David Saunders

While a graduate student at the University of Toronto, Professor Saunders was an associate member of the Quantitative Research group at Algorithmics Inc., a leading provider of software for financial risk management. He worked on numerous projects including mutual fund ratings, applications of optimization duality to pricing derivative securities, stochastic programming for risk management, and the development of software for a general system for solving financial stochastic optimization problems (a joint project with the University of Cambridge).

After graduation, Professor Saunders was CLR Chair in Corporate Finance and deputy director of RiskLab Cyprus (a financial risk management research laboratory) at the Cyprus International Institute of Management, as well as a research fellow at the HERMES European Center of Excellence on Computational Finance and Economics at the University of Cyprus. He then joined the faculty of the Department of Mathematics at the University of Pittsburgh, where he served as director of the department's Professional Science Masters Program in Mathematical Finance, and supervised numerous collaborative projects between students and financial institutions including RiskMetrics (default boundaries and inverse problems in credit risk), Toronto Dominion Bank (calibration of credit risk models, optimal capital allocation, fast pricing of Bermudan swaptions), PNC Bank (default correlation and CDO pricing, statistical methods for operational risk), and Mellon Bank (mathematical models for operational risk).

Professor Saunders has served as a consultant for many financial institutions including the Bank of Nova Scotia (efficient computation of value at risk for Bermudan swaption portfolios), the Ontario Teachers' Pension Plan (interest rate risk management), the Cyprus Development Bank (credit portfolio management, equity risk management), and the Central Bank of Cyprus (market risk management).