Building customizable hybrid risk models that blend fundamental and statistical factors

The goal of the project is to build an internal risk measurement system for Vestcor that combines two types of risk models. One type is fundamental risk models, which is what Vestcor’s current risk system built upon – these types of risk model use variables such as currency, style, market or country, sector or industry trying to explain risk embedded in an assets by the effect of changes in these factors. The other type is statistical risk models, which can be used in supplementing fundamental risk models to capture certain changes in market environment that are not detected by the fundamental models. Vestcor will be able to benefit from a more robust and flexible risk measurement system upon completion of the project.

Faculty Supervisor:

Donglei Du;Azam Shamsi

Student:

Partner:

Vestcor

Discipline:

Business

Sector:

Finance and Insurance

University:

University of New Brunswick

Program: