Financial Risk Engineering금융리스크 공학 연구실

Modern financial markets are characterized by the development of information technology and network infrastructure and the increasing diversity of financial instruments, requiring more complex theories and methodologies to solve problems. Financial engineering is an academic discipline that applies various techniques developed and utilized in engineering, statistics, mathematics, and computer science to solve problems related to financial markets, such as financial risk management, financial instrument valuation and replication, and financial strategy.

In the Financial Risk Engineering Laboratory, financial instruments and financial risks are analyzed from a mathematical modeling perspective, and research focuses on the design of appropriate and safe investment techniques and financial instruments. The basic theories required for our teaching and research include mathematical and statistical theories such as Time-series Analysis, Stochastic Processes, Stochastic Calculus, Computational Statistics, and Optimization, as well as financial theories on Investments, Asset Pricing, and Financial Risk Management.

The two areas of finance-related research that my lab has been focusing on are “Financial Risk” and “Economic Physics”, which are briefly described below.

Financial risk refers to the future uncertainty embedded in financial markets. While general risk factors are subject to avoidance, risk in financial markets is also a source of profit, and should be appropriately adjusted and managed according to the investor’s appetite and investment objectives. We are conducting research on issues such as Systemic Risk, Credit Risk, Financial Risk Contagion, and models such as Regime-switching Model, Statistical Learning Model, Value at Risk (VaR) and Extreme Shortfall (ES).

Economic physics is a quantitative research field that applies ideas and analytical techniques from physics to various financial and economic phenomena to explore universal laws. The scope of research in economic physics, which eschews the assumptions of rational economic agents and normal distributions of traditional economic theory, is expanding from financial time series analysis to financial product design and analysis of corporate and economic phenomena. Our research interests include non-Gaussian analysis of financial time series, network analysis, and multifractal analysis.