University-industry partnerships
-
Collaboration with ATB Financial from Jan. 2018 to June 2022.
Using machine learning techniques, the project is about the early prediction of customer events. It is part of the AI Lab of ATB Financial and supported by Mitacs.
- Mitacs Accelerate and NSERC projects with Canadian Western Bank from Sept. 2018 to Oct. 2021.
The projects, involving two graduate students, analyze credit risk and particularly the trade-off between early recognition and income volatility in expected credit loss impairment.
- Mitacs Accelerate project with Vario Ventures from Jan. to Apr. 2020.
The project dealt with machine learning in business valuation using merger and acquisition data.
- NSERC Engage project with Will Financial Technology from Oct. 2016 to Mar. 2017.
The project, involving one research assistant, dealt with the analysis and risk prediction of overnight price changes in the Chinese stock markets.
- Mitacs Accelerate project with AIMCo from June to Sept. 2016.
The project, involving two graduate students, helped enhance AIMCo's capabilities in offering advice on asset and liability management to its clients.
Consulting
- UBS: Risk Modeling and Analytics Expert from Dec. 2018 to Mar. 2019
- Developed a framework for risk allocation to divisions
- Suggested a new method for attribution to risk drivers
- Board of Governors of the Federal Reserve System: Visiting Researcher Jan., Apr. & May 2017
- Studied how counterparty risk considerations affect trading decisions
- Worked on an analysis of the market of credit default swaps
- UBS: Risk Modeling and Analytics Expert from July 2016 to Mar. 2017
- Assessed risk models in the U.S. regulatory context of the Comprehensive Capital Analysis and Review (CCAR)
- Helped improve the model for statistical loss of the global UBS credit portfolio
- Credit Suisse: Controller (20 %) in the External Reporting unit from May 2001 to Sept. 2009
- Led the buildup of databases for the monthly financial closing
- Developed benchmark analyses for senior management in collaboration with the Strategic Planning unit
