Grant detail

Risk analysis using wavelet transform

Principal investigator: Mgr. Lucie Kraicová
Collaborators: doc. PhDr. Jozef Baruník Ph.D.
Description: The risk of financial assets and of their sets (portfolios) is probably the most important concept in finance, as it determines their value for investors and the regulatory measures the investors have to face, when they decide to add them to their current portfolios. Yet, as the recent financial crisis has revealed, our understanding of this risk and our ability to manage it is still limited. In the research, for funding of which we apply, we would like to address the methods of risk analysis and to contribute to their development in line with the recent trends in time series analysis. Namely, we would like to focus on the switch from traditional time- or frequency-domain methods, to their counterparts based on wavelet transform, that enables to study the data in time and frequency at the same time. Although this transform is already a standard tool in many research fields, its application in economics is still limited. Yet, as we believe, the benefits from its application, especially in finance, should be significant, as it could help us to observe warning signs in the data that are hidden under the traditional methods and get us more time to prevent severe losses.
Participation:
Work in grant: Submitted to GAUK in November 2014
Web link:
Finance:
End date: 2016
Publications:
Conferences:

Partners

Deloitte

Sponsors

CRIF
McKinsey
Patria Finance