FP7 Marie-Curie Initial Training Network
Risk Management and Risk Reporting
Position: Early Stage Researcher/PhD Placement
Project Title: Interbank Lending and Bank Risk Measure

Project Description:
The Early Stage Researcher (ESR) in this project will work on measures to restore the interbank markets that are crucial for banks` liquidity management, but mostly dried up during the crisis. The current external risk reporting of banks lacks credibility because the reported values at risk (VaR) turned out to be very small in relation to the reported depreciations on bank assets.

The project is divided in several steps.
The first step is to find out why the reported VaR were so misleading; is it because the underlying stochastic models are ignoring systemic risks, or because the time horizon of the underlying model is too short?

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