Education Seminars

For those working in financial sectors our education seminars provide an opportunity to discuss the latest developments in the area of risk management and to share best practice from around the world.

If you wish to contribute a talk in our education seminar, please send your abstract before to us.

If you wish to attend our education seminar, but not to give a talk, you are also welcomed to contact us.

Please send an This e-mail address is being protected from spam bots, you need JavaScript enabled to view it  to us with your resume and contact information.

Education seminar committee in Toronto: J. Chen (TD Bank Financial Group), G. Y. Fu (CIBC), Y. Han, F. Wang, X. Wang (TD Bank Financial Group), W. Huang (Algorithmics).

Research Topics

• Enterprise Risk Management
  
• Supply Chain and Supply Risk
  
• Performance Evaluation and Bank Efficiency
  
• Credit Derivatives
  
• Risk Transfer in Capital Markets, Energy and the Environment
  
• Others (Market Risk, Incomplete Markets)

Enterprise Risk Management. New York: WorldScientific (2008) ISBN:978-981-279-148-1; 981-279-148-5, David L. Olson and Desheng Wu.
(Please click here to view the book at the publisher website)  

Supply Chain Coordination Through Bargaining In Two Competing Supply Chains and Demand Uncertainty
Working paper at the University of Toronto

Abstract: Substantial research literature has been developed over the years on the subject of channel coordination in the supply chain. A significant portion of the literature assumes that either consumer demand is deterministic or that the manufacturer is the leader and the retailer is the follower in a non-cooperative game, or both. Moreover, the majority of this vast literature ignores competition between competing supply chain. This paper investigates the equilibrium behavior of two competing supply chains in presence of demand uncertainty using both non-cooperative and cooperative game models. We examines three channel structures in the context of two-echelon supply chains with two supplier servicing two competing retailers: (İ) vertical integration, (İİ) manufacturer's Stackelberg and (İİİ) bargaining on wholesale price. Our framework follows the bilateral duopoly model and within this framework, we investigate the impact of order quantity, wholesale price and retail price on the behavior of both the manufacturer and the retailer. We assume a general additive demand function and our result shows that bargaining strategy can lead to a higher profit than vertical integration for the entire supply chain.

Portfolio Optimization when assets have the gaussian mixture distribution
Authors: I. Buckley, G. Comezana, B. Djerroud, L. Seco.
Proceedings of the Mercado de Futuros, Madrid 2002. View PDF

Distressed considerations in the construction of hedge fund portfolios
Canadian Hedge Watch, June 2002. View PDF

Credit Derivatives

Review of CDOs Pricing Models
Author: Marcos Escobar and Luis Seco.
Working Paper. 2005. View PDF

Dependences Structures and the Pricing CDOs
Author: Marcos Escobar and Luis Seco.
Working Paper. 2005. View Presentation

Valuation of Collateralized Fund Obligation
Author: Unai Ansejo, Marcos Escobar and Luis Seco.
Working Paper. 2004.

Defaultable Forward Contracts
Author: Marcos Escobar and Luis Seco.
Working Paper. 2004. View PDF

Non-Gaussianity

New families of distributions fitting L-moments for modeling financial data
Authors: S. Carrillo and N. Hernandez, L. Seco.
Submitted to. 2003. View PDF

A theoretical comparison between moments and L-moments
Authors: S. Carrillo and N. Hernandez, L. Seco.
Submitted to. 2003. View PDF

Stable distribution: A survey on simulation and calibration methodologies
Authors: P. Olivares, L. Seco.
Technical Report, 2003. View PDF

Estimating the spectral measure of a multivariate stable distribution via spherical harmonic analysis
Authors: M. Pivato, L. Seco.
Publication 2003. View PDF

Applications of descriptive measures in Risk Management
Author: Nicolas Hernandez
Ph. D. thesis. 2002 - Department of Mathematics. University of Toronto. View PDF

Others

Market Risk

Principal component Value-at-Risk (2001)
Authors: R. Brummelhuis, A. Cordoba, M. Quintanilla, L. Seco.
Journal of Mathematical Finance (2001), Vol 12 (1), 23-43. View PDF

Principal component Value-at-Risk (2000)
Authors: R. Brummelhuis, A. Cordoba, M. Quintanilla, L. Seco.
International Journal of Theoretical and Applied Finance, Vol 3,number 3 (2000), pp 541-545. View PDF

Harmonic Analysis in Value at Risk Calculations
Authors: Claudio Albanese and Luis Seco
Publication. 2000. View PDF

Modelling and Estimation of Financial Time Series. Non-Gaussian ARMA models
Authors: Nicolas Hernandez, Marcos Escobar and Luis Seco.
Technical Report, 2000. View PS