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Research Projects Supported by HKU's High Performance Computing Facilities |
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| Researcher: |
| Professor Wai-keung Li, Department of Statistics and Actuarial Science |
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Project Title: |
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Modelling of Financial Time Series with Applications to Value-at-Risk (VAR) Problems in Financial Market Risk |
| Project Description and Significance: |
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The modeling of volatility is an
important issue in finance. In the last decade many models have been
developed to model and forecast the volatility in financial time series. The
pioneers for such models, called ARCH or GARCH models, Professor C W J
Granger and R F Engle were awarded the Nobel prize in economics 2003, for
their contributions. The Department of Statistics and Actuarial Science at HKU is one of the world centres for methodological research in financial time series. We have been developing cutting edge technologies in the modelling of volatilities through the decades and Professor Li was awarded a Croucher Foundation Research Fellowship this year for his contributions to this important area. This project is aimed to maintain the technological edge of the Department by developing new multivariable models for volatility with the aim of applying them to the Value-at-Risk problems in finance. Value-at- Risk is an important tool for risk management and is recommended by the Basel Committee on Banking Supervision to financial institution. Both the modelling of volatility and the estimate of VAR require tremendous computing power that is not usually available in a PC and a super-computer will be needed here. |
| Project Duration: |
| On going. |
| Remarks on the Use of High Performance Computing Cluster: |
| We cannot rely on ordinary PC¡¦s even for VAR problems in the Hong Kong stock market since there are thousands of products: stocks, warrants, futures and options and each product gives rise to a long time series of at least several thousand observations. The valuation of these products, especially with options and warrants are often not trivial. |