Au cours des dix dernières années, les marchés des produits dérivés de crédit ont connu une croissance sans précédent. Conjointement à cette expansion, la modélisation du risque de crédit est devenue une tâche ardue pour de nombreux établissements financiers. La Banque Royale du Canada possède une vaste expérience dans les marchés de dérivés de crédit […]

For the past 10 years, the credit derivative markets have experienced unprecedented growth. Combined with this expansion, credit risk modelling has become quite a challenging task for many financial institutions. The Royal Bank of Canada has substantial trading exposure in credit derivatives and is looking to further its modelling research and management process.

The research project is to investigate a multi]factor multi]asset extension of the Hestonf93 stochastic volatility model for comprehensive Credit Value Adjustment calculation and Commodity Counterparty Credit Risk methodology. The extended model covers counterparty hazard rates correlated with the underlying and interest rates in order to model wrong]way exposure. The project includes mathematical investigation of the […]

Default correlation analysis has an important role in asset pricing and credit risk management. Our proposed default model aims to analyze the default correlation for two international companies. In this analysis, we would like to incorporate existing correlation between the stock indices in different countries and study its effect on the default correlation measure. Moreover, […]

A hedge is an investment position intended to offset potential losses, or in our case to pay off potential liabilities. Interest rates play an important role in hedging strategies and risk management for variable annuities and other long-term products. Financial institutions have an urgent need for practical and affordable dynamic hedging strategies. We propose a […]

Information published by financial news agencies is used as one of the inputs to make investment decisions. News articles from multiple sources can be used to gauge market sentiment towards an industry or a specific company. Deep learning techniques have been successful in producing state of the art results on various benchmark datasets (Dai & […]

Representations are fundamental to Artificial Intelligence. Typically, the performance of a learning system depends on its data representation. These data representations are usually hand-engineered based on some prior domain knowledge regarding the task. More recently, the trend is to learn these representations through deep neural networks as these can produce significant performance improvements over hand-engineered […]

The wide adoption and development of wireless sensing technologies for the monitoring and autonomous identification of financial activities have affected financial institutions in the past decade. However, wider utilization of RFID technologies in the banking sector has introduced challenges regarding the security and privacy of sensitive financial data. The proposed innovations and technological developments will […]

The interns will develop a quantum communication network built on RBC’s optical fiber infrastructure and perform secure commercial transactions using quantum-generated secure keys in the integrated classical communication network. The quantum communication network will be based on the measurement-device-independent quantum key distribution technology, which is developed by Prof. Hoi-Kwong Lo’s and Prof. Li Qian’s groups […]

Trading is increasingly moving from the human world to its electronic counterpart. In this new environment the effects need to be properly understood and analyzed. Most recently the Canadian market as other developed capital markets has experienced a reduction in direct trading costs for investors but at the cost of an increase in indirect trading […]

Deep learning is currently the dominant machine learning technique as a result of state of the art performance in vision (Russakovsky, et al., 2015), speech (Amodei, et al., 2015) and natural language processing (Vinyals et al., 2015). The improvement in performance of these models is attributed to the availability of large datasets for training the […]