European consortium starts research on financial risk models

A European consortium of partners in academia and industry from the Netherlands, Italy and Spain has been granted 1,5 million euro for the Horizon 2020 research project WAKEUPCALL. The project, which  is coordinated by the Centrum Wiskunde & Informatica (CWI) in Amsterdam, combines academic expertise in financial mathematics with experience from partners in the finance and insurance industries. From the Netherlands, EY and VORtech BV are participating in the project. The researchers will focus on the development of mathematical models and numerical solution techniques in the domain of risk management.

The financial crisis has given rise to a reconsideration of fundamental assumptions that have been standard in mathematical models for the valuation of financial and insurance products, as well as of risk management. Many new risk measures that are currently implemented by the industry are based on sophisticated applied mathematics and need to remain effective under circumstances of stress and crisis in financial markets.

“The consortium is based on long-term relationships between our academic and private partners”, says Kees Oosterlee from CWI. “I look forward to working with them again in this new project, in this challenging research domain. Our previous collaborations have been an important instrument in achieving scientific breakthroughs while working on applied issues at the same time.“ Diederik Fokkema, executive director at EY, adds: "EY is very pleased to be part of this consortium as it fits our strategy very well to actively contribute to innovation in the financial service industry."

The WAKEUPCALL research project is part of the innovative European Industrial Doctorates (EID) programme that supports the mobility, training and career development of highly skilled European researchers. In this programme, scientific excellence is combined  with the development of business innovation expertise. This is achieved in particular by involving industry sector partners in doctoral trainings to develop skills that better match public and private sector needs.

The consortium’s academic partners include Centrum Wiskunde & Informatica, Delft University of Technology, the University of Coruña (Spain) and University of Bologna (Italy). The participating industry partner are EY, VORtech BV, Santander S.A., Analistas Financieros Internationales S.A., UnipolSai Gruppo Finanziaro S.p.A. and NIER Engineering S.p.A. The research project involves non-academic beneficiaries SURFSara and the Amsterdam Center for Entrepreneurship.