As part of reforms to the regulations governing Canadian banks, new rules governing the capital to be set aside for market risk have been proposed, termed the Fundamental Review of the Trading Book (FRTB). With the new rules, some Canadian banks will move to calculating capital requirements using a regulatory Standardized Approach. The goal of […]

This project will look at improving the quality of software by using AI to determine if a defect / issue exists and if so where it exists for easier fixes. This research is innovative and this domain is not proven. The student will explore new techniques for a highly relevant issue in industry. The industry […]

The proposed project addresses the main challenge in modeling long-dated (maturities of 30 years or more) foreign exchange (FX) interest rate (IR) hybrid derivatives, namely the strong sensitivity of the products to the skew of the FX volatility smiles via the use of a stochastic process, such as the Heston model. Numerical methods based on a partial differential equation […]

Trust lies at the very foundations of computer and information security, and is the basis for real-world schemes that require security properties, such as those that underlie consumer banking. Under this research project, we will investigate models for delegation of trust that meet desirable properties, for example, that guarantee that no security compromises occur unless […]

Applying advances in ambient intelligence technologies, this research aims to design and develop a smart workplace to optimize not only physical comfort in employees but also participant happiness. Through ubiquitous monitoring of ambient factors and affective states a number of important research questions associated with designing and developing a smart workplace will be tackled. By […]

A fundamental activity of a commercial bank is the lending of capital through various credit instruments such as direct loans to consumers, mortgages, and lines of credit. Efficient lending is at the core of a well functioning economy. The risk in lending is commonly referred to as credit risk and represents the risk of loss […]