Modelling and Computation of Credit Risk and Credit Derivatives

For the past 10 years, the credit derivative markets have experienced unprecedented growth. Combined with this expansion, credit risk modelling has become quite a challenging task for many financial institutions. The Royal Bank of Canada has substantial trading exposure in credit derivatives and is looking to further its modelling research and management process.

Faculty Supervisor:

Dr. Huaxiong Huang

Student:

Shuqing Liang

Partner:

RBC Financial Group

Discipline:

Mathematics

Sector:

Finance, insurance and business

University:

York University

Program:

Accelerate

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