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PhD student (4 years) on the subject of wrong-way risk modeling in the context of credit valuation adjustment

Delft University of Technology (TU Delft) and the Centrum Wiskunde & Informatica (CWI) have a vacancy for a talented and ambitious PhD student (4 years) …

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Arbeidsvoorwaarden

Standplaats:
Science Park, Amsterdam, Noord-Holland
Dienstverband:
Tijdelijk contract / Tijdelijke opdracht
Uren per week:
40 uur
Opleidingsniveau:
WO

Functieomschrijving

Delft University of Technology (TU Delft) and the Centrum Wiskunde & Informatica (CWI) have a vacancy for a talented and ambitious PhD student (4 years) on the subject of wrong-way risk modeling in the context of credit valuation adjustment.

Job description

The PhD candidate will be jointly hosted by TU Delft (Applied Probability Group) and CWI (Scientific Computing Group).

The research will be carried out in the context of the H2020 EU Marie Curie Initial Training Network project named “ABC-EU-XVA”, which will provide a unique opportunity, for 6 researchers in the early stage of their careers, to perform multi-disciplinary research and gain deep insight into a variety of aspects of financial counterparty risk and their consequences, under the prestigious scheme of the Marie Curie European Industrial Doctorates (EID). The aim of the ABC-EU-XVA project is to gain deeper insight, by means of research and education, in counterparty risk, modern valuation adjustments and how to include these in the current financial mathematical models, in algorithms, software, (big) data. The PhD candidate will join the ABC-EU-XVA community, and take part in the ABC-EU-XVA events in Europe.

The PhD student, under the joint supervision of Dr. Pasquale Cirillo (Associate Professor, TU Delft) and Prof. Dr. Cornelis Oosterlee (Full Professor, CWI/TU Delft), will work on the modeling of wrong-way risk in the context of credit valuation adjustment, that is the joint modeling of the probability of default (PD) and the loss given default (LGD) of a counterparty involved in a security trade. This dependence will be tackled using innovative approaches based on reinforced urn processes and statistical learning, possibly also dealing with the discrepancies in pricing/assessment under the risk-neutral and the physical measures.

In an EID project a close cooperation with the industry is mandatory, therefore a foreign stay of 18 months with the industrial partner is expected and prescribed. For the current vacancy, the industrial partner is ABANCA S.A. (https://www.abancacorporacionbancaria.com/en/) with headquarters in Betanzos (Spain). It is expected that the PhD student will work closely together with the industrial partner, and in particular with the team directed by Dr. Manuel Rodríguez Lopez, Manager of Payment Systems and Operations at ABANCA, and industrial supervisor.

This is a four years PhD position, where the first three years are in the context of the EU project and the final PhD year is at Delft university of Technology. At the end of the first year, the PhD student will be formally evaluated, to assess her/his ability of obtaining the PhD. The PhD title will be granted by Delft University of Technology in the Netherlands, upon a positive final defense of the PhD thesis.

Functie-eisen

Potential candidates have a master degree in applied mathematics, statistics, quantitative finance, econometrics, or computational sciences (with specialization in computational finance). They have a strong interest in financial mathematics and they are willing to further increase their knowledge of finance, stochastics and numerical methods.

Preferred qualifications for candidates include excellent grades, research talent (as proven by the master thesis), affinity with the financial world and personal ambition.

Particularly good grades in Financial Mathematics, (Applied) Probability, Statistics, Machine Learning, Scientific Computing and Numerical Analysis are a strong plus.

Candidates are expected to have and prove an excellent command of English, together with good academic writing and presentation skills. Curiosity-driven and flexibility to travel (and live) in different countries are imprtant aspects for the current PhD position.

Important:

Mobility rule Because of the mobility requirement of any Marie Curie ITN grant, the potential candidates shall not have resided or carried out their main activity (work, studies, etc.) in the Netherlands for more than 12 months in the last 3 years. Compulsory national service and/or short stays such as holidays are not taken into account.

Conditions

The terms of employment are in accordance with the Dutch Collective Labour Agreement for Research Centres ("CAO-onderzoeksinstellingen"). The PhD student will be formally employed by CWI with a full social security coverage, and s/he will have all the benefits provided for in the Marie Curie ITN fellowships regulations, including a highly competitive remuneration, living allowances and mobility expenses. As an Early Stage Researcher, the applicant will register for a PhD at the Faculty of Electrical Engineering, Mathematics and Computer Science (EEMCS) of TU Delft, and in particular in the Delft Institute of Applied Mathematics (DIAM).

Additional information

Applications can be sent before January 15 2019 to apply@cwi.nl and cc to P.Cirillo@tudelft.nl. Applications should include a detailed CV, a motivation letter, a list of MSc courses and grades (transcripts), a copy of the master thesis, and if available a list of publications. For residents outside the EER-area, a TOEFL English language test may be required.

For more information about the vacancy, please contact Dr. Pasquale Cirillo P.Cirillo@tudelft.nl.

For more information about the project and its vacancies: http://fineng.ewi.tudelft.nl/ABCXVA/Applications/