Structured Assets’ Value-at-Risk: Measurement and Sensitivity Testing

This project aims to measure the credit risk of Sun Life structured assets portfolio. The objective is to evaluate the accuracy of different methods to assess the credit risk of these types of financial instruments and to evaluate their advantages and limitations. Two methods are proposed to assess structured finance assets risk: Loan Equivalent Approach and Look Through Approach. The former is a practical representation of the structured asset as a traditional debt instrument. The problematic is to test and understand to which extent this representation could diverge from the risk profile of the structured financial asset. A second objective is to implement the chosen model – through identifying the required parameters, assumptions, data and process – and integrate it into the company credit risk framework and insure its reliability and accuracy. By the end of the project/internship, we expect to have in place a fully operational model and procedure to measure securitized assets credit risk.

Faculty Supervisor:

Dr. David Lozinski

Student:

Hamed Gholamiangonabadi

Partner:

Sun Life Financial

Discipline:

Mathematics

Sector:

Finance, insurance and business

University:

McMaster University