Risk Analysis and Management Lab

Research Area

Risk Lab. aims to develop methods for the better understanding of internalized risks within products and systems. Our approaches are based on quantitative analysis, using various techniques from probability, stochastic processes, simulation, and optimization. Application domains are diverse, and recent interests are in the fields of quantitative finance, energy, and service operations management. They include pricing and hedging of financial products, systemic risk measurement of financial networks, and analysis and management of supply chain/energy disruption risks.

The members of Risk Lab. are mainly interested in

¶ Simulation methods for stochastic models
¶ Service operations and risk management
¶ Pricing and hedging of financial products
¶ Modeling and analysis of rare and extreme events

Guideline for students who want to study in our lab
IE231/FEP321 Applied Real Analysis and Probability
IE241, IE242 Engineering Statistics I, II
IE331, IE332 OR I, II
IE471/FEP311 Introduction to Financial Engineering
MAS212  Linear Algebra
MAS241, MAS242 Analysis I,II
MAS341 Complex Variables
MAS441 Lebesgue Integral Theory
MAS442 Fourier Analysis and Applications
IE531 Linear Programming
IE574 Portfolio Management and Financial Optimization
IE575/FEP411 Structuring and Pricing of Financial Products
IE632, IE671 Stochastic Modeling I,II
MAS550  Probability Theory
MAS555 Advanced Statistics
MAS641 Functional Analysis
MAS650 Stochastic Differential Equations

#2111, E2-2, KAIST, 291 Daehak-ro, Yuseong-gu, Daejeon 34141, Republic of Korea

TEL. +82-42-350-3168

E-mail. risklab.kaist(at)gmail.com

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