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WAKEUPCALL SIGNED

Applied mathematics for risk measures in finance and insurance, in the wake of the crisis

Total Cost €

EC-Contrib. €

Partnership

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Outcomes and
results

WAKEUPCALL project word cloud

Explore the words cloud of the WAKEUPCALL project. It provides you a very rough idea of what is the project "WAKEUPCALL" about.

professional risks paradigm computing perfectly basel standard sophisticated instruments involve assumptions chain reconsideration improvements computational standards finance discuss eid hedging educate spread updates paradigms valuation stressed courses lecturers mathematical mathematics committee techniques crisis experts too wish directions education reiterate entrepeneurial modern nowadays computations latest complicated additionally mitigation basic banking mitigated stage hedged young wakeupcall financial academic software fundamental risk away usual professionals practically solution simplistic esrs alerted appropriate models supervision industries questions programs stress pricing insurance interact sense regarding performance calls place implementing wake markets feedback regards skills

Project "WAKEUPCALL" data sheet

The following table provides information about the project.

Coordinator	STICHTING CENTRUM VOOR WISKUNDE EN INFORMATICA There are not information about this coordinator. Please contact Fabio for more information, thanks.
Coordinator Country	Netherlands [NL]
Project website	https://portals.project.cwi.nl/wake-up-call
Total cost	1˙522˙617 €
EC max contribution	1˙522˙617 € (100%)
Programme	1. H2020-EU.1.3.1. (Fostering new skills by means of excellent initial training of researchers)
Code Call	H2020-MSCA-ITN-2014
Funding Scheme	MSCA-ITN-EID
Starting year	2015
Duration (year-month-day)	from 2015-01-01 to 2018-12-31

Partnership

Take a look of project's partnership.

#	participants	country	role	EC contrib. [€]
1	STICHTING NEDERLANDSE WETENSCHAPPELIJK ONDERZOEK INSTITUTEN STICHTING NEDERLANDSE WETENSCHAPPELIJK ONDERZOEK INSTITUTEN Organization address address: WINTHONTLAAN 2 city: UTRECHT postcode: 3526 KV website: www.fom.nl contact info title: n.a. name: n.a. surname: n.a. function: n.a. email: n.a. telephone: n.a. fax: n.a.	NL (UTRECHT)	coordinator	510˙748.00
2	STICHTING CENTRUM VOOR WISKUNDE EN INFORMATICA STICHTING CENTRUM VOOR WISKUNDE EN INFORMATICA Organization address address: Science Park 123 city: AMSTERDAM postcode: 1098XG website: http://www.cwi.nl contact info title: n.a. name: n.a. surname: n.a. function: n.a. email: n.a. telephone: n.a. fax: n.a.	NL (AMSTERDAM)	coordinator	0.00
3	ALMA MATER STUDIORUM - UNIVERSITA DI BOLOGNA ALMA MATER STUDIORUM - UNIVERSITA DI BOLOGNA Organization address address: VIA ZAMBONI 33 city: BOLOGNA postcode: 40126 website: www.unibo.it contact info title: n.a. name: n.a. surname: n.a. function: n.a. email: n.a. telephone: n.a. fax: n.a.	IT (BOLOGNA)	participant	516˙122.00
4	UNIVERSIDADE DA CORUNA UNIVERSIDADE DA CORUNA Organization address address: CALLE DE LA MAESTRANZA 9 city: LA CORUNA postcode: 15001 website: http://www.udc.es contact info title: n.a. name: n.a. surname: n.a. function: n.a. email: n.a. telephone: n.a. fax: n.a.	ES (LA CORUNA)	participant	495˙745.00
5	ANALISTAS FINANCIEROS INTERNACIONALES SA ANALISTAS FINANCIEROS INTERNACIONALES SA Organization address address: C/ MARQUES DE VILLAMEJOR 5 city: MADRID postcode: 28006 website: n.a. contact info title: n.a. name: n.a. surname: n.a. function: n.a. email: n.a. telephone: n.a. fax: n.a.	ES (MADRID)	participant	0.00
6	BANCO SANTANDER SA BANCO SANTANDER SA Organization address address: PASEO DE PEREDA 9 AL 12 city: CANTABRIA postcode: 39004 website: n.a. contact info title: n.a. name: n.a. surname: n.a. function: n.a. email: n.a. telephone: n.a. fax: n.a.	ES (CANTABRIA)	participant	0.00
7	ERNST & YOUNG ACCOUNTANTS LLP ERNST & YOUNG ACCOUNTANTS LLP Organization address address: 6 MORE LONDON PLACE city: LONDON postcode: SE1 2DA website: n.a. contact info title: n.a. name: n.a. surname: n.a. function: n.a. email: n.a. telephone: n.a. fax: n.a.	UK (LONDON)	participant	0.00
8	NIER INGEGNERIA SPA NIER INGEGNERIA SPA Organization address address: VIA CLODOVEO BONAZZI 2 city: CASTEL MAGGIORE (BO) postcode: 40013 website: www.niering.it contact info title: n.a. name: n.a. surname: n.a. function: n.a. email: n.a. telephone: n.a. fax: n.a.	IT (CASTEL MAGGIORE (BO))	participant	0.00
9	TECHNISCHE UNIVERSITEIT DELFT TECHNISCHE UNIVERSITEIT DELFT Organization address address: STEVINWEG 1 city: DELFT postcode: 2628 CN website: www.tudelft.nl contact info title: n.a. name: n.a. surname: n.a. function: n.a. email: n.a. telephone: n.a. fax: n.a.	NL (DELFT)	participant	0.00
10	UNIPOL GRUPPO FINANZIARIO SPA UNIPOL GRUPPO FINANZIARIO SPA Organization address address: VIA STALINGRADO 45 city: Bologna postcode: 40128 website: n.a. contact info title: n.a. name: n.a. surname: n.a. function: n.a. email: n.a. telephone: n.a. fax: n.a.	IT (Bologna)	participant	0.00
11	VORTECH BV VORTECH BV Organization address address: WESTLANDSEWEG 40 D city: DELFT postcode: 2624 AD website: www.vortech.nl contact info title: n.a. name: n.a. surname: n.a. function: n.a. email: n.a. telephone: n.a. fax: n.a.	NL (DELFT)	participant	0.00
12	ACE Venture Lab ACE Venture Lab Organization address address: n.a. city: Amsterdam postcode: n.a. website: n.a. contact info title: n.a. name: n.a. surname: n.a. function: n.a. email: n.a. telephone: n.a. fax: n.a.	NL (Amsterdam)	partner	0.00

Map

Project objective

The EID WAKEUPCALL has been set up with the knowledge that, in the WAKE of the financial crisis, a reconsideration of fundamental assumptions that have been standard in the mathematical models for the valuation of financial and insurance products, like CALLs is taking place. The crisis alerted to reiterate models, assumptions and computations. It is now better understood that the usual paradigm, in which financial risks can be mitigated, spread, or even hedged away perfectly, is too simplistic for markets under stressed conditions. Lead by the Basel Committee on Banking Supervision, financial and insurance institutions are currently implementing new paradigms regarding risk management. Many of the updates in the risk measures involve sophisticated mathematics. In this sense, the crisis has provided important feedback on appropriate directions for the required mathematical improvements. As regards to hedging and risk mitigation, which are important steps in the risk management chain, nowadays even the hedging of basic financial instruments has become a complicated task. More sophisticated models are needed if hedging programs are to remain effective under financial stress. We wish to bring together academic researchers in financial mathematics and high level professionals in financial and insurance industries, discuss and interact by means of early-stage researchers (ESRs). We are interested in the mathematical models, as well as in advanced solution techniques used for pricing and risk measurement. We wish to educate young experts in modern risk measures and management. Advanced courses by academic and professional lecturers will be selected for the education of the ESRs. We will additionally work on providing entrepeneurial skills to ESRs as they will have a unique knowledge of applied mathematics on practically relevant research questions in computational finance. All ESRs will produce software, according to latest standards in high performance computing.

Deliverables

List of deliverables.
Report study week with industry	Documents, reports	2019-06-19 12:59:50
PhD Theses	Documents, reports	2019-06-19 12:59:50
MTR	Other	2019-06-19 12:59:47
Supervisory board	Other	2019-06-19 12:59:47
Website	Websites, patent fillings, videos etc.	2019-06-19 12:59:47

Take a look to the deliverables list in detail: detailed list of WAKEUPCALL deliverables.

Publications

List of publications.
year	authors and title	journal	last update
2019	Andrea Fontanari, Iddo Eliazar, Pasquale Cirillo, Cornelis W. Oosterlee Portfolio risk and the quantum majorization of correlation matrices published pages: , ISSN: , DOI:	Submitted for publication in IMA journal	2019-06-19
2018	Andrea Fontanari, Nassim Nicholas Taleb, Pasquale Cirillo Gini estimation under infinite variance published pages: 256-269, ISSN: 0378-4371, DOI: 10.1016/j.physa.2018.02.102	Physica A: Statistical Mechanics and its Applications 502	2019-06-19
2018	Enrico Ferri Portfolio Representation as Applied toModel Points Selection for ALM in LifeInsurance published pages: , ISSN: , DOI:		2019-06-19
2018	Sidy Diop, Andrea Pascucci, Marco Di Francesco, Gian Luca De Marchi Sovereign CDS Calibration Under a Hybrid Sovereign Risk Model published pages: 1-25, ISSN: 1350-486X, DOI: 10.1080/1350486x.2018.1554447	Applied Mathematical Finance	2019-06-19
2019	Maria del Carmen Calvo-Garrido, Sidy Diop, Andrea Pascucci, Carlos VÃ¡zquez. DE models for the valuation of a non callable defaultable coupon bond under an extended JDCEV model, published pages: , ISSN: , DOI:	Preprint submitted for publication	2019-06-19
2018	Z. KrajÄoviÄovÃ¡, P. P. PÃ©rez Velasco Model Risk and Differential Geometry Applied to Sensitivity Analysis published pages: , ISSN: , DOI:		2019-06-19
2018	Sidy DIOP Credit Risk Management and JumpModels published pages: , ISSN: , DOI:		2019-06-19
2019	Ki Wai Chau and Cornelis W. Oosterlee Stochastic grid bundling method for backward stochastic differential equations published pages: , ISSN: , DOI:	Submitted to Int. J. Computer Mathematics	2019-06-19
2018	Anastasia Borovykh APPLICATIONS OF STOCHASTIC PROCESSESTO FINANCIAL RISK COMPUTATION published pages: , ISSN: , DOI:		2019-06-19
2018	Zuzana KrajÄoviÄovÃ¡ New Approaches to Quantification and Management of Model Risk published pages: , ISSN: , DOI:		2019-06-19
2019	Ki Wai Chau, Jok Tang and Cornelis W. Oosterlee An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA published pages: , ISSN: , DOI:	Springer book with special WAKEUPCALL contributions	2019-06-19
2018	A. Borovykh A Gaussian Process perspective on Convolutional Neural Networks published pages: , ISSN: , DOI:		2019-06-19
2018	Anastasia Borovykh, Andrea Pascucci, Stefano La Rovere Systemic risk in a mean-field model of interbank lending with self-exciting shocks published pages: 806-819, ISSN: 2472-5854, DOI: 10.1080/24725854.2018.1448491	IISE Transactions 50/9	2019-06-19
2017	A. Borovykh, A. Pascucci, C.W. Oosterlee Efficient XVA computation under local L\'evy models published pages: , ISSN: , DOI:	report submitted for publication	2019-06-19
2017	Ki Wai Chau, Cornelis W. Oosterlee On the wavelets-based SWIFT method for backward stochastic differential equations published pages: , ISSN: , DOI:	accepted for publication in IMA J. Numerical Analysis	2019-06-19
2018	Andrea Fontanari, Pasquale Cirillo, Cornelis W. Oosterlee From Concentration Profiles to Concentration Maps. New tools for the study of loss distributions published pages: 13-29, ISSN: 0167-6687, DOI: 10.1016/j.insmatheco.2017.11.003	Insurance: Mathematics and Economics 78	2019-06-19
2017	A. Borovykh, A. Pascucci, C.W. Oosterlee Pricing Bermudan options under local LÃ©vy models with default published pages: 929-953, ISSN: 0022-247X, DOI: 10.1016/j.jmaa.2017.01.071	Journal of Mathematical Analysis and Applications 450/2	2019-06-19
2019	JosÃ© L. FernÃ¡ndez, Enrico Ferri, Carlos VÃ¡zquez Asymptotic stability of empirical processes and related functionals published pages: 755-768, ISSN: 0022-247X, DOI: 10.1016/j.jmaa.2019.02.068	Journal of Mathematical Analysis and Applications 475/1	2019-06-19
2019	Z. KrajÄoviÄovÃ¡, P. P. PÃ©rez Velasco, C. VÃ¡zquez A novel approach for quantification of model risk by practitioners published pages: , ISSN: 1755-2850, DOI: 10.21314/jcf.2019.371	Journal of Computational finance 23	2019-06-19
2019	Bruno Bouchard, Ki Wai Chau, Arij Manai, Ahmed Sid-Ali Monte-Carlo methods for the pricing ofAmerican options: a semilinear BSDE point ofview published pages: , ISSN: , DOI:	ESAIM: Proceedings and Surveys, 2019, doi not recognised by system, https://doi.org/10.1051/proc/201965294	2019-06-19
2018	Marco Di Francesco, Sidy Diop, Andrea Pascucci CDS calibration under an extended JDCEV model published pages: 1-17, ISSN: 0020-7160, DOI: 10.1080/00207160.2018.1512104	International Journal of Computer Mathematics	2019-06-19
2017	Ki Wai Chau, Cornelis W Oosterlee On the wavelet-based SWIFT method for backward stochastic differential equations published pages: 1051-1083, ISSN: 0272-4979, DOI: 10.1093/imanum/drx022	IMA Journal of Numerical Analysis 38/2	2019-06-19

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The information about "WAKEUPCALL" are provided by the European Opendata Portal: CORDIS opendata.