FP7 Marie-Curie Initial Training Network
Risk Management and Risk Reporting
Position: Early Stage Researcher/PhD Placement
Project Title: Realized Covariance
Project Description: This project will study estimation and modeling of financial volatilities based on high frequency data, named realized volatilities, which are more accurate measures than their low frequency counterparts. The research objectives are both technique and content driven. The research will focus on developing precise measures of highly dimensional covariance matrices in the presence of market microstructure noise and Epps effects (non-synchronicity and non-equidistance of price observations), as well as on extending and improving the structure of the existing dynamic covariance models in order to account for specific statistical properties, such as long memory and constructing parsimonious parametrical models to capture major stylized facts of price volatility. Further, in the empirical application of the project, it will be shown that realized covariance approaches are strong competitors to standard multivariate GARCH approaches as instruments for portfolio and risk management. For this purposes, new economic and statistical criteria have be developed.
Proposed Start Date: September 2009 subject to finalization of the contract
Duration: 36 months
Financial Information: Salary plus allowances in line with Marie-Curie FP7 requirements for ESRs.
Host Institution: University of Konstanz, Germany
Academic Advisor: Professor Dr. Winfried Pohlmeier
Secondment: Manchester Business School for 4 months, Deutsche Bundesbank, Riskmetrics, Olsen Ltd.
Eligibility: Nationals or residents of Germany can not apply. At the time of appointment, applicants should have no more than 4 years experience (FTE) after graduation and should not have resided in the host country for more than 12 months in the last 3 years immediately before appointment.
To Apply: Applicants are requested to send the following documents to the Project Coordinator by July, 15th 2009:
- a curriculum vitae
-copies of academic transcripts and degree certificates
-proof of English proficiency (Cambridge Certificate of Proficiency, IELTS, TOEFL)
-one-page statement of purpose about aptitude and motivation for pursuing the program
-two letters of recommendation
Professor Dr. Winfried Pohlmeier
University of Konstanz
PO Box D124