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Capabilities
The FERG is a focal point for research and development on the modeling, risk management, and information technology
aspects of credit and finance. FERG also promotes education in financial engineering and the transfer of basic
technology to interested companies.
Research Areas and Projects
FERG encompasses a wide range of research interests that bear on financial and credit. Representative areas include:
- Information and internet technology
- Classification and scoring models
- Data mining and fusion
- Intelligent decision support systems
- Risk management and portfolio optimization
- Valuation and pricing models
Our researchers specialize in engineering rapid-response solutions to real problems in credit and finance. Projects
that we have undertaken for industry include:
- Bayesian combination of input data in credit scoring
- Dominant strategies for the combination and use of multiple credit score
- Web-based credit scoring systems
- Collateral-based valuation of intellectual property
- Intellectual property search tools and validation models
- Information-based mailing strategies
- Optimization of credit card collections operations
- Optimal risk-management strategies for large-scale users of derivative instruments
- Development and application of a value-at-risk methodology for investment projects
- Markovian models for pattern recognition in financial instrument data
- Neuro-dynamic programming pricing of exotic options
Personnel
The FERG staff is comprised primarily of faculty and students from the Department of Systems Engineering and the McIntire
School of Commerce. FERG members collaborate in supporting the Center for Risk Management of Engineering Systems, which is
internationally known as a center of excellence for the development and application of risk assessment and management
methodologies. We are also affiliated with the Institute for Parallel Computation, which was created to tackle the unique
problems associated with multi-processor computing. Our UVA staff draws on the expertise of industry consultants in credit
solicitation and management and in information technology.
Resources
FERG maintains a computing laboratory with ten workstations running Windows 2000, Linux, and Solaris. FERG faculty and
students also have access to computing resources of the Department of Systems Engineering. The department maintains licenses
for a variety of relevant software packages, including SAS (statistical), CART (classification), and CPLEX (mathematical
programming). Faculty members and students also have access to a number of high-performance computing resources within the
School of Engineering and Applied Science and to the University of Virginia library systems, which consists of fifteen
libraries containing about 4.2 million volumes and more than 20,000 periodicals and newspapers.
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