Spanish version

XII RiskLab-Madrid Meeting on Financial Risks

May 25th, 2017
Bankia Auditorium, Paseo de la Castellana, 189

About us

RiskLab-Madrid is a R&D unit of the Universidad Autónoma de Madrid, focused on the study and management of financial risks. Although this was the initial scope of its existence, RiskLab-Madrid now developes not only original academic research but also financial software and financial consulting projects.

The objective of RiskLab-Madrid is to participate in Research and Development projects, consulting and training in close collaboration with finance industry companies.

The RiskLab-Madrid team is composed by professors of the faculty of Economics and Management, the Mathematics Department and the school of Computer Science, as well as by external collaborators.

Risklab-Madrid has an agreement with a group of professors from the faculty of Economics of Universidad del País Vasco and host research initiatives involving financial research groups from other universities.

The RiskLab-Madrid structure assures that the latest developments in financial modeling can be turn into practice with user friendly software interfaces, most of them developed in Java, that provides our clients with a modular, powerful and tailor made applications that work fast and accurately.

RiskLab-Madrid is part of a network (Risklab International) of financial research centers.

News and events

The XII RiskLab-Madrid Meeting on Financial Risks took place on May 25th. The schedule of the meeting is available here.

In the following links, you can find information about previous meetings: I Meeting (2001), II Meeting (2002), III Meeting (2003), IV Meeting (2004), V Meeting (2005), VI Meeting (2006), VII Meeting (2008), VIII Meeting (2009), IX Meeting (2011), X Meeting (2012), XI Meeting (2014), XII Meeting (2017) .

Research areas

Non-gaussian modelling of empirical distributions

It is well known that the probability distributions of market prices are not gaussian. This matters for the correct modelling of asymmetries and the asymptotic behaviour of the distribution tails when one faces risk management. RiskLab-Madrid is working in these areas with RiskLab Toronto and Silicon Graphics.

Within this area, RiskLab-Madrid has developed a software product to measure the VaR (Value at Risk) and MaxVaR which uses extreme value theory (EVT). This product is already being used in Santander Financial Securities.

Assets and Liability Management (ALM)

A modern approach to the successful management of assets and liabilities implies to be capable of analyze the sensibilities of the balance sheet of a company (specially of its financial margin) to the dynamics (including non parallel shifts) of the risk factors, interests rates and economic cyclical variables. To this aim it is necessary to model the joint dynamic of the portfolio including the money market accounts. RiskLab-Madrid has used these methodologies in an ALM project developed for BBVA.

Derivatives on Commodities

RiskLab-Madrid is developing methodologies for pricing derivatives on energy markets.