Summary 

The research of the MRM group focus on subjects closely related to the credit crisis that developed during 2008. The research is directed towards both fundamental and applied research. The aim is to always relate new models, techniques and settings to real world data, cases and situations. To realize this we shall have a close cooperation with people active in the financial industry.

Currently there are three themes in the MRM Group:

• New Rating Models for Asset Backed Securities (ABSs)
• Alternative Volatility models
• Credit derivatives and their risk management