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Charmaine Dean
Tuesday, May 19, 2020

Charmaine Dean Named IMS Fellow

Charmaine Dean, Vice-President, Research and Professor in the Department of Statistics and Actuarial Science, University of Waterloo, has been named Fellow of the Institute of Mathematical Statistics (IMS).  Dr. Dean received the award for her scientifically important contributions to the analysis of count data, disease mapping, spatio-temporal data and more; for her outstanding leadership to the statistical profession, her record of mentorship and for her enormous work in keeping statistics visible at the center of science.
Qihuang Zhang and Ce Yang
Friday, April 24, 2020

Genetics and statistics intersect for two Waterloo graduate students

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.

Ruodu Wang
Tuesday, April 21, 2020

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

Ruodu WangA 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).

Male on the phone in front of monitors with graphs
Monday, April 13, 2020

New method for evaluating large portfolios

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.

Monday, April 6, 2020

Yilin Chen wins 2020 Huawei Prize for Best Research Paper

Statistics and Actuarial Science PhD candidate Yilin Chen is one of two students to claim the 2020 Huawei Prize for Best Research paper by a Mathematics Graduate Student. The $4,000 prize affirms the value of Chen’s efforts to establish a framework for analyzing nonprobability survey samples in her winning paper: Doubly Robust Interference with Nonprobability Survey Samples.