Welcome to Waterloo Research Institute in Insurance, Securities and Quantitative Finance (WatRISQ)

WatRISQ Vision:

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.

WatRISQ Mission:

To promote excellence in the science and practice of risk management through teaching, research and outreach activities.


  1. Nov. 2, 2018Joint Columbia University (IEOR) and University of Waterloo (WatRISQ), "Measuring and Using Trading Algorithms Effectively" by Heath Windcliff

    Measuring and Using Trading Algorithms Effectively

    By:  Heath Windcliff, Morgan Stanley

    In order to build effective trading algorithms, you need to effectively measure trading algorithms. In this talk we will talk about what factors we look at when measuring trading engine performance in tuning our algorithms. Specifically we will discuss several common benchmarks and discuss what each of these focus their lens upon, and what these measurements are blind to. We will focus on the precision of these measurements and where these sources of noise and uncertainty come from.

  2. Apr. 19, 2018Joint Seminar presented by WatRISQ, University of Waterloo and IEOR, Columbia University, "Machine Learning & Sentiment Analysis in Finance for Statistical Arbitrage" by Dr. Arun Verma

    Joint Seminar presented by WatRISQ, University of Waterloo and IEOR, Columbia University "Machine Learning & Sentiment Analysis in Finance for Statistical Arbitrage" presented by Dr. Arun Verma, Quantitative Research, Bloomberg

  3. Apr. 2, 2018Joint Seminar presented by WatRISQ, University of Waterloo and IEOR, Columbia University, "Applying Asset Pricing Theory to Calibrate the Price of Climate Risk" by Bob Litterman and Kent Daniel

    "Applying Asset Pricing Theory to Calibrate the Price of Climate Risk" by Bob Litterman, Kepos Capital LP and Kent Daniel, Columbia University

    Climate change is fundamentally a problem of risk management.  Appropriate pricing of greenhouse gas emissions requires trade-offs between consumption today and unknown damages in the distant future.  In this paper we explore this trade-off using insights from the asset pricing literature.   A representative agent is assumed to optimally mitigate emissions as uncertainty is gradually resolved over time.   This framework allows an innovative

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