Modeling Mortality Risk in an Economic Capital Framework

Munich Reinsurance Company (Munich Re) is the largest life reinsurer in the Canadian marketplace. Proper risk assessment at Munich Re is vital in order to assure that Canadian policyholders receive their promised coverage. This assessment includes measuring and monitoring the mortality risk of its life related business. The goal of this project is to improve the models Munich Re uses to model mortality risk. Measuring mortality risk assists Munich Re in determining the capital it should hold for its life related business.

Financial analysis and evaluation model for willow plantations at Grappe agroénergétique des Coteaux

The project has to do with the financial evaluation of using different types of trees as biomass for energetic consideration. This initiative is designed to develop a model to analyze and evaluate the economic benefits of the intensive cultivation of willow trees and compare them with results obtained with traditional forestry practices. The project also aims to determine optimal production conditions for poplar plantations and the cultivation of other woody plants, including triticale and switch grass.

Modelling consumer choice processes in a dynamic and competitive environment

A “choice model” is a mathematical tool that can be used to anticipate the behaviour of economic agents when they must choose among several options. We will use this technique to predict airline or railway passenger choices as a means of anticipating demand and optimizing supply with regard to availability and ticket prices. As part of this internship, the intern will develop new models and test their performance using actual data.

Planning a sustainable approach to Community Forest Management with the Katzie First Nation at Blue Mountain and Douglas Provincial Forests

The Katzie First Nation is working towards establishing a Community Forest Agreement (CFA) with the Province of British Columbia. The area of intent lies within Katzie Traditional Territory and includes Blue Mountain and Douglas Provincial Forests, located along the east banks of Alouette Lake. To establish a CFA, the Katzie desire a holistic approach to forest planning that not only considers timber harvesting, but also non‐timber economic opportunities, traditional use values, multiple stakeholder desires and prospects for cultural preservation and education.

Assessing the feasibility of industry wide incorporation of eco-certification into the Sustainable Winemaking Ontario initiative

This project will assess the potential for a certification program to enhance the Wine Council of Ontario’s voluntary initiative Sustainable Winemaking Ontario. This will involve an investigation of the barriers to implementation and acceptance, consumer interest and purchasing behaviour, the optimum format for a certification program and corresponding labelling and the types of indicators that are deemed important by members of the wine industry and wine consumers.

Support Implementation of Kamakura Risk Management System

For this project, the mathematical finance intern will assist in the development and implementation of a new Economic Capital system, a method used by society to produce and distribute goods and services. The internship will also look into the development and implementation of appropriate risk management policies and procedures. The intern will manage the performance of operational tasks related to asset and liability compliance reporting and credit reporting as well as oversee the performance of credit and financial assessments of treasury credit counterparties.

Development of CVA tools to analyze risk sensitivities

Credit valuation adjustment (CVA) is becoming an integral part of pricing any over-the-counter (OTC) trading portfolio, especially in the light of current market conditions. CVA is the difference between the portfolio values with and without accounting for the possibility of default of trading counterparties. BMO Capital Markets has launched a project to create a front office CVA system that will allow traders to analyze and hedge their credit exposure using adequate and appropriately calibrated models.

Assessment of Fire Risk to Recreational Properties in Central Ontario

Risk to residential and commercial properties due to wildfire in areas of increased human habitation is an important but relatively unstudied phenomenon. Insurers are likely exposed to an increasing risk in the face of climate change and increased population in forested areas. The internship’s aim is to study this problem and to provide an estimate of the probability of a major wildfire event in the Muskoka region of Central Ontario sometime in the next ten years. The research team will also estimate the loss which insurers would expect to incur if such an event were to occur.

Reaching for a Better Understanding of the Portfolio Optimization Process

Fund managers must select a portfolio of assets from a group of securities so as to balance the conflicting goals of maximizing portfolio return and minimizing portfolio risk. There are many elegant approaches to this problem. All suffer from the same flaw – they all require estimates of the expected future risk and return of the constituent securities as well as of the correlations between the returns of pairs of these securities.

Performance Metrics/Leadership Development Analysis

This internship will assist in the development of a diverse generational employee survey towards leadership development and workplace goal alignment. Initial baseline measurements will be obtained from Watson Wyatt, who have worked with BC Hydro since 2002 to develop, deliver and analyze the annual employee survey and results. The main objective of the research is to understand the perspectives and gauge the level of engagement of the workforce of BC Hydro.

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