Calibration of a first passage model for CVA applications

Regulatory change, driven in part by the recent credit crisis, has created demand for banks to undertake a highly intensive risk calculation known as Credit Valuation Adjustment (CVA). CVA is essentially the price of an insurance contract covering the bank’s losses in the event that one of its trading counterparties defaults. QuIC, the sponsor of the proposed research project, is in the business of selling similar types of high-volume calculations to large investment banks.

Organizational Risk Appetite/Tolerances

Organizations face increasing pressure to articulate organizational risk appetite/tolerances but are not adequately equipped to do so. To remedy this problem, this project addresses how an organization should determine and express its risk appetite and tolerances. It employs qualitative research methods to integrate diverse theory, practice and policy literatures with the partner organization serving as a case study.

Effect of Foreign Exchange Rates on the Default Correlation

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.

Economic Outcomes and Retention Rate of BC Provincial Nominees: Comparisons with Immigrants from Other Classes

This project will analyze and research explanations for differences in economic outcomes and retention rate between immigration classes, with a special focus on the British Columbia Provincial Nominee Programs. The study will emphasize on comparisons between Provincial Nominees and other economic immigrants, between immigrants from different classes with strong human capital characteristics, and between immigrants in British Columbia and other provinces. The data that will be used is the Longitudinal Immigration Database, which links immigrant landing records to tax information.

Commercial Mortgage Backed Security Sensitivity Analysis

This work can serve as the foundation of relative value strategies and portfolio sensitivity analysis. This project research on building a strategy for analyzing the sensitivity of mortgage backed securities (MBS) pool pricing to changes in financial market and underlying security characteristics, such as the property value of the underlying real estate. There is a large database including real estate property location, real estate price indices by region and property type, as well as mortgage security pool information.

Governance of Outsourcing – Industry Best Practices

 

The research focuses on governance in outsourcing relationships While the outsourcing industry grows at double digit rates, satisfaction with outsourcing arrangements could certainly be improved. Often the source of dissatisfaction, governance is a broad term that includes formal issues such as contracts and service level agreements, as well as informal issues such as relationship management and trust. The intention of this research study is to provide participants with a set of best and emerging practices in outsourcing governance.

Exploring opportunities for new fishery-tourism products, business, collaboration and fisheries market development within the Bonne Bay area of Newfoundland

There are currently many challenges facing Newfoundland’s inshore fishery including low prices and low landings for many key species. A sustainable fishery is an essential but undervalued element of the tourism experience in the Gros Morne/Bonne Bay area, as well as being important to the longer-term sustainability of local communities. At a recent Fisheries/Tourism Forum we explored a range of opportunities to enhance the potential economic synergies between fisheries and tourism in this region.

Effectiveness of Cognitive Behavioural Therapy in patients suffering from depression and in receipt of disability benefits.

Depression is expected to become the second leading cause of disease burden worldwide by the year 2020. Cognitive Behavioural Therapy (CBT) is one of the most effective methods of treatment for depression. CBT may be less effective, or ineffective, in the setting of patients in receipt of disability benefits who are likely to, on average, suffer worse outcomes than patients not receiving benefits. Currently, there is no review that has systematically assessed the effectiveness of CBT in patients suffering from depression and in receipt of disability benefits.

Advanced Risk Management Analytics

 

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.

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