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News archive - April 2020

Friday, April 24, 2020

Genetics and statistics intersect for two Waterloo graduate students

Qihuang Zhang and Ce Yang

For two graduate students at Waterloo, unraveling the mysteries of the human genome requires more than just science. These two students, both given a departmental research presentation award by the Department of Statistics and Actuarial Science, are passionate about bringing their skills to the field of biostatistics.

Wednesday, April 22, 2020

Here's how I cracked Roll up the Rim and won (almost) every time

Tim Hortons roll-up-the-rim cup and win tabs
A statistics professor used his expertise in calculating probabilities to come up with a 98 winning percentage for Tim Hortons popular Roll up the Rim contest.
Tuesday, April 21, 2020

Ruodu Wang: Self-Consistency, Subjective Pricing, and a Theory of Credit Rating

Ruodu Wang

A new research paper Self-Consistency, Subjective Pricing, and a Theory of Credit Rating by Professor Ruodu Wang and his co-authors was recently featured in a Bloomberg news article: Riskier CLOs Get Big Boost From S&P in ‘New Ratings Shopping’.

In the paper, Ruodu and his co-authors propose a theory for rating financial securities, which is the first rigorous treatment of the question of what is an economically sensible way of rating financial instruments with credit risk, such as defaultable debts, Collateralized Debt Obligations (CDO), and Collateralized Loan Obligations (CLO). The study reveals empirical evidences in the post-Dodd-Frank period (i.e., after July 2010) that the issuers of CDO/CLO can take advantage of the absence of an important theoretical property, called self-consistency in the paper. With several theoretical results, the co-authors demonstrate that the lack of such a property may lead to the serious issue of tranche maximization which is widely seen in today's CLO market. As credit rating and rating agencies play a crucial part for the security of the modern financial system and the economy, flawed rating mechanisms could further lead to adverse financial consequences under today's extreme financial stress.
 

To view the paper, please visit Social Science Research Network (SSRN).

Monday, April 13, 2020

New method for evaluating large portfolios

Male on the phone in front of monitors with graphs

University of Waterloo Faculty to Mathematics researchers have developed a new method that enables large insurers to reduce the time spent estimating the financial liabilities of their portfolios from days to hours while achieving high accuracy.

A study details the new method which significantly reduces computational time, but still estimates the financial liability of variable annuity portfolios accurately for business purposes.

Thursday, April 9, 2020

Congratulations to the department’s newest University Research Chair

Alexander Schied

The University has appointed Professor Alexander Schied as a University Research Chair.

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