Modelling challenges in the fundamental review of the trading book

Upcoming changes to financial regulation and oversight are creating increased demands for the accurate measurement of financial market risks and the provisioning of adequate economic capital to ensure that financial institutions can withstand market shocks and extreme events. The objective of this research project is to study issues related to the theory, performance, and practical implementation of standards and requirements for measuring and managing market risk set out by the Basel Committee on Banking Supervision. The interns engaged in this project shall develop and implement new models and approaches that better allow the banks risk managers to assess and price the risks associated with assets in their trading book which may be illiquid or subject to default risk. Improved understanding and processes for managing market risks contributes to the stability of Canadas financial system and the efficient allocation of the banks economic capital and human resources toward their most productive use.

Faculty Supervisor:

Cody Hyndman

Student:

Anastasis Kratsios

Partner:

CIBC

Discipline:

Mathematics

Sector:

University:

Program:

Accelerate