Grant: Discovery Grants Program - Individual
Wilfrid Laurier University
$15,000.00
State Dependent Correlations in Finance
FY 2021-22
Summary
Correlation; Dynamic Correlation; Factor models; Model risk; Principal components; Quantitative finance; Regime switching; Risk management; Risk measurement; Stochastic Correlation
Program
Discovery Grants Program - Individual
Recipient
Location
Ontario, Canada
Recipient Type
Academia
Type
Grant
Source
NSERC's Awards Data
As published
Application id
RGPIN-2016-06136
Name nom
Metzler, Adam
Department département
Mathematics - Mathematics
Organization id
35
Institution établissement
Wilfrid Laurier University
Province en
Ontario
Province fr
Ontario
Country en
CANADA
Country fr
CANADA
Fiscal year exercice financier
2021
Competition year année de concours
2016
Award amount
15000
Program id
RGPIN
Program name en
Discovery Grants Program - Individual
Program name fr
Programme de subventions à la découverte - individuelles
Group en
Discovery grants programs
Group fr
Programmes de subventions à la découverte
Committee code
1508
Committee name en
Mathematics and Statistics
Committee name fr
Mathématiques et statistique
Area of application code
1205
Area of application group en
Advancement of knowledge
Area of application group fr
Avancement des connaissances
Area of application en
Mathematical sciences
Area of application fr
Sciences mathématiques
Research subject code
3008
Research subject group en
Statistics and probability
Research subject group fr
Statistique et probabilité
Research subject en
Applied probability
Research subject fr
Probabilité appliquée
Installment
inst:5
Partie
1
Nb partie
6
Application title
State Dependent Correlations in Finance
Keyword
NSERC
Application summary
Correlation; Dynamic Correlation; Factor models; Model risk; Principal components; Quantitative finance; Regime switching; Risk management; Risk measurement; Stochastic Correlation
