Portfolio Management, Derivatives and Risk Management

Using the tools of financial mathematics, simulation and econometrics of finance, this axis groups together research projects on such varied themes as analysis of the performance of portfolio managers, studies of methods of fund management, evaluation of sophisticated financial products and credit derivatives (CDO and CDS), and the comparison of portfolio management methods (dynamic allocation or management by derivatives). Special markets such as interest rate derivatives and commodities are also among the interests of this research axis.

The group’s researchers enhance their expertise on the theme of risk management as much for portfolio managers (using derivatives) as for the banking sector (Basel agreements II and III)