Christian Hafner and Frederic Vrins are opening a Postdoc position in mathematical finance for a project held in collaboration with Damiano Brigo on credit risk modeling.
More info in the job description hereunder or on the dedicated page of Frederic's website: https://sites.google.com/view/fredericvrins/recruitment
Postdoc position at UCLouvain : mathematical finance/credit risk
In the framework of the 5-year research ARC project "Negative and ultra-low interest rates: behavioral and quantitative modelling", the UCLouvain opens a Postdoc position in credit risk/mathematical finance. The overall goal of the research project is to investigate counterparty risk, and credit valuation adjustment (CVA) in particular. The research project will involve new approaches to better model and learn risk dependencies such as wrong-way and recovery risks. The idea is to combine machine learning tools together with stochastic models recently developed within our team.
This Postdoc position will be held in the LIDAM institute, the Louvain Institute of Data Analysis and Modeling in economics and statistics of the UCLouvain, in Belgium. The grant is one year full time, extendable for another year and could start around February/March 2022. The candidate will be co-supervised by Prof. C. Hafner and Prof. F. Vrins. This project is a joint collaboration with Prof. D. Brigo (Imperial College).
Profile : the successful candidate must
• have completed (or be about to complete) a PhD in Actuarial Sciences, Financial Engineering, Quantitative Finance, Applied mathematics or related fields ;
• be familiar with financial concepts like risk-neutral valuation, Black-Scholes model and credit risk modeling. Knowledge of CVA/wrong-way risk is an asset ;
• be familiar with standard machine learning algorithms such as neural networks ;
• have strong skills in continuous-time stochastic processes, numerical simulations and coding (R, Python or Matlab) ;
• have a good knowledge of written and spoken English. Knowledge of French is not required.
Research environment & terms of employment
The project is a joint venture between ISBA and LFIN, two renowned research centers of high international reputation. Equipped with modern computing facilities, a statistics library, a vivid visitor program and ample funding for scientific activities. Regularly organized short courses, workshops, and seminar series (all in English) are given by international short and long-term visitors. ISBA and LFIN are located in the heart of the modern, vivid and international UCL university campus at Louvain-la-Neuve, in close proximity of Brussels and its international airport, and in short travel distance to other European capitals. You will receive a tax-free monthly grant for two times two years. The position is a pure research position, that is, with (almost) no teaching or administrative obligations.
Information about the centers:
https://uclouvain.be/en/research-institutes/lidam/isba
https://uclouvain.be/en/research-institutes/lidam/lfin
How to apply
Send your application directly to frederic.vrins@uclouvain.be. Your application should consist of a zip archive including the following :
1. A motivation letter, including the names and contact information of two reference persons (including your PhD supervisor)
2. A detailed curriculum vitae
3. A detailed publication list
4. A copy of your relevant diploma(s)
5. A copy of your best paper
Related references :
• Mbaye, C. & Vrins, F. (2022). Affine term structure models: a time-change approach with perfect fit to market curves. Mathematical Finance (forthcoming). ://hdl.handle.net/2078.1/254447
• Jeanblanc, M. & Vrins, F. (2018) Conic martingales from Stochastic integrals. Mathematical Finance 28(2):516-535.http://hdl.handle.net/2078.1/176590
• Damiano B. & Vrins, F. (2018) Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures. European Journal of Operational Research 269:1154-1164 (2018).
http://hdl.handle.net/2078.1/196286