Research

Academics and practitioners are both interested in new methodologies that provide an improved description of thevariability of financial data. The LSF participates in this effort by developing new econometric tools and by testing their performance on real data: ARCH models, semi-parametric and non-parametric estimators, risk estimation, value-at-risk models, risk classification of securities, asset pricing models.

This area focuses on the Pillars of the Basle II Agreement: firstly, it covers the management of credit risk, from the
perspective of capital requirements and the disclosure of information to the financial markets. Secondly, it focuses
on the financial institutions’ organizational structures and the way in which such institutions are governed.Most models assume that financial markets are efficient, yet the existence of durable disequilibria and the increasing set of paradoxes rising from the recent past necessitate the adoption of new tools describing the bounded rationality of human agents. The LSF develops theoretical and experimental works in this field in collaboration with external institutions.

Most models assume that financial markets are efficient, yet the existence of durable disequilibria and the increasing
set of paradoxes rising from the recent past necessitate the adoption of new tools describing the bounded rationality
of human agents. The LSF develops theoretical and experimental works in this field in collaboration with external
institutions.

The recent history of Luxembourg gives a relevant example of the deep interactions between the origin and design
of law, economic growth, and the development of financial markets. The current research program aims at: studying the
causality links between financial development and law; developing a theoretical background in order to support any
empirical investigations in this field.