Accurate forecasting is of crucial importance in managing insurance risks and ensuring a solvent and profitable operation. In recent years the property/Casualty insurance industry has adopted generalized linear models (GLMs) to improve the fit and prediction accuracy of their insurance portfolio models. Yet, the interdependence between the different insurance covers included in packaged products, such as car insurance, need to be explained in the GLM in order to include them in the predictive process.
ATB Financial is a large Alberta based full service financial institution. The Card Services department was formed 5 years ago and is growing rapidly. The Card Strategy team within Card Services is developing models and processes to manage marketing campaigns, credit risk management, collections and fraud effectively. The intern will support the team by providing expertise and assistance with model specification and estimation, model validation and management reporting. These duties require advanced knowledge of statistical regression models and their applications.
Default correlation analysis has an important role in asset pricing and credit risk management. Our proposed default model aims to analyze the default correlation for two international companies. In this analysis, we would like to incorporate existing correlation between the stock indices in different countries and study its effect on the default correlation measure. Moreover, there is evidence in the literature of sensitivity of equity index returns to foreign exchange (FX) rates.
Our objectives are to research, develop, test, and implement:
1. New yield curve construction and smoothing algorithms and improvements to standard curve construction algorithms, in particular, that are better adapted to illiquid markets such as Mexico, Israel, etc. 2. We seek fully automated real-time curve construction algorithms, which will allow for traders to use and data vendors to provide curves evolving in real time.
3. Interest rate spread curve construction algorithms, to be applied both to corporate spread and inflation spread curves.