I received my MMath (2004) and PhD (2008) from the Department of Statistics and Actuarial Science at the University of Waterloo. Prior to joining Laurier, I was an assistant professor in the Department of Applied Mathematics at the University of Western Ontario from 2008 until 2012.
I am interested in applied probability and statistics, especially their application to problems faced in the financial industry and with a particular emphasis on problems faced by risk management professionals and financial regulators. For instance, I am currently interested the appropriate treatment of correlation in models used by ratings agencies and banks, efficient calculation of risk measures for large loan portfolios and issues related to the design of contingent capital securities (e.g. CoCo bonds, non-viability contingent capital, bail-in debt, etc.).
I have supervised students at all levels, including undergraduate research assistants (e.g. NSERC USRA), MSc students (both coursework and thesis) and PhD students (I have adjunct status at the University of Western Ontario and the University of Waterloo). The majority of my former graduate students are currently employed in the financial sector.
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