GRI Grant on Risk Management
Exciting research opportunities at Rotman abound. Learn about a new research team in Risk Management.
The Rotman Finance area has created an interdisciplinary research team within the University of Toronto (UofT) to focus on liquidity risk management and its integration with other types of risk including market and credit risk. The research has been funded by a three-year grant from the Global Risk Institute which helps fund PhD students working on research topics in risk management. For more information about GRI go to: globalriskinstitute.org
Our research falls into two broad categories: First, from the perspective of financial institutions, the development of new models for liquidity risk management, and second, from a supervisory and regulatory perspective, improving the liquidity in Canadian and international securities markets. The topics studied under the grant include the following:
Risk Management and Market Liquidity from a Financial Institution Perspective
- Incorporating Liquidity Risk in Derivatives Pricing Models
- Funding Value Adjustment (FVA) in Derivatives Valuatio
- What is Causing Illiquidity in Corporate Bond and Credit Default Swap Markets?
Risk Management and Market Liquidity from a Supervisory and Regulatory Perspective
What is the Impact of High-Frequency Trading on Market Liquidity?
How to Facilitate Liquidity in Dark Markets?
Is There Scope for Improving the Trade Execution by Canadian Mutual Funds?
Does Option Listing Improve the Trading Efficiency of New Market Securities?
Research Team members:
- Sabrina Buti, Assistant Professor of Finance
- Chay Ornthanalai, Assistant Professor of Finance