Welcome to Waterloo Research Institute in Insurance, Securities and Quantitative Finance (WatRISQ)
To be a world-class centre in financial risk management, bringing together a strong research team of specialists in actuarial science, computer science, econometrics, finance and statistics.
To promote excellence in the science and practice of risk management through teaching, research and outreach activities.
- Feb. 22, 2018
"New Ideas for Credit Portfolio Management" by Dr. David Li, Shanghai Advanced Institute of Finance and Columbia University
- Apr. 22, 2016
Dr. Tom Coleman was selected for his contributions to financial optimization, sparse numerical optimization and leadership in mathematical education and industry engagement. Each year, SIAM Fellowships are designated to recognize members of the community for their distinguished contributions to computational science, applied mathematics and associated fields. Fellows are selected based on nominations by SIAM members and chosen by The Fellows Selection Committee.
- Sep. 2, 2015
Designed and Produced by Waterloo Research Institute in Insurance, Securities and Quantitative Finance (WatRISQ), the new online program is an ideal introduction and review of financial risk management from a quantitative (how to compute it!) perspective. It is meant for prospective (quantitative) financial analysts in industry and for those experienced analysts in need of a review and possibly more breadth. It is expected the student taking this course will have a solid background in the mathematical sciences (e.g., an undergraduate degree in the mathematical sciences) but a specific background in computational finance or risk management is not required.
- Feb. 22, 2018
New Ideas for Credit Portfolio Management by Dr. David Li, Shanghai Advanced Institute of Finance and Columbia University
This talk first provides an overview about the copula function approach to credit portfolio modeling. Some of the key theoretical deficiency in its current framework is then highlighted. Finally, some initial result based on the equilibrium approach to the credit portfolio modelling is presented. This new approach is based on the extension of the copula function for random variables to the copula function for stochastic processes. The basic definition, properties of copulas for stochastic processes are discussed. This new approach allows us to theoretically link our credit portfolio modeling with our classical equity portfolio modeling under the CAPM setting.