Quantitative Finance and Risk Management

  • Hans-Jörg Von Mettenheim

    Full Professor of Quantitative Finance and Risk Management

IPAG’s Quantitative Finance chair monitors trends in algorithmic trading around the world, focusing on the analysis of risks and opportunities arising from it.

Challenges of quantitative algorithms
Today’s financial world is dominated by algorithms and machines. Estimates indicate that more than half of the volume of trade carried out daily on developed financial markets is now generated by quantitative algorithms instead of humans. This increasing automation of transactions offers unique opportunities, but it can also generate risks: market disruptions, systemic crises, market abuses, etc. Algorithmic trading and risk management are two faces of the same coin.

Strengthening financial actors’ strategies
IPAG established its Quantitative Finance and Risk Management research chair in 2016 to contribute to the analysis of algorithmic trading, the exploration of its opportunities, and the assessment of its risks.
The chair, which is directed by Hans-Jörg von Mettenheim – PhD, tenured professor at IPAG, founder and Secretary-General of the Forecasting Financial Markets Association (FFMA) –, puts market expertise and proprietary data sets at the heart of its research. It regularly organises conferences and seminars to encourage knowledge-sharing between researchers and practitioners. Its work and publications aim at strengthening financial actors’ algorithmic trading and risk management strategies.
The chair is notably interested in the applications of big data techniques and data-based machine-learning, a line of research with aims to improve understanding of such new asset classes as cryptocurrencies.

The IPAG Chair of Quantitative Finance and Risk Management (QFRM) was created in 2017 with the objective to firmly anchor modern quantitative finance and risk management methods within the IPAG ecosystem. The research goal of the Chair is to provide state of the art insight on modern financial markets and their relationship to algorithms and big data. At the same time the Chair strives and making the complex area of quantitative finance accessible to students by providing real-life applications.

Led by Dr. Hans-Jörg Henri von Mettenheim, Professor of Finance and Head of the Master of Finance and Markets, the Chair QFRM investigates financial markets in a data-driven approach. With its research, the Chair provides actionable insights in the areas of algorithmic trading and market risk management that are useful for academics and industry practitioners alike.

A strong interest of the Chair is to develop robust systems for algorithmic trading and risk management. It is of importance to strike the right balance between complexity and manageability. Because of this the Chair places a strong emphasis on system design.

Tax benefits
Whether you are a company or an individual, your financial contribution entitles you to a tax benefit.
Companies: you are entitled to a corporate tax reduction, the amount of which is equal to 60% of your donation and subject to a limit of 5‰ of your revenues.
Individuals: you are entitled to an income tax reduction, the amount of which is equal to 66% of your donation and subject to a limit of 20% of your taxable income.

Contact
Dr Hans-Jörg von Mettenheim, tenured professor at IPAG. Secretary-General of the Forecasting Financial Markets Association (FFMA), Department Editor for Finance of the Journal of Forecasting.

E-mail : hj.von-mettenheim@ipag.fr

Activities

Co-Design of a Master in Quantitative Finance with an Engineering School with a special focus on applied quantitative trading.

International Conference on Forecasting Financial Markets in Dublin

International Conference on Forecasting Financial Markets in Oxford

Roundtable on FinTechs and InsurTechs in Paris

Partners

Events

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