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- Credit risk (2)
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Articles 1 - 10 of 10
Full-Text Articles in Social and Behavioral Sciences
Cnn-Lstm Vs Ann: Option Pricing Theory, Edward Chang
Cnn-Lstm Vs Ann: Option Pricing Theory, Edward Chang
Undergraduate Student Research Internships Conference
The modern derivatives market has been steadily growing since the development of the first accurate option pricing model by Fischer Black, Robert Merton, and Myron Scholes. Since then, there have been many different approaches to more accurately price options like the binomial option pricing model and approaches using technology such as machine learning. There are many different research papers on option pricing with artificial neural networks (“ANN”) but not many with other neural network types. We contribute to the existing literature by developing a convolutional neural network – long short-term memory (“CNN-LSTM”) model to price options and compare it to …
Analysis Of Credit Risk And Single / Two Factor Model, Siwen Chen
Analysis Of Credit Risk And Single / Two Factor Model, Siwen Chen
Undergraduate Student Research Internships Conference
Since 2008, businesses and banks must manage and track more risk than ever before. Financial risk management helps companies and banks decrease the risk of investment and trade. Additionally, financial risk management gives a guide on how to forecast and manage the risk efficiently. More specifically, the three major risks are market risk, credit risk, and operational risk. This report will focus on the credit risk: introducing the definition of credit risk, single factor model, the relationship between coefficient and default probability, and the relationship of m coefficient and default probability. Using the single factor model, we will extend the …
How Do Ontario Cities View Environmental Sustainability?, Spencer Cook
How Do Ontario Cities View Environmental Sustainability?, Spencer Cook
Undergraduate Student Research Internships Conference
Economic development has traditionally involved a trade-off between economic growth and the environmental quality. It is important to research how growth and development can be achieved in a way that preserves the natural environment. This research studies how cities in Ontario conceptualize sustainability, the challenges in its implementation, and examples of policies. Using a content analysis of economic development strategy documents of 48 Ontario cities, themes will emerge that can be used to draw conclusions about perceptions on sustainability in the province. The results of the content analysis show that sustainability is a low priority, with cities often referring to …
A Psychological Profile Of The Digitized Economy: Who Buys Cryptocurrencies, Nfts, And Meme-Stocks (And Why)?, Nicole Wolfe
A Psychological Profile Of The Digitized Economy: Who Buys Cryptocurrencies, Nfts, And Meme-Stocks (And Why)?, Nicole Wolfe
Undergraduate Student Research Internships Conference
As the global digital economy continues to grow in interest and financial worth, it is imperative to harvest data to gain early information on this nuanced economy. Already, we have witnessed billions of dollars in losses and wins at the blink of an eye, encouragement to invest from well-known celebrities and politicians, and high anxiety from the newness, power consumption, and potential outcomes of this nuanced system. Stemming from the lack of solid evidence in this emerging field, we hope to gain more insight on the early players and variation within the digitized economy. Similarly, we hope to identify specific …
Child Cognitive Achievement Gaps: The Role Of Family Structure And Maternal Locus Of Control In Parental Investment, Nalinda K. Murray
Child Cognitive Achievement Gaps: The Role Of Family Structure And Maternal Locus Of Control In Parental Investment, Nalinda K. Murray
Undergraduate Student Research Internships Conference
Little exploration has been done to determine the impact of family structure on parental investment decisions and how gaps in children’s cognitive achievement are affected in turn. To examine the role of family structure, this paper estimates the production function for children’s cognitive achievement using a value-added specification with instrumental variables estimation. A novel feature of this research is that variation in family structure and maternal locus of control are exploited in an effort to account for the endogeneity of parental investment and children’s cognitive performance. Applying my methodology to data from the National Longitudinal Survey of Youth 1979 and …
The Effect Of Leverage On Credit Default Swaps, Xiling Lai
The Effect Of Leverage On Credit Default Swaps, Xiling Lai
Undergraduate Student Research Internships Conference
The research investigates the effect of leverage on the pricing of Credit Default Swaps (CDS) and focuses on key sectors of the economy: Technology, Financials, Consumer Staples and Industrials. CDS are financial instruments that were developed a few decades ago and have become more widely used in financial markets for hedging credit exposures. Given their prevalence in financial markets, it is important to understand how CDS spreads change when reference entities modify their capital structure.
In the regression analysis, the level of CDS spread is used as dependent variable, and the standardized relative leverage is used as independent variable. My …
Simulating Salience: Developing A Model Of Choice In The Visual Coordination Game, Adib Sedig
Simulating Salience: Developing A Model Of Choice In The Visual Coordination Game, Adib Sedig
Undergraduate Student Research Internships Conference
This project is primarily inspired by three papers: Colin Camerer and Xiaomin Li’s (2019 working paper)—Using Visual Salience in Empirical Game Theory, Ryan Oprea’s (2020)—What Makes a Rule Complex?, and Caplin et. al.’s (2011)—Search and Satisficing. Over the summer, I worked towards constructing a model of choice for the visual coordination game that can model player behavior more accurately than traditional game theoretic predictions. It attempts to do so by incorporating a degree of bias towards salience into a cellular automaton search algorithm and utilizing it alongside a sequential search mechanism of satisficing. This …
A Study Of Canadian Bankruptcies, 2014-2022, Luis Guilherme Mazzali De Almeida
A Study Of Canadian Bankruptcies, 2014-2022, Luis Guilherme Mazzali De Almeida
Undergraduate Student Research Internships Conference
This paper studies Canadian monthly bankruptcy data from January 2014 to February 2022 with an aim towards identifying the existence of underlying heterogeneity in the decision-making of firms across different industry sectors during periods of economic adversity. The data used include provincial two-digit NAICS bankruptcy level data, provincial pandemic-related data concerning the evolution of cases and stringency of adopted policies, and external factors pertaining to the domestic and foreign economies such as industry GDP, the overnight rate target, exchange rates, imports and exports, prices, and bond liquidity premium. The method is two-fold. First, we identify changes in bankruptcy trends caused …
Catch Me If You Can: Questionable Modelling Assumptions And Parameter Choices And Their Impact On Drug Reimbursement Decisions, Lina Ghattas
Catch Me If You Can: Questionable Modelling Assumptions And Parameter Choices And Their Impact On Drug Reimbursement Decisions, Lina Ghattas
Undergraduate Student Research Internships Conference
The Canadian Agency for Drugs and Technologies in Health (CADTH) is a health technology assessment (HTA) agency. CADTH conducts appraisals on health technologies and makes reimbursement recommendations to Canadian public drug plans to guide their reimbursement decisions. When being considered for reimbursement, drug companies submit pharmacoeconomic reports, which typically include long-term decision models. These models make assumptions and use parameters that may favour one intervention over the other. In this study, we comprehensively review the last year of drug submissions appraised by CADTH, with the aim of identifying, categorizing, and critically reviewing key methodological flaws made by drug companies in …
Modeling Weather Vulnerability Dynamically: Applications Of Multiple Linear Regression To Weather Index Microinsurance, Sophie Wu
Undergraduate Student Research Internships Conference
This paper offers a broad overview of the philanthropic goals of microinsurance — namely, to provide vulnerable populations with more self-sufficient and sustainable methods of coping with risk — and through this lens, analyses the applications of multiple linear regression in developing dynamic models for microinsurance. We explain the foundations of MLR (multiple linear regression), and then give two examples for how a simple multiple linear regression model can be adapted with a novel outcome variable (famine) and dependent variables (climate change related costs). Overall, a better understanding of MLR can lend to a better understanding of how microinsurance can …