Zhannur Issayev

Title: Risk Measurement at and for Different Frequencies

Supervision Team: John Cotter, UCD / Pierpaolo Dondio, TU Dublin / Tom Conlon, UCD

Description: There are many risk events associated with trading that have affected markets, traders and institutions. These can occur very quickly or evolve more slowly over longer horizons. A common feature of these events is a lack of anticipation of the magnitudes of losses and the lack of controls in place to provide protection. A further common feature is that these can be large scale events that are very costly and often systemic in nature. This project will apply alternative risk measures in setting margin requirements for future trading, capital requirements for trading, and price limits and circuit breakers, to protect against extreme price/volume movements. The project will employ AI/ML techniques along with other econometric principles, to risk measurement and management. This project will look to identify strengths and weaknesses in applying AI/ML approaches in modelling financial risk, and especially systemic risk.