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Financial Technologies

Project Leader(s): 

Postdoctoral fellow: Dr. Lung Kwan Tsui, Department of Statistics and Actuarial Science, University of Waterloo

Lead faculty member: Dr. David Saunders, Department of Statistics and Actuarial Science, University of Waterloo

Non-academic participants: 

The consequences of the mismanagement of credit risk and mispricing of structured credit portfolios are notorious. The purpose of this project is to research, develop and implement superior methods for managing credit derivatives, from single name instruments such as credit default swaps to complex structured products, such as mortgage-backed securities and collateralized debt obligations. The algorithms investigated will employ a bottom-up approach, based on realistic modeling of the underlying collateral instruments (e.g. mortgages).

Project Leader(s): 

Dr. Matt Davison, University of Western Ontario

Project team: 
Dr. Robert Elliott, University of Calgary
Dr. Marcos Escobar Anel, Ryerson University
Dr. Matheus Grasselli, McMaster University
Dr. Tom Hurd, McMaster University
Dr. Rogemar S. Mamon, University of Western Ontario
Dr. Adam Metzler, University of Western Ontario
Dr. Mark Reesor, University of Western Ontario
Dr. Anatoly Swishchuk, University of Calgary
Dr. Tony Ware, University of Calgary
Dr. Traian Pirvu, MacMaster University
Dr. Ivar Ekeland , University of British Columbia
Dr. Rachel Kuske, University of British Columbia
Funding period: 
February 25, 2022 - March 31, 2021

Traders in both financial markets and commodity markets must make educated decisions about when to trade and at what price; this project develops tools to assist with this decision-making process. Working with energy companies, financial software companies as well as companies from the banking and insurance sectors, the research team develops optimal portfolio methods that produce both the best investment decisions and the best hedging strategies for claims in general markets.