Barrie & Hibbert
    Student: Samuel Gibbons
    Supervisor: Steven Morrison
    Programme: MSc in Financial Mathematics, University of Edinburgh and Heriot-Watt University

    Project Summary: Review of the market for inflation derivatives and standard pricing models for these products. Valuation of inflation derivatives using the Barrie & Hibbert Economic Scenario Generator (ESG) and investigation of sensitivity to model parameters. Development of analytic or semi-analytic techniques for inflation derivative valuation, using the Barrie & Hibbert ESG models.
  • Low Discrepancy Numbers
    Company: Barrie & Hibbert
    Student: Carolin Schwartz
    Supervisor: David Redfern
    Programme: MSc Financial Mathematics, University of Edinburgh and Heriot-Watt University

    Project Summary: Tail dependence refers to the tendency of extreme outcomes of one risk factor to coincide with extreme outcomes of another risk factor. Practitioners and regulatory bodies are keen that risk models should "take tail dependence into account". It is important to have the tools to investigate the empirical tail dependence in Economic Scenario Generator (ESG) output.
  • Computing Measures of Tail Dependence from ESG Output
    Company: Barrie & Hibbert
    Student: Felix Fok
    Supervisor: Professor Alexander McNeil
    Programme: MSc Quantitative Risk Management, Heriot-Watt University

    Project Summary: Tail dependence refers to the tendency of extreme outcomes of one risk factor to coincide with extreme outcomes of another risk factor. Practitioners and regulatory bodies are keen that risk models should "take tail dependence into account". It is important to have the tools to investigate the empirical tail dependence in Economic Scenario Generator (ESG) output.
  • Pricing Path Dependent Options using a Time Dependent SVJD Model
    Company: Barrie & Hibbert
    Student: Martin Jonsson
    Supervisor: Graeme Lawson
    Programme: MSc Financial Mathematics, University of Edinburgh and Heriot-Watt University

    Project Summary: Development of a stochastic volatility jump diffusion (SVJD) which has time dependent parameters, namely Heston + Lognormal Jumps. Due to the extra degrees of freedom, the model can be fitted to the observable Equity Option Implied Volatility Data, and to economically-derived long term pseudo-Implied Volatilities.
  • Quantifying the Accuracy of Value at Risk Estimates from Simulation Output
    Company: Barrie & Hibbert
    Student: Chin Kwee Seet
    Supervisor: Professor Alexander McNeil
    Programme: MSc Quantitative Risk Management, Heriot-Watt University

    Project Summary: Deployment of the most efficient statistical estimation techniques to derive Value-at-Risk (VaR) and other risk measure estimates (such as cVaR) from limited simulation output.

Get in Touch For 2012

Companies interested in joining the 2012 MSc summer placement scheme, and university departments interested in providing MSc students, are encouraged to get in touch and express an initial interest.

Please contact Noreen O’Donnell, Scottish Financial Risk Academy: n.o’donnell@hw.ac.uk.



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