Computational Optimization Methods in Statistics, Econometrics and Finance

COMISEF will extend the connections with industry beyond the industry partner in the network. These extensions will be based on existing links of the network partners and the external advisory board. In particular, regular co-operation with potential users of the newly developed methods in finance and macroeconometric forecasting is envisaged. The links to industry include the following firms:

• Alitalia, Italy: Forecasting
• Centre for European Economic Research (ZEW), Germany: Econometric analysis of financial markets, macroeconometric forecasts.
• Citigroup, UK: Risk measurement, portfolio optimization.
• Credit Suisse (Zurich, Switzerland): Credit portfolio modelling.
• DZ-Bank (Frankfurt, Germany): Credit portfolio modeling.
• IMI Asset Management SGR S.p.A., Italy: Portfolio optimization.
• HypoVereinsbank (Germany): Active credit portfolio management.
• Merrill Lynch, Moody’s Investment Services, Swiss Re Investment Bank, Kaupthin Bank, Mitsubishi Securities, ACE Re, Standard Chartered, Caisse d’Epargne et de Depot-IXIS,West LB, Fitch Ratings, Washington Square: PhD programme at Imperial College London.
• Mirabaud & Cie, Genève: Risk measurement and portfolio optimization.
• NEC Europe Ltd., C&C Research Laboratories (Germany): Agent based modelling and high performance computing (see also joint workshop HPC).
• Statpro, HSBC and Barclays: Research collaborations with CCFEA.

There are also links to the following central banks and governmental institutions, which will be relevant to the network topics:

• Austrian National Bank and Federal Ministry of Finance: Econometric policy analysis.
• Banca d’Italia: Econometric policy analysis.
• Bundesanstalt für Finanzdienstleistungsaufsicht (BAFin, Bonn, Germany): Risk management.
• German Central Bank, Germany: Model selection, time series modelling.
• Polish Ministry of Finance, Ministry of Economy and Parliament: Forecasting, policy simulation.

With respect to the training program, the early-stage and experienced researchers will profit from this informal co-operation in various ways:

• Short term stays to learn about real applications and to discuss the potential of the new methodology developed in the RTN.
• Use of specific data as input to applications (e.g. high frequency financial market data).
• Participation in joint training activities, e.g. the second-level Master in Data Intelligence and Decision Strategies offered by the Univ. “La Sapienza” Roma.
• Internship as preparation of possible occupation within the respective institution and/or in order to implement the results in practice.
• Training and seminars with and for practitioners and researchers in these institutions.