The chair “Risques Financiers” of the Fondation du Risque has been renewed for the period 2023-2027. The researchers involved at CERMICS are Benjamin Jourdain (Principal Investigator) and Aurélien Alfonsi. The chair is headed by Nicole El Karoui and jointly conducted with Sorbonne Université (PI: Gilles Pagès) and Ecole Polytechnique (PI: Nizar Touzi). Since its creation in 2007, this chair fosters collaborations between Société Générale, École Polytechnique and École des Ponts ParisTech. Sorbonne University has joined in 2012. The research program for the next five years is focused on the investigation of decision models for interacting risks (modelling of the dependence between several assets, rough volatility models, systemic risk and interactions between financial institutions).
