The project - known as the Financial Laboratory Club - will bring simulated battlefields to the dealing room in an attempt to develop new solutions to the problems of risk management in the City.
BZW hopes the project will allow all levels of its staff to better understand the risks being taken. It should also provide more accurate calculations of the amount of capital which needs to be set aside by the bank and also make for accurate, and more competitive, pricing of financial instruments.
It may all seem far-fetched but according to Martin Dooney, global head of money markets at BZW, the stresses and strains facing the trader in a City dealing room and a fighter pilot flying at 20,000 feet are similar.
"The risks are obviously different. For the crew of a main battle tank it could be missile defences of the opposing force and for the bond trader it could be movement of short-term interest rates," Mr Dooney said.
"However, we each have to develop tactics to counter risk and we need to develop systems which can be used by individuals working under the high stress loads usually associated with high risk environments," he said.
BZW hopes the project will keep it ahead of its rivals in a highly competitive trading environment in which margins are falling and costs of staff rising.
The club has pounds 1.8m of funding for the first two years. Of that, the Government is making a pounds 750,000 grant and BZW is providing pounds 250,000.
Regulators such as the Bank of England are expressing an interest in the project.
While fighter pilots and traders face similar challenges, fighter pilots only receive the most relevant information they need to make decisions. In contrast, traders suffer from what BZW calls information overload - a deluge of statistics about interest and currencies, say, are displayed on banks of computer screens while phones constantly ring.
Comment, page 21