Tony Wirjanto

Professor, Finance

Office: Hagey Hall 383D

Picture of Tony W

Phone: 519-888-4567 x45210

Email: twirjant@uwaterloo.ca

Education and certifications

PhD (Queen's University)

Brief biography

My research interests focus primarily on developing statistical methodology for applications in finance and finance-related areas. My current work explores  the use of finite mixtures of distributions and ultra-high frequency data for volatility forecasting, portfolio choice and financial risk management. I am also a full professor at the Department of Statistics & Actuarial Science of the Faculty of Mathematics;visit my web page with the Department of Statistics and Actuarial Science. In addition, I am also cross-appointed as a full professor to the Cheriton School of Computer Science of the Faculty of Mathematics.

Selected publications

1. Modeling climate changes and climate change risks

  • K.S. Tan, M. Fang, and T. Wirjanto. 2018. Managing Climate and Carbon Risk in Investment Portfolios. Society of Actuaries (SOA) Climate & Environmental Sustainability Research Committee, Pages 1-54.
  • M. Fang, K. S. Tan and T. Wirjanto. 2019. Sustainable portfolio management under climate change. Journal of Sustainable Finance & Investment, 9(1), 45-67.
  • M. Fang, K. S. Tan and T. Wirjanto. 2019. Sustainable Portfolios Under Climate Change: A Framework for Managing Investment-related Climate Change Risks. Risks & Rewards, March, Issue 73,18-23.
  • M. Fang, K. S. Tan and T. Wirjanto. 2021. Valuation of carbon emission allowance options under a close trading phase. Funded by the Society of Actuaries Centers of Actuarial Excellence Research Grant for the project entitled: “Maintaining Financial Stability in an Era of Changing Climate and Demographics.” Working Paper. University of Waterloo.
  • M. Fang, K. S. Tan and T. Wirjanto. 2021. Valuation of carbon emission allowance options under a close trading phase. Technical Appendix. Funded by the Society of Actuaries Centers of Actuarial Excellence Research Grant for the project entitled: “Maintaining Financial Stability in an Era of Changing Climate and Demographics.” Working Paper. University of Waterloo.
  • M. Fang, K. S. Tan and T. Wirjanto. 2021. Valuation of carbon emission allowance options under an open trading phase. Funded by the Society of Actuaries Centers of Actuarial Excellence Research Grant for the project entitled: “Maintaining Financial Stability in an Era of Changing Climate and Demographics.” Working Paper. University of Waterloo.
  • H. Cao and T. Wirjanto. 2021. ESG Information Integration into Portfolio Optimization. Forthcoming in Journal of Risk Management in Financial Institutions.
  • Y. P. Samoo and T. Wirjanto. 2021.  Predicting Cost of Damage due to Pluvial Flooding. Working Paper. University of Waterloo.
  • Y. Wang and T. Wirjanto. 2022. ESG Integration within Equity Portfolios. Working Paper. University of Waterloo.
  • Y. Zhang and T. Wirjanto. 2022. Disagreements on ESG Ratings with Perspectives from Real-Estate Industry. Working Paper. University of Waterloo.

2. Functional Time Series with Applications to Quantitative Finance

  • G. Rice, Y. Zhao and T. Wirjanto. 2020. Tests for conditional heteroscedasticity of functional data, Journal of Time Series Analysis, 41, 733-758.
  • G. Rice, Y. Zhao and T. Wirjanto. 2020. Forecasting value at risk with intra-day return curves,  International Journal of Forecasting, 36(3), 1023-1038.
  • K. Ramsay, G. Rice, Y. Zhao and T. Wirjanto.  2020. CurVol: An R Package for Analyzing Volatility of Functional Time Series Data, December 7, p.16. https://github.com/yzhao7322/CurVol/blob/master/README.md.
  • K.  Ramsay, G. Rice, Y. Zhao and T. Wirjanto. 2020. A manual for an R Package ‘CurVol’. https://rdrr.io/github/yzhao7322/CurVol/man/.
  • G. Rice, Y. Zhao, and T. Wirjanto. 2021. Functional GARCH-X Model with an Application to Forecasting Crude Oil Return. Working Paper. University of Waterloo.

3. Portfolio Optimization and Risk Management

  • D. Guo, C. Weng and T. Wirjanto. 2020. Sample Eigenvalues Adjustment for Portfolio Performance Improvement under Factor Models. October. Available at SSRN: https://ssrn.com/abstract=2959808 or http://dx.doi.org/10.2139/ssrn.2959808.
  • D. Guo, P. Boyle, C. Weng and and T. Wirjanto. 2020. When Does The 1/N Rule Work? October 28. Available at SSRN: https://ssrn.com/abstract=3111531 or http://dx.doi.org/10.2139/ssrn.3111531.
  • D. Guo, P. Boyle, C. Weng and T. Wirjanto. 2020. Eigen Portfolio Selection: A Robust Approach to Sharpe Ratio Maximization. April 1. Available at SSRN: https://ssrn.com/abstract=3070416 or http://dx.doi.org/10.2139/ssrn.3070416.
  • D. Guo,  P. Boyle, C. Weng and T. Wirjanto. 2020. Age Matters. April 11. Available at SSRN: https://ssrn.com/abstract=3363360 or http://dx.doi.org/10.2139/ssrn.3363360.

4. Others

  • D. Melkuev, D. Guo, and T. Wirjanto. 2018. Applications of Random-Matrix Theory and Nonparametric Change-Point Analysis to Three Notable Systemic Crises. A special issue on Systemic Risk Measurement in Quantitative Finance and Economics, 2(2), 413–467.
  • Z. Men and T. Wirjanto. 2018. A New Variant of Estimation Approach to Asymmetric Stochastic Volatility Model. A special issue on Volatility of Prices of Financial Assets in Quantitative Finance and Economics, 2(2), 325-347. 
  • Y. Shen and T. Wirjanto. 2019. Stationarity as a path property. Probability and Mathematical Statistics. 39(2), 403-422.
  • Z. Men, A. W. Kolkiewicz, and T. Wirjanto. 2019. Threshold Stochastic Conditional Duration Model for Financial Transaction Data. Journal of Risk and Financial Management. 12, p. 88.
  • Tan, K. S., C. Weng. 2020 and T. Wirjanto. Advances in Predictive Analytics. North American Actuarial Journal, 24(2), 165-167.
  • D. Wang, J. Ding, G. Chu, D. Xu, and T. Wirjanto. 2020. Modeling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution: evidence from China. Applied Economics. 53(7), 781-804.
  • Z. Men and A. W. Kolkiewicz and T. Wirjanto. 2021. Multiscale stochastic volatility with heavy tail and leverage effect. Journal of Risk and Financial Management. 14(5), p. 225.
  • Diao, L., Y. Meng, C, Weng, and T. S. Wirjanto. 2022. Enhancing Mortality Forecasting Accuracy with Model Averaging and Time Shifting. Working Paper. University of Waterloo.

Awards

  • University Research Chair, 2009-2016.
  • Senior Fellow (in Financial Econometrics), Rimini Centre for Economic Analysis (RCEA), Rimini, Italy, since 2008 (http://www.rcfea.org/).
  • Senior Guest Professor (in Finance), Department of Finance, School of Economics, Zhejiang University, Hangzhou, Zhejiang, China, since 2005 (a life-time award).

Funding

Recent research grants:

  • Centers of Actuarial Excellence (CEA): 2018-2021, $297,000.00, “Maintaining Financial Stability in an Era of Changing Climate and Demographics.”  
  • UW International Research Partnership Grants (IRPG): 2017-2018. $20,000+ matched amount by ECUST $20,000.00, Volatility Models and Financial Risk Analysis: an Empirical Study on Shanghai and Shenzhen Stock Markets.”
  • Society of Actuaries” 2017-2018, USD $30,000.00, “Managing Climate and Carbon Risk in Investment Portfolios.”
  • The Social Sciences and Humanities Research Council (SSHRC): 2015-2019, $140,000.00, "Return Correlations during Episodes of Systemic Crises in Financial Markets."

Editorial boards

  • Co-Editor, Review of Economic Analysis, since 2021.
  • Editorial Board, Austin Statistics, since 2014.
  • Associate Editor-in-Chief, Journal of Mathematical Finance, since 2012.
  • Editorial Board, Mathematical Finance Letters, since 2013.
  • Editorial Board, Econometrics, since 2012.
  • Associate Editor, International Journal of Finance and Accounting Studies (IJFAS), since 2013.
  • Associate Editor, Empirical Economics, 2006-2013.

Professional services

  • Associate Director of Waterloo Research Institute in Insurance, Securities and Quantitative finance (WatRISQ), since 2009.
  • Director of Master in Quantitative Finance (MQF), Faculty of Mathematics, 2014-2016. 

News

Charting a course down an unknown road

Tony Wirjanto is an expert in using mathematics and statistics to model, measure and forecast financial risk. But the professor of statistics and actuarial science admits if you want to know what lies ahead for the economy - look back.Read more.