Optimization for Risk and Portfolio Management

The recent global financial crisis has made risk management a foremost concern of regulatory agencies and corporations worldwide. As the world's leading provider of enterprise risk solutions, Algorithmics Incorporated continues to showcase, and rely on, the talents of Ontario's R&D professionals in meeting the demands of the financial industry. Given the rapidly expanding scope and complexity of risk-aware management, mathematical innovation is central to Algorithmics' ongoing success. Notably, numerical optimization, which automates the construction of portfolios that best meet specified requirements, is finding novel uses in the field of risk management. The proposed research will study optimization problems that arise in two prominent applications. First, we will investigate ways to construct better replicating portfolios, which are used in the insurance industry as a proxy for liabilities to facilitate risk analysis. Second, we will examine optimization models for minimizing the credit risk of a portfolio of financial contracts.

Faculty Supervisor:

Dr. Antoine Deza

Student:

Oleksandr Romanko

Partner:

Algorithmics Inc.

Discipline:

Computer science

Sector:

Finance, insurance and business

University:

McMaster University