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Actuarial science

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): 

[url=mailto:[email protected]]Dr. Jean-Marie Dufour[/url] , Université de Montréal

Project team: 
Dr. Marine Carrasco, Université de Montréal
Dr. Jérôme Detemple, Boston University
Dr. Rene Garcia, Edhec Business School
Dr. Silvia Gonçalves, Université de Montréal
Dr. Lynda Khalaf, Université Laval
Dr. Nour Meddahi, Université de Toulouse
Dr. Benoit Perron, Université de Montréal
Dr. Éric Renault, University of North Carolina Chapel Hill
Dr. Marcel Rindisbacher, University of Toronto
Non-academic participants: 
Funding period: 
February 25, 2022 - March 31, 2021

This project deals with the mathematics of risk modeling and resource management. Using mathematical and statistical methods, the team develops new tools to help the financial services industry make better decisions about when to trade and at what price based on the available financial data. During the past year, the team focused on the development of statistical methods for measuring volatility and assessing asset pricing models in financial markets.

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.