Risk measures – Their accuracy and stability in a practical implementation

The primary research objective is to determine the accuracy and stability of risk measures as they are
developed and put into practice. The intern will be required to develop and implement testing
strategies to help ensure new models exhibit comprehensive risk coverage and seamless integration to
the existing CMRM risk-measurement framework. While focusing on a specific product and
measures, the incumbent will work to assess the risk measure accuracy. The work will require a
review of current techniques and best practices in this area, followed by the implementation of selected
assessments of accuracy and stability. The intern will first develop a comparison of the assessment
strategies. Following that, the intern is expected to develop what is intended to be the most effective
methodology based on these existing assessments and their own original research and development.
Results of these assessments will be compiled, analyzed, and documented…

Faculty Supervisor:

David Lozinski

Student:

Partner:

CIBC

Discipline:

Mathematics

Sector:

University:

McMaster University

Program:

Accelerate