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Finance

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.

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Project Leader(s): 

Dr. Tom Salisbury, York University

Project team: 
Dr. Huaxiong Huang, York University
Dr. Sebastian Jaimungal, University of Toronto
Dr. Manuel Morales, Unversité de Montréal
Dr. Adam Kolkiewicz, University of Waterloo
Dr. Charles Dugas, Université de Montréal
Dr. Hyejin Ku, York University
Dr. Sheldon Lin, University of Toronto
Dr. Jose Garrido, Concordia University
Dr. Ken Seng Tan at U Waterloo
Non-academic participants: 
Funding period: 
April 1, 2021 - March 31, 2021

With many baby-boomers entering retirement in North America, and with the increasing size of the aging population worldwide due to economic and social development, managing retirement income becomes an important question for the finance and insurance industry as well as for individuals. At the same time, corporations are stepping away from the standard “pensions" they have traditionally offered employees. As a result, individuals are responsible more often for managing the risks associated with securing their retirement income.

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