Linear and non-linear replication factor models for Funds look-through

The Fundamental Review of the Trading Book (FRTB) is a set of regulations by the Basel committee, which is expected to be implemented by banks by 2022. The regulation targets market risk management in banking industry. The regulation targets market risk management in banking industry. According to FRTB, banks must decompose funds that can be looked through into their constituents and determines the relevant capital requirements as if the underlying position were held directly by the bank.

Evaluation of Machine Learning Methods for Portfolio Replication of VIX Futures

During the past two decades, the CBOE Volatility Index (VIX® Index), a key measure of investor sentiment and 30-day future volatility expectations, has generated much investor attention because of its unique and powerful features. The introduction of VIX futures in 2004, VIX options in 2006, and other volatility-related trading instruments provided traders and investors access to exchange-traded vehicles for taking long and short exposures to expected S&P 500 Index volatility for a particular time frame.

Development of artificial intelligence algorithms for microbiome-based classification of disease

The goal of this project is to help build artificial intelligence algorithms for the diagnosis of disease using data derived from the human microbiome. This project will be focused on implementing new statistical methods to reduce “noise” found in data from different sources, allowing for us to improve the training of artificial intelligence algorithms. Another focus of this project will be to implement new types of models that are better suited for microbiome data, allowing for more accurate predictions.

Zipstall – On-line and Off-line Parking Availability Prediction

Searching for parking has many terrible impacts, such as wasted time, fuel, and emissions, overpaying for parking etc.

Mapping Indigenous Businesses in the Agriculture/Agri-food Sector in Canada

This research project sets out to conduct a comprehensive literature review on Indigenous agriculture in Canada. We collect information about different sources of data that could be put in use to provide insight into Indigenous engagement in the Agriculture/Agri-food sector across the country. We will review the current Statistics Canada’s databases to explore data overlaying options to compile new datasets on Indigenous engagement in the Agriculture/Agri-food sector. Using these data, we will map Indigenous agribusinesses across Canada.

Evidence Integration and value of information

Decision makers responsible for managing public and population health risks are increasingly faced with challenges in integrating information from multiple sources to support evidence-based risk decision making. To meet these challenges, a new framework for evidence integration will be developed to provide guidance on how best to synthesize information from all relevant sources to support the best possible risk decisions. This framework will also provide guidance on the use of big data in evidence integration.

Indoor Virtual Tour and Virtual Object Display in 360 Degrees

The proposed project implements the applications of virtual view of indoor environments and objects in 360 degrees, thereby encouraging people to check the information of rooms and products online during the COVID-19 pandemic. Specifically, six objectives are proposed, each undertaken by two interns, to build a virtual view system satisfying different scenarios.

AI Enabled Subnetwork Selection

Cancers are heterogeneous disease that hijack many of the body’s normal biological processes. Additionally, tens of thousands of genes are involved in each person’s normal biology, while only a fraction of those are repurposed by cancers to drive disease. At an individual level, utilizing entire transcriptomes is rare, as there is too much information for clinicians to process. However, not using this resource can mean important genes and processes are missed. Identifying the set of genes that drive a patient’s cancer would improve therapy design, patient quality of life and outcomes.

Risk aggregation beyond the normal limits

Risk aggregation is omnipresent in insurance applications. A recent example, borrowed from the modern regulatory accords, is the determination of the aggregate economic capital and its consequent allocation to risk drivers. A more traditional illustration of the importance of risk aggregation in insurance is the celebrated collective risk theory that dates back to the early years of the 20th century. This project will assist Sun Life Financial to build and implement an efficient quantitative framework to approximate the aggregate risk of its portfolio.

Fundamental Review of the Trading Book. A Factor Analysis

The Fundamental Review of the Trading Book (FRTB) is a set of regulations by the Basel committee, which is expected to be implemented by banks by 2022. The regulation targets market risk management in banking industry. According to FRTB, banks need to post extra capital against non-modellable risk factors, which could account for 30% of total market risk capital requirement. Reducing the weight of non-modellable risk factors can greatly reduce the required capital and thus increase banks’ profitability.