Office: Hagey Hall 383D
Phone: 519-888-4567 x35210
Education and certifications
PhD (Queen's University)
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.
- Men, Z. and T. S. Wirjanto (2017). A New Variant of Estimation Approach to Asymmetric Stochastic Volatility Model. To appear in Quantitative Finance and Economics.
- Andrews, D., J. Oberoi, T. S. Wirjanto and C. M. Zhou (2017). Demography and Inflation: An International Study. To appear in North American Actuarial Journal.
- Wirjanto, T. S. and A. Zhu, (2017). Implied Volatility Surfaces During the Period of Global Financial Crisis. To appear in International Journal of Financial Engineering.
- Hofert, M., A. Memartoluie, D. Saunders and T. S. Wirjanto (2017). Improved Algorithms for Computing Worst Value-at-Risk: Numerical Challenges and the Adaptive Rearrangement Algorithm. To appear in Statistics & Risk Modeling.
- Memartoluie, A., D. Saunders and T. S. Wirjanto (2017). Wrong-way Risk Bounds in Counterparty Credit Risk Management, Journal of Risk Management in Financial Institutions, Vol. 10, No. 2, 150-163.
- 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).
Recent research grants:
- UW International Research Partnership Grants (IRPG): 2017. $20,000+ matched amount by ECUST $20,000.00, Volatility Models and Financial Risk Analysis: an Empirical Study on Shanghai and Shenzhen Stock Markets.”
- 2017: Society of Actuaries” 2017, USD $30,000.00, “Managing Climate and Carbon Risk in Investment Portfolios.”
- The Social Sciences and Humanities Research Council (SSHRC): 2015, $140,000.00, "Return Correlations during Episodes of Systemic Crises in Financial Markets."
- The Social Sciences and Humanities Research Council (SSHRC): 2015, $200,000.00, with Doug Andrews - Department of Statistics & Actuarial Science - "Population, Aging, Implications for Asset Values, and Impacts for Pension Plans: An International Study."
- The Society of Actuaries: 2013, $50,000.00, with Douglas Andrews - Department of Statistics & Actuarial Science, "Investigating the link between population aging and deflation."
- The Society of Actuaries: 2013-2017, $495,000.00, with Carole Bernard, Mary Hardy, Chengguo Weng, Adam Kolkiewicz, Johnny Li, David Saunders, and Ken Seng Tan - Department of Statistics & Actuarial Science, and Phelim Boyle - School of Business and Economics, Wilfrid Laurier University, "Integrated risk management: with applications to insurance companies and other financial institutions."
- Global Risk Institute in Financial Services: 2012, $92,000.00, with Sati Bandyopadhyay, Ranjini Jha, Duane Kennedy, and Ken Vetzal (PI), Low for Long.
- Robert Harding Humanities and Social Sciences Endowment Award: 2012, $5,500.00, with Jee-Hae Lim and Theo Stratopoulos, "Reciprocity between information technology innovative firms and senior executives: a source of competitive advantage."
- The Social Sciences and Humanities Research Council (SSHRC): 2011, $64,690.00, as a PI with Alan G. Huang, "Examining the effects of increased volatility uncertainty of firms."
- SSHRC: 2011, $87,062.00, as a CI with H. P. Tan and P. O'Brien, "Determinants of financial analyst following and its value indications.
- Member of 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.
- 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.
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.