Want to know more about the Projects in Risk Management Capstone? Peter Ritchken gives a few thumbnail sketches of recent and future projects, mostly related to credit risk and value at risk.
Q: Can you give a brief overview of some of the other projects student teams have completed?
A: One project involved investigating a specific trading strategy for an investment firm. The idea was to see whether the change in the slope of the yield curve could be used as a signal for altering the duration and convexity of a bond portfolio. A second project involved looking at the diversification benefits of holding foreign sovereign debt. One was around developing hedging strategies for commercial loans and hedging pipeline risk. Many of the projects involve credit risk and value at risk analysis. Finally, one exciting project investigated how option and equity markets convey information on credit, credit default swaps, and corporate bonds.
Q: What is the new project?
A: It involves looking at the credit risk of a portfolio of corporate bonds and measuring the economic and regulatory capital that is required to sustain this portfolio. This is an enormously interesting project for me, since it ties into my research. What is especially exciting about this from the students' viewpoint is that they can tap into state-of-the-art computer modeling andvaluation techniques and actually see the results emerge in a matter of months.