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The University of Southampton
Centre for Risk Research

Centre secures major research project with leading investment firm

Published: 4 December 2015
The project is a two-year KTP

A team of researchers from the Centre for Risk Research(CRR) have secured a £266,000 two-year Knowledge Transfer Partnership award (KTP 010262) funded by Innovate UK, EPSRC and ESRC in conjunction with Seven Investment Management.

 

The project will commence in 2016 and aims to design, transfer and embed an innovative and cutting edge capability concerning risk management for investment portfolio optimization via advanced volatility estimation in Seven Investment Management. This will involve a CRR team working closely with the investment team at Seven Investment Management, a leading investment management company with £10bn of assets under management.

Professor Johnnie Johnson, the lead academic on the project, said ‘We are delighted to join forces with Seven Investment Management on this project, and our involvement confirms the CRR’s reputation for developing cutting edge approaches to managing investment risk”.

 

 

The project will involve developing a best-in-class implied volatility extraction algorithm, creating a factor-based methodology for producing implied volatility estimates for assets without actively traded options, applying the volatility extraction algorithm to a comprehensive range of asset classes in real time, developing a new methodology for capturing cross-asset correlation and combining the selected output covariance matrix with a number of other best-in-class covariance estimators.

The Centre for Risk Research project team, includes Professor Frank McGroarty, Professor Johnnie Johnson, Professor Ming-Chien Sung, Dr. Richard McGee, Dr. Patrick O’Sullivan and Dr. Tiejun Ma.

 

One of the project funders
One of the project funders

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