The Centre for Computational Finance and Economic Agents (CCFEA) is aninnovative, interdisciplinary and laboratory based teaching and researchCentre which is a showcase for cutting edge computational andevolutionary methods to simulate markets with artificially intelligentagents and to design real time trading and risk management systems.

An important area for research is the development of an agent basedmodel of systemic risk from bank behavior relating to transfer ofbalance sheet and credit risks. This framework can explore coevolvingstrategies of banks with regard to securitization and off balance sheetderivatives positions with that of insurance companies and theirportfolio choice of credit risk assets. The implications of thestrategies of these two classes of agents for the systemic stabilitywill be analyzed after careful calibration (indirect estimation) withempirical data. This involves a model selection procedure based onheuristic optimization methods.

As part of the “Marie Curie Training and Research Network” on“Computational Optimization Methods in Statistics, Econometrics andFinance” (COMISEF), CCFEA offers a PhD studentship for the academicyears 2007/08 to 2009/10 with a monthly salary of up to EUR 3,500.

Ideally, candidates have an upper second or distinction degree in aMasters such as in Computing, Finance, Economics, or Econometrics. Thesuccessful candidate will be enrolled in the Doctoral Program at CCFEAleading to a PhD in Computational Finance. This program has a first yeartaught component which is geared to equipping the student with advancedtopics in computational economics and finance which include training inobject oriented programming and agent based modeling. In addition, thePhD student will be involved in training and research activities ofCOMISEF’s 14 partner institutions.

For further information, please visit our websites www.essex.ac.uk/ccfeaand www.comisef.eu or contact Professor Sheri Markose scheri[at]essex.ac.uk.

Application has to be received by 31 January 2007.