Related projects
Discover more projects across a range of sectors and discipline — from AI to cleantech to social innovation.
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. The intern will help to build the mathematical and econometric models for MBS pricing and develop fast computer algorithm to analyze the database, such as estimate the joint probability of default of pool mortgages, the implied parameters and sensitivities for each MBS pool, and their correlations for all securitized properties.
Dr. George Blazenko
Zhixiang Yang
Pavlov Consulting Inc.
Business
Finance, insurance and business
Simon Fraser University
Accelerate
Discover more projects across a range of sectors and discipline — from AI to cleantech to social innovation.
Find the perfect opportunity to put your academic skills and knowledge into practice!
Find ProjectsThe strong support from governments across Canada, international partners, universities, colleges, companies, and community organizations has enabled Mitacs to focus on the core idea that talent and partnerships power innovation — and innovation creates a better future.