MQIM BSI

Vestcor, Atlantic Canada’s largest in-house investment manager, specializes in systematic quantitative investing and risk management to optimize portfolio performance. Vestcor faces problems from innovation to broaden the sophistication of international countries security selection and improving in growing fields of systematic derivative trading (options). Risk management and modelling of these strategies are needed to properly relay risks to stakeholders and realize problems in models before they materialize. Vestcor needs to enhance its quantitative models, statistical approaches, machine learning, risk assessment techniques, and advance financial modelling to improve portfolio management strategies. To remain on the front on innovation in the industry, the Quantitative Investment team requires empirical research and development of new techniques to improve team efficiency, decision-making, optimize risk-adjusted returns, and ensure long-term financial sustainability for its clients by allowing improvements by added ingenuity.
The project helps the partner organization (Vestcor) beyond day-to-day business operations by building long-term analytical capacity and strengthening the foundation of future innovation. Developing new quantitative techniques and more robust frameworks for international stock selection and systematic derivative trading help enable Vestcor to explore opportunities typically outside scope of routine portfolio management. These enhancements support strategic decision making, allowing Vestcor to test new innovative investment ideas.
The expertise required to solve this problem must involve strong foundations in math and statistics, skills with data science and manipulating data. The individual will also require deep understanding of quantitative finance with prior knowledge derivatives theory, understanding of capital markets, portfolio management, volatility modelling and scenario analysis with the ability to translate investment hypothesis in a testable framework.

Faculty Supervisor:

Chunhua Lan;Sunil Pathak

Student:

Partner:

Vestcor

Discipline:

Business

Sector:

Finance and Insurance

University:

University of New Brunswick

Program:

Business Strategy Internship

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