MIT EECS - eBay Inc Undergraduate Research and Innovation Scholar
Real-Time Systemic Risk Quantification
Andrew W. Lo
The goal is to provide real-time assessment of the systemic risk in the market. Systemic risk is the probability of correlated defaults among financial institutions occurring over a short span of time. Such an event is likely to occur when various institutions are interconnected. We hope to build upon prior research by creating a framework to monitor the system using real-time data aggregation and analysis. The main purpose of our framework will be to measure attributes at periodic intervals, and outputting a measurement of risk. In a very broad sense, we would like our system to be an early detection system for periods of high systemic risk and allow users to shield themselves from probable damage in the future.
I have worked at Citadel LLC working on alpha generating projects in options market making, convertible bonds, and credit default swaps. In addition, I have worked at Bank of America to help develop foreign exchange high frequency strategy, and I have worked at Altimeter Capital, a Boston hedge fund, developing scripts for automated data aggregation.