Systemic Risk Analytics

In the decade that followed the 2008 financial crisis, systemic risk emerged as a central topic of research in quantitative finance. Broadly defined as the risk of a threat to the stability or integrity of the financial system, systemic risk is not just a concern for governments and regulators, but affects virtually every business. Banks and large financial institutions have a clear interest in assessing their own systemic risk and those of their counterparties. Equally important, insurance companies, pension plans and other long-term investors are exposed not only to crashes in asset prices, but also to the more lasting consequences of crises, such as prolonged periods of low interest rates. Other industrial sectors with keen interest in systemic risk are financial technology companies that both drive and are exposed to disruptive innovations.

 

Our lab builds on the recognized expertise of the investigators and their network of collaborators and facilitate the interaction between the types of industrial sectors described above and researchers in systemic risk. Through industry-led projects, internships, focus programs, workshops, conferences, mini-courses, summer schools and industrial problem solving workshops, the lab will equip

McMaster University University of Toronto

its industry partners with state-of-the-art theoretical models and analytical techniques, while at the same time obtaining access to data and practical understanding of the problems of interest. 

Lab Leaders

Matheus Grasselli

Professor

Faculty of Science

Department of Mathematics and Statistics

McMaster University

Thomas Hurd

Professor

Faculty of Science

Department of Mathematics and Statistics

McMaster University

Industry Partner

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Industry Liaison

Senior Quantitative Trading Analyst

Sebastian Jaimungal 

Professor

Faculty of Arts and Science

Department of Statistical Sciences

University of Toronto

Lab Team

Ian Buckley
Canadian Securities Transition Office

Alvaro Cartea

University of Oxford

Nils Detering

University of California, Santa Barbara

Zachary Feinstein

Washington University in St. Louis

Mark Flood

University of Maryland

Grzegorz Halaj

Bank of Canada

Alexander Lipton
SilaMoney & MIT

Thilo Meyer-Brandis

Ludwig Maximillians University Munich

Dan Rosen

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Postdocs and Graduate Trainees

Yizhou Cai

Masters Candidate, University of Toronto

Steven Campbell
PhD Candidate, University of Toronto

Hassan Chehaitli

PhD Candidate, McMaster University

Yicheng Chen

PhD Candidate, McMaster University

Anthony Coache

PhD Candidate, University of Toronto

Xin (Brian) Ning
PhD Candidate, University of Toronto

Weijie Pang

Postdoctoral Fellow, McMaster University

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